The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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The Term Structure and Predicting the Domestic Recessions

금리의 기간구조와 경기후퇴의 예측

  • Kim, Tae-Ho (Department of Information Statistics, Chungbuk National University) ;
  • Song, Dae-Sub (Department of Information Statistics, Chungbuk National University)
  • 김태호 (충북대학교 정보통계학과) ;
  • 송대섭 (충북대학교 정보통계학과)
  • Published : 2009.04.30
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Abstract

Various methods have been suggested in developing the useful leading indicators to predict the actual realizations when time laps exist between policy plannings and future events. The recent economic crisis could have been relived if the information necessary to respond to the future evolutionary process is provided in advance. As the relations between the financial variables and the real economic activity become unstable because of the changes in the financial environment, this study attempts to estimate the capabilities of various internal and external term spreads in predicting the future business trend, followed by comparison and evaluation.

정책수단과 장래 발생할 사건 간에 시차가 존재할 때 미래의 상태를 예측하는 데 유용한 선행지표의 개발에 다양한 방법들이 모색되어 왔다. 미래의 상황전개에 대응하는데 필요한 정보가 조기에 제공된다면 최근과 같은 경제위기의 폭은 크게 감소될 수 있을 것이다. 그간 금융환경이 변화하면서 금융변수와 실물경제활동 간에 관계가불안정해지고 괴리가 심화됨에 따라 본 연구에서는 미래의 경기동향을 미리 예측할 수 있는 국내외 금리변수들의 예측 능력을 추정해 비교 평가해 보았다.

Keywords

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