Earticle

초록

영어

The focus of this investigation is to analyse the relationship between financial stress index and industrial production index with monthly data from 2000 to 2016. The results of the linear Engle-Granger 2-stage cointegration test show no common trend between the variables, but the results from nonlinear cointegration test reflecting the characteristics of the estimated residuals, including the trends, suggest that there is a long-run relationship. The results of this empirical analysis have two following implications. First, the cointegration test with 2-stage estimation procedure should reflect the characteristics of the residuals. Second, it is useful to provide an indicator of the financial situation of the individual economy. Specifically, the results of empirical analysis, including the nonlinearity, suggest that it is necessary to expand the appropriate analytical models to be used in indexing and forecasting of individual economic conditions.

목차

Abstract
 Ⅰ. 서론
 Ⅱ. 금융관련지수 정의와 스트레스지수
 Ⅲ. 비선형 실증분석 모형
 Ⅳ. 실증분석 결과
 Ⅴ. 결론
 참고문헌

키워드

저자

• 김현석 [ Hyunsok Kim | 부산대학교 경제학부 부교수, 제1연구자 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  무역통상학회지 [Journal of Korea Research Association of International Commerce]

• 간기

  격월간

• pISSN

  1738-4354

• 수록기간

  2001~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 326 DDC 380