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아시아 국가에서의 경상수지 불균형의 조정과정에 관한 연구
Reports NRF is supported by Research Projects( 아시아 국가에서의 경상수지 불균형의 조정과정에 관한 연구 | 2006 Year | 김홍기(한남대학교) ) data is submitted to the NRF Project Results
Researcher who has been awarded a research grant by Humanities and Social Studies Support Program of NRF has to submit an end product within 6 months(* depend on the form of business)
사업별 신청요강보기
  • Researchers have entered the information directly to the NRF of Korea research support system
Project Number B00032
Year(selected) 2006 Year
the present condition of Project 종료
State of proposition 재단승인
Completion Date 2007년 12월 28일
Year type 결과보고
Year(final report) 2007년
Research Summary
  • Korean

  • 아시아 5개국의 경상수지불균형을 전통적인 단위근 검정을 실시하면 단위근이 존재한다는 가설을 기각하지 못한다. 하지만 비선형단위근 검정을 실시하면 단위근의 존재를 기각하여 비선형평균 수렴을 보인다. 따라서 많은 연구에서 보이는 결과와는 달리 아사아의 외환위기는 경상수지가 지속가능한 경로에 있어 경상수지불균형에 의해 야기된 것이 아니다. 이러한 결과는 경상수지의 시제간접근을 지지하는 결론이다. 또한 이 연구는 경상수지조정과정에서의 문지방효과(threshold)의 존재를 기각하고 있다. 1998년의 경상수지적자의 급속한 반전은 실질환율의 평가절하에 의해서 야기되었음을 밝히고 있다. 또한 본 연구는 경상수지적자가 큰 국가들의 정책적인 시사점을 제공한다.
    아시아 5개국의 경상수지불균형을 전통적인 단위근 검정을 실시하면 단위근이 존재한다는 가설을 기각하지 못한다. 하지만 비선형단위근 검정을 실시하면 단위근의 존재를 기각하여 비선형평균 수렴을 보인다. 따라서 많은 연구에서 보이는 결과와는 달리 아사아의 외환위기는 경상수지가 지속가능한 경로에 있어 경상수지불균형에 의해 야기된 것이 아니다. 이러한 결과는 경상수지의 시제간접근을 지지하는 결론이다. 또한 이 연구는 경상수지조정과정에서의 문지방효과(threshold)의 존재를 기각하고 있다. 1998년의 경상수지적자의 급속한 반전은 실질환율의 평가절하에 의해서 야기되었음을 밝히고 있다. 또한 본 연구는 경상수지적자가 큰 국가들의 정책적인 시사점을 제공한다.
  • English
  • Although conventional unit-root tests fail to reject the existence of a unit root in the current-account imbalances of our sample of five crisis-affected Asian countries, we find that nonlinear unit-root tests reject the existence of a unit root in favor of nonlinear mean reversion. Thus, contrary to what some others have claimed, the Asian crisis was not caused by these countries’ current-account deficits as their current accounts were on sustainable paths. These results provide support for the intertemporal approach to the current account. We reject the existence of any threshold in current-account adjustment. We also find that dramatic improvements in these countries’ current-account deficits around 1998 were caused by sharp real depreciations of their currencies. Finally, we provide the policy implications of this study for countries with great current account imbalance.
Research result report
  • Abstract
  • Although conventional unit-root tests fail to reject the existence of a unit root in the current-account imbalances of our sample of five crisis-affected Asian countries, we find that nonlinear unit-root tests reject the existence of a unit root in favor of nonlinear mean reversion. Thus, contrary to what some others have claimed, the Asian crisis was not caused by these countries’ current-account deficits as their current accounts were on sustainable paths. These results provide support for the intertemporal approach to the current account. We reject the existence of any threshold in current-account adjustment. We also find that dramatic improvements in these countries’ current-account deficits around 1998 were caused by sharp real depreciations of their currencies. Finally, we provide the policy implications of this study for countries with great current account imbalance.
  • Research result and Utilization method
  • This paper analyzes the mean-reverting behavior of the current account in five crisis-affected Asian countries. Our key findings are as follows. The conventional linear unit-root test (the ADF test) fails to reject the existence of a unit root in the current accounts of all countries except for the Philippines. The existence of a unit root is rejected in favor of nonlinear mean reversion for all countries except Thailand. These nonlinear unit-root test results imply that, with the exception of Thailand, the current accounts of these countries over the past three decades have been on sustainable paths. This evidence for the mean-reverting behavior of these countries’ current accounts also provides support for the intertemporal model of the current account.
    The financial crisis of 1997 raised some questions as to whether policy-makers might have contributed to the crisis by not dealing adequately with the large current-account deficits, which meant that these countries relied very heavily on massive foreign capital inflows. These excessive current-account deficits also led some experts to claim that the current accounts were not on sustainable paths. However, our results indicate that these countries’ current accounts display a mean-reverting behavior, implying that their current-account deficits could not have degenerated into an external crisis.
    We could not find evidence for any threshold in the current-account adjustment. We also found that the nonlinear mean-reverting behavior of these countries’ current accounts is best described by the ESTAR model rather than by either the DTAR or DLSTAR models.
    The results of variance decomposition and impulse response function analyses indicate that dramatic improvements in the current-account deficits of these countries around 1998 were caused by sharp real depreciations of their currencies against those of their major trading partners. Contrary to most industrialized countries, the slowdown of these countries’ real GDP growth rates did not play a critical role in reducing their current-account deficits.
    Finally, policy implications are as follows. Among others, the most important finding of this study argues that using monetary or fiscal policy based on simple unit root test will be misleading and can cause dynamic inconsistency problem for that country. However, for countries like Thailand, when the current account is proven to be unsustainable with linear and nonlinear unit root tests, government has a strong incentive to bring in monetary or fiscal policies.
    However, there are serious policy constraints when we try to reverse the unsustainable current account deficit into sustainable one. No policy mix can avoid long-run significant realignment of exchange rates which will, not only, increase expected exchange rate volatility (Obstfeld and Rogoff, 2004; Rogoff, 2006), but also, have a strong negative impact on growth and employment (Edwards, 2006).
    Taking those constraints in mind, first of all, fiscal adjustment (consolidation) is necessary. Especially, a couple of important tax policies are clear for Thailand. From the saving investment gap perspective, in order to stimulate private saving, she can (i) reduce the marginal income tax rates, (ii) cut tax rates on corporate equity dividend and capital gains or transform the tax system to a "broad-based" income tax or consumption tax which will significantly increase annual output per worker (Hubbard, 2006).
  • Index terms
  • Current account; Intertemporal approach; Sustainability; Nonlinear unit-root tests; Asian economies; Mean reversion
  • List of digital content of this reports
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