干涉分析에 관한 實證的 硏究 = (A) Empirical Study on Intervention

다국어 초록 (Multilingual Abstract)

The price level in Korea has been affected by a few great intervention which were due to the government policles and the foreign factors.
From Jan. 1965 to Dec. 1986, five big shocks could be observed on the Whole Price Index (W.P.I), which were caused by the rises in oil price and changes in the foreign exchange rate.
The purpose of this thesis is to investigate the nature of the shocks and their causalities to the general price level.
The Intervention Analysis technique was used to see the effect of the shocks to the W.P.I and the modified identification method of the Intervention model was suggested.
It was found that the effect of the first oil price hike in Dee. 7973 and the change in the foreign exchange rate in Dee, 1974 to the W,P.I were similar. And the effect of the second oil price hike in July 1979 and the change in the foreign exchange rate in Jan. 7980 to the W.P.1 were similar, too.
In addition, we can see that a real drop in the W.P.I is asso ciated with the effect of the reduction of oil price.

목차 (Table of Contents)

• 목차 = ⅰ
• 第1章 序論 = 1
• 第1節 硏究 目的 = 1
• 第2節 硏究 範圍 = 3
• 第3節 硏究 方法 = 4
• 第2章 理論的 背景 = 7
• 第1節 干涉模型의 意義와 先行硏究 = 7
• (1) 意義 및 性格 = 7
• (2) 先行 適用 硏究 = 10
• 第2節 于涉模型의 構造와 分類 = 13
• (1) 단변량 干涉模型 = 14
• (2) 轉移函數 干涉模型 = 15
• 第3節 干涉模型 分析 過程 = 17
• (1) 干涉 效果의 區分 = 17
• (2) 단변량 模型 設定 方法 = 23
• (3) 干涉模型의 推定 및 檢定 = 24
• 第4節 干涉模型 適用上의 限界 = 28
• (1) 干涉模型의 限界 = 28
• (2) 컴퓨터 使用上의 限界 = 28
• 第3章 干涉摸型 適用 設計 = 30
• 第1節 時系列 推移 調査 = 30
• (1) 資料의 Plot = 30
• (2) 不安定的 時系列의 變形 方法 = 33
• 第2節 干涉 以前 模型 設計 = 38
• (1) 模型의 同定 = 38
• (2) 媒介變數의 推定 및 檢定 = 47
• 第3節 干涉 以後 模型 設計 = 52
• (1) 模型 設定時 問題點 = 52
• (2) 修正된 模型 設定 方法 = 54
• 第4章 事例 硏究 = 56
• 第1節 事例 硏究 槪要 = 56
• (1) 資料의 選定 = 56
• (2) 資料의 Plot = 58
• (3) 全 時系列에 대한 ARZMA模型 設定 = 60
• 第2節 事例 分析 內容 = 66
• (1) 干涉 發生 時期 및 內容 = 66
• (2) 模型의 確立 過程 = 73
• (3) 豫測 = 91
• 第3節 事例 結果 整理 = 93
• (1) 干涉要因의 效果에 대한 解析 = 93
• (2) 豫測値에 대한 解析 = 98
• 第5章 結論 및 硏究課題 = 100
• 第1節 結論 = 100
• 第2節 앞으로의 硏究課題 = 101
• ABSTRACT = 103
• 參考文獻 = 104