Earticle

한국의 소비자동향지수는 경제상황과 생활형편, 가계수입, 소비지출, 고용, 물가 등 항목별로 소비자의 응답을 가중 평균하여 작성되며, 현재와 미래의 경제 및 소비상황 등에 대한 소비자들의 평가와 기대를 지수로 나타낸 것으로 현재 체감경기 및 미래 소비지출을 예측하는데 아주 유용한 도구로 활용되고 있다. 본 연구에서는 일련의 시계열자료를 통해 소비자동향지수에 영향을 주는 요인이 무엇인지, 또 어떤 시기에 동 지수가 크게 변화하였고 그 변화에 영향을 주는 요인이 무엇인지를 파악하였다. 특히 2008년 미국 서브프라임 금융위기와 2011년 유럽의 재정위기 전후의 영향요인을 집중 분석하였다. 이를 위해 1차적으로 완전모형과 축소모형에서의 회귀분석, 2차적으로 Chow검정을 통한 데이터의 구조변화 파악, 최종적으로 기간별 종속변수를 나누고 그 기간에 따라 가장 영향력 있는 독립변수들이 무엇이고 또 얼마나 설명하고 있는지를 분석하였다. 분석결과 소비자의 경기에 대한 판단은 기업경기실사지수, 경기종합지수, 서비스업생산지수, 도매업판매액지수, 주택전세가격지수와 아주 밀접한 관계가 있으며, 이 중 기업경기실사지수, 경기종합지수, 서비스업생산지수와는 양(+)의 관계를, 도매업판매액지수와 주택전세가격지수와는 음(-)의 관계를 나타냈다. 그리고 2008년 미국의 금융위기와 2011년 유럽의 재정위기가 소비자동향지수의 구조변화에 뚜렷한 영향을 주었고, 이러한 변화에 궁극적인 영향을 미친 요인은 기업경기실사지수와 경기종합지수인 것으로 나타났다. 본 연구를 통하여 다음과 같은 시사점을 도출하였다. 첫째, 금융시장 안정성 측면에서 경기종합지수가 기업경기실사지수 등 여타 지수보다 영향력이 상당하다는 것이다. 이는 2008년 미국 금융위기가 발생한 이후 경기종합지수의 회귀계수가 발생 전보다 약 2배 정도 낮아졌다는 실증적인 결과에 착안한 것이다. 더불어 2011년 유럽 재정위기 이후에는 경기종합지수가 빠른 속도로 회복되는 분석결과에서도 유추할 수 있다. 둘째, 작금의 경기변동은 실체적인 위기 외에 여러 요인들이 복합적으로 작용하여 나타나는데 대표적으로 소비자의 심리 등을 들 수 있다. 이에 현재 소비자동향지수 산정시 소비자의 경제심리지표 가중치를 높이거나 새로운 반영요소를 적극 추가할 필요가 있다. 셋째, 소비자동향지수에 지역별 인식 차이에 대한 비교분석 데이터를 지속 축적하고 이를 실증적으로 분석하여 지역에 특화된 소비자와 기업가의 인식지표를 개발할 필요가 있다. 본 연구결과와 시사점에 기초하여 현재의 소비자동향지수를 기존의 소득, 직업별 구분에서 소득, 직업별, 지역별, 세대별로 더욱 세분화한다면 실제 경제현상에 더욱 근접한 예측결과를 도출할 수 있으며, 또 각 요인별 상호영향력까지 분석한다면 보다 구체적인 소비동향, 더 나아가 전체 경기 동향에 대한 예측력까지 확보할 수 있을 것이다. 또한 개별 지수간의 시계열자료가 경제변수간의 움직임을 유발시키는 원인 변수인지, 결과변수인지를 실증적으로 분석하는데도 활용될 수 있을 것이다.

Consumer trends in Korea are based on the weighted average of consumer responses to economic conditions, living conditions, household income, consumption expenditure, employment, and prices. Consumer evaluations and expectations on current , future economic with consumption patterns are used as a very useful tool for predicting the current sensation and future consumption expenditure. In this study, we have identified what factors influence the consumer trend index through a series of time series data, what time the index has changed drastically and what factors influenced the change. In particular, we focused on the factors affecting the US subprime financial crisis in 2008 and the European fiscal crisis in 2011. To do this, we firstly examine the regression analysis of the full model and the reduced model, secondly, the structural change of the data through the Chow test, and finally, we divide the dependent variables by period and find out what the most influential independent variables are . As a result of the analysis, the judgment of the consumer is very closely related to the business survey index, the economic composite index, the service production index, the wholesale trade index, and the housing rental price index. The relationship between the judgement of the consumer and business survey index, the economic composite index, the service production index is positive, while the wholesale trade index, the housing rental price index show negative relation. In addition, the US financial crisis in 2008 and the European fiscal crisis in 2011 had a significant impact on the structural changes in the consumer trend index. The factors that ultimately influenced these changes were the business survey index and the economic composite index. The following implications were derived through this study. First, in terms of financial market stability, the composite index is more influential than other indexes such as the business survey index. This is based on the empirical result that the regression coefficient of the economic composite index has fallen about twice as much as before the US financial crisis in 2008. In addition, it can be inferred from the analysis that the economic composite index is recovering rapidly after the 2011 European debt crisis. Second, the economic fluctuations of the past are manifested by a combination of various factors in addition to the actual crisis, which is typically the psychology of consumers. Therefore, it is necessary to increase the weights of consumers’ economic psychological indicators or actively add new reflection factors when calculating the consumer trend index. Third, it is necessary to accumulate comparative analysis data on the perceptions of regional differences in the consumer trend index and analyze it empirically so as to develop the perception indexes of consumers and entrepreneurs that cover regional differences. Based on the results of this study and the implications, it is possible to derive forecast results that are closer to the actual economic phenomena by further subdividing the current consumer trend index with income and occupation categories into index with income, occupation, region, and household. Also, by analyzing the mutual influences by factors, more specific consumption trends, as well as predictability about the overall economic trends, will be secured. Furthermore, it can be used to analyze empirically whether the time series data among the individual indices are causal variables or result variables that cause the movement among economic variables.

본 연구는 OECD 국가들의 수송 부문 에너지 소비의 포화현상에 대해 분석하였다. 실증분석 결과, 대부분의 OECD 국가들에서 수송 부문 에너지 소비는 포화상태에 도달한 것으로 나타났고, 한국도 최근 들어 포화현상이 심화되고 있는 것을 확인할 수 있었다. OECD 국가들의 수송 부문 에너지 소비 포화상태에 대한 구체적인 증거들로서 수송 부문 에너지 소비 추세의 기울기 감소, 소득과 에너지 소비 간 관계 약화, 수송 부문 에너지 소비 변동성 축소 등을 제시하였다. 본 연구의 분석결과들에 근거하면 수송 부문 에너지 소비를 예측할 때, 소득과 에너지 소비 간 관계 약화, 에너지 소비 변동성 약화 등을 사전에 고려하여야 할 것이다. 또한, 수송 부문의 에너지 소비 감축 시 실질 소득 변화를 유도하는 가격정책보다 연료 효율을 향상하는 정책이 더욱 효과적임을 시사한다.

This paper investigates the saturation phenomenon of transport energy consumption in OECD countries. Empirical analysis results show that most of OECD countries have already reached at saturation point in transport energy consumption. As concrete evidences, we exhibit statistical analysis results for the decreasing growth rate of transport energy consumption trend, the reduction of income effect on transport energy consumption and volatility stabilization. Therefore, it is necessary to consider whether transport energy consumption saturation state occurs when forecasting transport energy consumption. Also, it is implied that improving real fuel efficiency is more effective than the policy changing real income.

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.

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。

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.

Safety analysis of nuclear power plant (NPP) especially in accident conditions is a basic and necessary issue for applications and commercialization of reactors. Many previous researches and development works have been conducted. However, most achievements focused on the safety reliability of primary pressure system vessels. Few literatures studied the structural safety of huge concrete structures surrounding primary pressure system, especially for the fourth generation NPP which allows existing of through cracks. In this paper, structural safety reliability of concrete structures of HTR-PM in accidental double-ended break of hot gas ducts was studied by Exceedance Probability Method. It was calculated by Monte Carlo approaches applying numerical simulations by Abaqus. Damage parameters were proposed and used to define the property of concrete, which can perfectly describe the crack state of concrete structures. Calculation results indicated that functional failure determined by deterministic safety analysis was decided by the crack resistance capability of containment buildings, whereas the bearing capacity of concrete structures possess a high safety margin. The failure probability of concrete structures during an accident of double-ended break of hot gas ducts will be 31.18%. Adding the consideration the contingency occurrence probability of the accident, probability of functional failure is sufficiently low.