논문 : Feldstein-Horioka 가설 검정: 아시아 19개국 패널 분석 = Tests of the Feldstein-Horioka Hypothesis: A Panel Analysis for 19 Asian Countries

국문 초록 (Abstract)

본고에서는 1960∼2006 기간 중 아시아 19개국의 패널 자료를 사용하여 Feldstein-Horioka puzzle로 알려진 저축-투자 상관관계를 조사한다. 본 연구는 최근 개발된 패널 공적분 기법들을 활용하여 아시아 국가들의 국내 저축률 및 투자율 간의 장기 균형관계를 검정하고 추정한다. 저축률과 투자율 변수들은, 5종의 패널 단위근 검정과 3종의 패널 공적분 검정에 근거하여, 단위근이 존재하고 공적분되어 있다는 것이 발견된다. CCR, DOLS 및 FMOLS 기법들을 사용한 저축유지율(saving-retention ratio) 계수 추정치들은 표본기간 중 하향 추세를 보여 왔음이 판명되었다. 본고에서 저축유지율 계수 추정치들의 크기는, 통계 자료의 비정상성과 그로 인한 가성회귀 문제를 고려하지 않은 Feldstein and Horioka(1980)보다 훨씬 작게 나타났다. 본고의 추정 결과는 아시아 19개국에서 국제 자본이동성이 1960∼2006년 기간 중 거의 두 배가 되었고, 특히 1990년대와 2000년대에 크게 증가하였음을 보여준다.

다국어 초록 (Multilingual Abstract)

This paper investigates the savings-investment relationship, also known as the Feldstein-Horioka puzzle, for a panel of 19 Asian countries over 1960-2006. It utilizes the recently-developed panel cointegration techniques to test and estimate the long-run equilibrium relationship between savings and investment. Investment and savings rates are found to have unit roots and to be cointegrated, based on 5 different panel unit root tests and 3 types of panel cointegration tests. The estimated coefficients on the savings rate employing CCR, DOLS, and FMOLS techniques, exhibit a declining trend over subsample periods including the structural break for the Asian financial crisis in 1997-98. Moreover, the magnitude of the estimated saving-retention coefficients is much smaller than those reported by Feldstein and Horioka(1980), who did not consider the nonstationarity of data and the resulting spurious regression problem. It suggests that international capital mobility in the Asian economies has almost doubled over 1960-2006 and substantially increased in the 1990s and 2000s.

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