Earticle

본 논문은 대만의 소득 불평등도 움직임의 구조변화에 대해 분석한다. 시간추세에 두 개의 국면이 있는 마코프 국면전환 모형이 사용되며, 한 국면에서 다른 국면으로의 영구적인 전환이 미지의 시점에 1회 발생하도록 허용된다. 1978년-2015년 기간의 소득 5분위 배율과 지니계수에 대한 분석 결과 는 다음과 같다. 첫째, 소득 5분위 배율과 지니계수 모두에서 시간추세의 구조변화 시점은 2001년으로 추정되었다. 둘째, 구조변화 이전인 1978년-2000년 기간의 첫 번째 국면은 소득 5분위 배율과 지니계수 가 시간추세에 따라 상승하는 국면으로서 소득 불평등도가 꾸준히 악화된 국면으로 나타났다. 셋째, 구 조변화 이후인 2001년-2015년 기간에 해당하는 두 번째 국면의 특성은 소득 5분위 배율의 경우에는 시 간추세 없이 과거보다 훨씬 높은 수준이 꾸준히 유지된 국면, 지니계수의 경우에는 그러한 높은 수준에 서 무시할 수 있을 정도로 작은 추세적인 하락을 보인 국면으로 확인되었다. 이것은 2001년 이후의 소득 분배가 그 이전에 비해 훨씬 악화된 상태에서 정체되었음을 가리킨다. 소득 불평등도의 이러한 구조변화 의 배경에는 실업 증가 및 성장 저하가 있는 것으로 보인다. 대만의 실업률은 2001년에 저실업 국면에서 고실업 국면으로 전환하였으며, 성장률은 1998년-2001년 기간을 전후하여 고성장 국면에서 저성장 국면 으로 바뀐 것으로 나타났다.

This paper investigates structural break in the income inequality series of Taiwan. A two-state Markov regime-switching model is used where time trend is allowed to make one time permanent shift from one state to the other at an unknown change point. For the income quintile share ratio and the Gini coefficient over the period of 1978-2015, we find that 1) the break date is the year 2001 for both of the income quintile share ratio and the Gini coefficient, 2) the period before the break which is 1978-2000 is identified as a state where the two income inequality measures have a positive time trend, 3) the period after the break which is 2001-2015 is identified as a state with no inclining or declining trend for the income quintile share ratio and a state with a negligibly declining trend for the Gini coefficient. This indicates that income inequality has been widening before 2001 and has stayed at a substantially higher level after 2001 than before 2001. The structural break of income inequality seems attributed to higher unemployment and lower growth. Unemployment rates made a shift from the low to high unemployment state in 2001, and GDP growth rates switched from the high to low growth state over 1998-2001.

본 연구에서는 무차익(no arbitrage) 조건하에서의 주택시장 및 거시변수들 간의 균형조건을 도출하고 이를 이용하여 우리나라 주택매매 및 전세가격을 분석하였다. 주택 변수들이 불안정성을 통제하기 위해 차분 변수 VAR이나 축약형 VECM 모형에 의존하던 기존의 연구들과는 달리 본 연구에서는 주택 변수들 간의 장기균형 관계의 구조적 변화 여부를 감안한 구조적 VECM 모형을 구축하였다. 분석 결과 우리나라 주택시장에는 한 번의 구조적 변화가 관찰되었으며, 이러한 구조 변화의 고려 여부로 인해 주택매매 및 전세시장 분석에서 상이한 결과가 초래됨을 확인할 수 있었다.

This paper derives an equilibrium condition between housing and macroeconomic variables and analyzes the movements of rental and sales prices. We add a structural VECM model allowing for structural breaks to the existing literature. Empirical results find that there is a one structural break in the Korean housing market and the inclusion of this break brings non-trivial effects on rental and sales market developments.

In this study we examine whether daily S&P 500 index volatility can be modeled parametrically as a long-memory process by extending an integrated process to a fractionally integrated one. The modified R/S test statistic and others are significant at the 1% level of significance, so we reject the null hypothesis of no long-term dependence. We have found that there is strong evidence for long memory in the series analyzed. We compare the out-of-sample forecasting performance of volatility models from 1962 to 2009. For various forecasting horizons, the long-memory FIGARCH model tends to make more accurate forecasts. Our empirical finding that the index volatility has long memory is consistent with prior evidence showing that an asset market volatility model such as plain GARCH puts too much weight on recent observations in the estimation process relative to those of the past. The forecasting model with the lowest MSFE and VaR forecast error among the models we consider is the FIGARCH model. In terms of forecasting accuracy, it dominates the widely accepted GARCH and rolling window GARCH models. We find that the White’s reality check p-values for the FIGARCH (1, 1) expanding window model reject the hypothesis that there exists a better model than the two benchmark models. The Hansen’s p-values report the same results.

This paper investigates the long-run equilibrium relationship between stock prices and six macroeconomic variables, using Jonhansen’s co-integration analysis. In addition, using Hansen and Johansen (1993)’s recursive likelihood ratio test of the constant cointegration space, this study analyzes the stability of cointegraing vectors, i.e, the structural shift of the relationships between the macroeconomic variables We find that the Korean market is cointegrated with six macroecomonic forces However , the regime shift was found some time in 1987. Thus, with the dummy variable for the structural changes, this study investigates the long-run relationship between the stock prices and macroeconomic variables and shows that the signs of co-integrating vector are the same as the signs expected by the hypotheses. The stock prices are negatively related with the long-term interest rate, the oil prices and Korean won against the US dollars, and positively related with the inflation, the industrial production, and the supply of money.

This paper examines the changes in Original Equipment Manufacturer(OEM)- supplier relationships in the Japanese automotive industry after the restructuring since 2000's, mainly focusing on the movement of Nissan and Toyota. Some car industry analysts report the break-up of keiretsu system, nevertheless, discussions in this paper suggest that such point of view is superficial. In this respect, we analyze data concerning automakers' joint patent and auto parts transactions in order to specify cooperation between auto maker and supplier. 　In conclusion, this paper suggests that the importance of keiretsu in the functional aspects of Japanese OEM-supplier relationships has continued or even increased after the restructuring.

本稿では、日産とトヨタの事例に焦点を当て、2000年代以降日本の自動車産業における構造改革によって完成車メーカーと部品メーカーの関係にどのような変化がを生じたかを検証する。 最近、自動車評論家の中では系列崩壊論を主張する人もいるが、それは皮相的な側面を持つ。このような視点から、本稿では自動車メーカーとサプライヤーの協業度をみるために共同特許と部品取引のデータを用いた。分析の結果、機能的な側面においてメーカーとサプライヤー間の系列システムは、構造改革以降にも依然として重要であり、さらに増加する傾向も見られた。

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.

This study employed the structural breakpoint estimator developed by Baek (2024) to examine output growth rates in South Korea and the United States. For the U.S., the estimated break point occurred in 1973Q1, coinciding with the well-documented slowdown in productivity growth, which was highlighted in macroeconomic literature. In contrast, the conventional least-squares estimator yielded inconsistent results across sample periods. In the case of South Korea, both methods consistently estimated a structural break in 1997Q2, corresponding to the onset of the Asian Financial Crisis. These results demonstrate that the new estimator provides a more reliable inference in the presence of statistically small but economically significant structural changes.

Using the recently developed structural break threshold VAR, the main purpose of this study is to test for the structural break and regime dependent Granger causality between stock prices and exchange rates for six Asian countries of China, Japan, Korea, India, Indonesia and Taiwan including the linear Granger causality tests from the traditional VAR model for comparison. This study notes that causality results based on a constant-parameter linear model are likely to be biased in the presence of structural breaks and regime changes. In the case of the unidirectional Granger causality running from an exchange rate to a stock index for China, Korea and Indonesia in regime 2-break 1 and Taiwan in regime 1-break 2, the policy-maker should be careful to implement intervention policies to retain an exchange rate because they could lead to a fall in a stock index. On the other hand, in the case of the unidirectional causality running from a stock index to an exchange rate for India and Indonesia both in regime 1-break 1 and regime 1-break 2, it may be implied that more aggressive intervention policies may be implemented with little adverse or no effects on a stock index. If there exists no causality in either direction, say in regime 2-break 1 for Japan, it would imply that intervention policies to exchange markets do not affect a stock index.

This study estimates the break point in the residual variance and in the propagation mechanism of the real exchange rates at about the time of the Asian crisis that occurred in 1997, and provides some explanations for the breaks. The breaks in the residual variance increased the volatility of the real exchange rates, which given the overall effects of common adverse shocks to the countries seems to be reinforced by the sudden withdrawal of Japanese commercial banks’ lending to the region. And the subsequent breaks in the propagation mechanism reduced the volatility, which reflects the change in the government policy stance to result in smoothing the pace of appreciation. In addition, the breaks in the nominal exchange rates rather than in the price ratios are mainly responsible for the breaks in the real exchange rates.

We consider an infinite-order long-memory heterogeneous autoregressive (HAR) model, which is motivated by a long-memory property of realized volatilities (RVs), as an extension of the finite order HAR-RV model. We develop bootstrap tests for structural mean or variance changes in the infinite-order HAR model via stationary bootstrapping. A functional central limit theorem is proved for stationary bootstrap sample, which enables us to develop stationary bootstrap cumulative sum (CUSUM) tests: a bootstrap test for mean break and a bootstrap test for variance break. Consistencies of the bootstrap null distributions of the CUSUM tests are proved. Consistencies of the bootstrap CUSUM tests are also proved under alternative hypotheses of mean or variance changes. A Monte-Carlo simulation shows that stationary bootstrapping improves the sizes of existing tests.

This paper aims to examine the effects of structural breaks on compliance with the PPP hypothesis. To this end, Korean won/dollar and won/yen real exchange rates are used over the period from 1970:q1 to 2010:q2. The empirical findings show that the PPP in Korea does not hold during the observation period regardless of the inclusion of a structural break. This implies that any shocks to the real exchange rate in Korea tend to be persistent, and regime changes or external shocks do not have any impact on the validity of PPP in Korea. Thus PPP may not be used to either predict the long run exchange rate or determine the degree of misalignment of the nominal exchange rate and the appropriate policy response for practical purposes.

The aim of this paper is to re-examine the cointegrating and causal relationship between financial development and economic growth in the ECOWAS. To this end, we use the Gregory and Hansen (1996a, 1996b) approach to cointegration with structural change and the procedure for non-causality test of Toda and Yamamoto (1995). Data are from the World Bank (2007) and cover the period 1960-2005. We show that there is a long-run ionship between financial development and economic growth in six countries, namely, Burkina Faso, Cape Verde, Cote d’Ivoire, Ghana, Liberia and Sierra Leone. In addition, we show that financial development ‘leads’ economic growth in Ghana and Mali while growth causes finance in Burkina Faso, Cote d'Ivoire and Sierra Leone, and a bidirectional causality in Cape Verde and Liberia. The policy implication is that Cape Verde, Ghana and Mali should give policy priority to financial reform while Burkina Faso, Cote d’Ivoire and Sierra Leone should promote economic growth.

This paper investigates the tourism-led growth hypothesis in the case of Korea considering a possible structural break from exogenous shocks, such as the Asian financial crisis in 1997 and the controlling policy of outbound travel in the latter half of the mid-1980s. To examine the possible structural break from exogenous shocks, we utilized a structural break unit root test. Adapting Granger causality test and variance decomposition, we found the relationship between tourism and economic growth in Korea. The results of the structural break test show that structural break points exist in 1979 and 1997 for tourism receipts and GDP, respectively. Before and after structural breaks points, we found a different relationship. We also found that a GDP shock only explained 22% of variation errors in tourism receipts based on the results of a variance decomposition. These results have contributions and implication to previous literature. First, the structural break from an exogenous shock can make a change in the relationship between tourism and economic growth. Second, a rise in GDP may lead to outbound tourism rather than domestic in Korea.

This study examines the time series characteristics of residential electricity demand and its determinants in Korea and the short-run and long-run relationship among them. We employ unit root tests, cointegration, and error-correction models on annual time series for the period 1972--2019. The rapid development of Korea over this period provides clear evidence of the possibility of structural breaks. We find that residential electricity demand and its determinants are trend-stationary processes with a slope change, which implies that there is no need to invoke cointegration methods under the unit root assumption. We expect that the essential modeling strategy presented in this article will be widely applicable.

This paper empirically investigates the long?run relationship between effective exchange rates and foreign exchange reserves in Mongolia over the period of June 1997 to June 2007. In particular, to allow for a structural break, we conduct the stationarity analysis of Zivot and Andrews(1992) and the cointegration analysis of Gregory and Hansen(1996). The results demonstrate clear evidence supporting the presence of a long-run relationship between exchange rates and foreign exchange reserves, even though conventional tests do not detect such a long-run relationship. This study also argues that the estimated timing of the structural break is consistent with significant economic shocks in Mongolia.

In this article, I examine the effects of economic crisis and democratization on welfare state generosity in South Korea. While there are many qualitative studies documenting welfare policy expansion after the 1997 Asian financial crisis or the 1987 democratization, statistically solid empirical research remains lacking. This study fills the gap by employing several time-series methods for testing for structural breaks. Using 1972-2005 data, I show that the two economic crises, one in 1979 and the other in 1997, play major roles in explaining the growth of the Korean welfare state. This result is consistent with the hypothesis that economic crisis leads the public to ask the government for protection. I also show that democratization led to an increase in the expenditure on welfare programs, but its effect is statistically not robust.

This paper deals with the analysis of inflation in Latin America across the 20th century. We use annual data from 18 countries using a methodology based on fractional integration. However, given the structure of the inflation rates in these countries, we allow for the possibility of a structural break that is endogenously determined by the model. The results show that for most of the countries the break-date takes place in the late 1980s or early 1990s, and the orders of integration are in all cases higher than 0.5 and, in many cases, smaller than 1, implying non-stationary mean reverting behaviour.

This paper tests whether exogenous shocks including agricultural policies, trade liberalization and financial crisis have impacts on the structural changes in the farm and farm household income. Unlike previous studies that specify break points prior to the estimation of regression, this paper estimates break points by fitting time series models. Tests for the structural breaks show that there is no structural break in the real farm household income whereas real farm income has five break points. Especially the break at 1997 can be interpreted as the impacts of financial crisis. The break points of 1983, 1987 and 1992 approximately match with the timings when agricultural policies that aimed better structure of agriculture and rural area were implemented. The assessed impacts of exogenous shocks at 1970, 1983, 1987 and 1992 are all positive, whereas the assessed impact of the shock at 1997 is negative. The impacts of the shock at 1997 on real farm income are assessed within the range between -1,141,432 won and -3,167,804 won.