华中科技大学博士学位论文我国费雪效应的非参数检验姓名：陈文静申请学位级别：博士专业：数量经济学指导教师：王少平20080601
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 햪 튪 샻싊뫍춨믵엲헍싊쫇뫪맛뺭볃훐뗄솽듳훘튪뺭볃뇤솿ꎬ뾼달뫍럖컶헢솽룶뇤솿뗄뺭볃탐캪틔벰헢뛾헟횮볤뗄쿠뮥펰쿬맘쾵뛔폚믵뇒헾닟뗄훆뚨뫍닙ퟷ틔벰뷰죚쫐뎡뗄췪짆뚼폐ퟅ훘튪뗄쿖쪵틢틥ꆣퟔ럑톩킧펦쳡돶틔살ꎬ럑톩볙짨뻍ퟷ캪뺭볃톧훐뗄믹놾볙짨펦폃폚탭뛠훘튪쒣탍훐ꎬ훚뛠톧헟쫔춼듓샭싛뫍쪵횤솽룶랽쏦살뷢쫍뫍볬퇩럑톩킧펦ꎬ틲뛸볬퇩럑톩킧펦뻍튻횱돉캪뺭볃톧퇐뺿뗄튻룶죈뗣ꆣ떫튻횱틔살ꎬ럑톩킧펦뗄퇐뺿튻횱듦퓚ퟅ샭싛퇐뺿폫쪵횤볬퇩뷡싛뗄늻튻훂탔ꎬ벴듦퓚쯹캽ꆰ럑톩킧펦횮쏕ꆱꆣ캧죆ퟅ죧뫎볬퇩뫍뷢쫍ꆰ럑톩킧펦횮쏕ꆱ닺짺쇋듳솿뗄컄쿗ꎬ떫떽쒿잰캪횹죔쎻폐듯돉맣랺뗄릲쪶ꆣ뺡맜죧듋ꎬ뛔폚뺭볃톧쳘뇰쫇뛔믵뇒헾닟뛸퇔ꎬ럑톩킧펦퇐뺿죔좻뻟폐늻뿉쳦듺뗄ퟷ폃ꆣ뛔폚춨믵엲헍싊뗄뇤뮯ꎬ샻싊헾닟뗄뗷헻틔벰막욱쫕틦싊믡쯦횮닺짺퓵퇹뗄뇤뮯ꎬ웤맘볼퓚폚럑톩킧펦쫇럱돉솢믲퓚뫎훖돌뛈짏돉솢ꎬ헢뻍쫇놾컄뗄훷튪퇐뺿쒿뗄ꆣ 놾컄믹폚컒맺뫪맛뺭볃뇤솿쏻틥샻싊폫춨믵엲헍싊틔벰막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뗄럇쿟탔퇝뷸쳘헷ꎬ펦폃럇닎쫽떥캻룹뫍럇닎쫽킭헻샭싛살볬퇩헢킩뇤솿횮볤쫇럱듦퓚뎤웚뗄뗷헻믺훆ꎬ뷸뛸믹폚럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆랽램맀볆돶럑톩킧펦쾵쫽ꎬ평듋닺짺뗄훷튪뷡싛죧쿂ꎺ 뗚튻ꎬ럇닎쫽킭헻볬퇩뗃돶뗄뷡싛쫇ꎺ(1)컒맺뫪맛뺭볃뇤솿쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚뎤웚뗄럇쿟탔킭헻맘쾵ꆣ본폚럇닎쫽볬퇩뻟폐룼뫃뗄킡퇹놾탔훊ꎬ벴뻟폐룼룟뗄볬퇩쫆뫍룼킡뗄쿔훸탔쮮욽얤쟺ꎬ뛸쟒럇닎쫽킭헻볬퇩늢쎻폐뫶싔뺭볃뇤솿횮볤뿉쓜듦퓚뗄럇쿟탔틲쯘ꎬ틲듋놾컄뻝듋죏캪럇닎쫽킭헻볬퇩뗃돶뗄뷡싛룼뻟폐컈붡탔뫍뫏샭탔ꎬ벴컒맺쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄뗷헻믺훆ꆣ쪵볊짏퓚2007쓪ꎬ캪틖훆쇷뚯탔맽쪣뫍컈뚨춨믵엲헍풤웚ꎬ럀횹춨믵엲헍뗄뷸튻늽볓뻧ꎬ퇫탐솬탸뛠듎닉좡볓쾢헾닟ꎬ늢평컈붡뗄믵뇒헾닟쿲쫊뛈듓뷴뗄믵뇒헾닟ꎻ뛸쟒쒿잰듓뷴뗄믵뇒헾닟킧펦틑뺭돵늽쿔쿖ꎬ춨믵엲헍뗄퓶쯙퓚훰늽복뮺ꆣ헢틢캶ퟅ퇫탐캪컈뚨춨믵엲헍쯹닉좡뗄뗷쾢헾닟쫇뫏쫊뗄ꎬ뛸쟒놾컄뗄볬퇩뷡싛튲뷸튻늽캪컒맺뗷쾢뗄I
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 믵뇒헾닟쳡릩쇋샭싛횧돖ꆣ쿠뛔뛸퇔ꎬJohansen킭헻볬퇩뗄뷡싛럱뚨쇋뎤웚킭헻맘쾵뗄듦퓚ꎬ헢듓룹놾짏업돽쇋컒맺샻싊폫춨믵엲헍싊횮볤뗄뺭볃맘쾵ꎬ헢튲럱뚨쇋퇫탐캪뿘훆춨믵엲헍뛸닉좡뗄샻싊뗷헻쯹닺짺뗄킧펦ꎬ틲듋헢퇹뗄뷡싛컞싛듓샭싛뮹쫇믹폚컒맺뗄쪵볹ꎬ뚼펦쫇튻룶늻헽좷뗄뷡싛ꆣ(2)컒맺캢맛막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뎤웚뗄럇쿟탔킭헻맘쾵ꆣ춬퇹ꎬ믹폚쿟탔닎쫽탍뗄Johansen킭헻볬퇩좴럱뚨쇋헢뛾헟횮볤듦퓚뗄뺭볃맘쾵ꎬ헢쿔좻폫쿖쪵뺭볃늻컇뫏ꆣ쪵볊뛸퇔ꎬ훮뛠틲쯘ꎬ뇈죧춨믵엲헍ꆢ샻싊헾닟ꆢ뺭볃닺돶쮮욽뫍뺭볃훜웚뗈틲쯘뚼믡뛔막욱쫕틦싊닺짺펰쿬ꎬ틲뛸막욱쫕틦싊폫춨믵엲헍싊횮볤뿉쓜믡듦퓚뢴퓓뗄럇쿟탔펰쿬믺훆ꎬ뛸럇튻훖볲떥뗄쿟탔헽쿠맘믲뢺쿠맘믺훆뻍쓜뛔듋뷸탐헽좷뗄?쫍ꆣ본폚짏쫶뗄럖컶ꎬ놾컄죏캪럇닎쫽킭헻볬퇩뗃돶뗄뷡싛룼캪뫏샭ꎬ쟒룼볓럻뫏막욱쫕틦싊폫춨믵엲헍싊뗄쫽뻝춼탎쯹쿔쪾뗄럇쿟탔쳘헷ꆣ 뗚뛾ꎬ믹폚럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆쯹닺짺뗄뷡싛죧쿂ꎺ(1)샻싊뗷헻웚뛔펦뗄럑톩킧펦쾵쫽뻹캪헽쟒킡폚1ꎬ헢틢캶ퟅ컒맺쏻틥샻싊폫춨믵엲헍싊횮볤뷶듦퓚죵뗄럑톩킧펦ꎬ벴샻싊뗄뗷헻횻쓜뛔춨믵엲헍믲춨믵엲헍풤웚닺짺늿럖뗄뗷헻킧펦ꆣ욽뻹뛸퇔ꎬ럑톩킧펦쾵쫽캪ꎬ헢튻뷡싛틾몬뗄틢틥캪ꎺ2007쓪틔살ꎬ퇫탐캪컈뚨춨믵엲헍풤웚쯹닉좡뗄볓쾢헾닟쫇쫊쪱뗄ꎬ펦쓜닺짺늿럖뗄풤웚킧펦ꎻ쇭튻랽쏦ꎬ믹폚춨믵엲헍싊뗄뇤뮯뗈틲쯘쫊쪱쫊뛈볓쾢ꎬ컒맺뗄믵뇒헾닟뿉틔쫊쪱뗘쿲폚틔펦폃샻싊뗷헻캪훷ꎬ틔듙뷸컒맺뺭볃뗄컈붡퓶뎤ꆣ(2)믹폚막욱쏻틥쫕틦싊폫춨믵엲헍싊뗄퇹놾맀볆뗄럑톩킧펦쾵쫽퓚쎿튻웚뻹늻쿠춬ꎬ쟒헢킩쾵쫽퓚헽뢺횮볤붻쳦돶쿖ꎬ헢틢캶ퟅꎬ뛔폚컒맺춨믵엲헍싊뗄뇤뮯ꎬ막욱쏻틥쫕틦싊뛔펦뗄뇤뮯폐쪱캪춬랽쿲ꎬ뛸폐쪱퓲췹쿠랴뗄랽쿲뇤뮯ꎬ헢뛾헟횮볤듦퓚튻훖뢴퓓뗄럇쿟탔뗷헻믺훆ꎬ헢뷸튻늽횤쪵쇋럇닎쫽킭헻볬퇩뗃돶뗄뷡싛ꆣ믹폚막욱쫐뎡럑톩킧펦뗄몬틥뫍맀볆뗄뷡맻ꎬ놾컄죏캪컒맺막욱쫐뎡늻듦퓚럑톩킧펦ꆣ뇊헟믹폚막욱쪵볊쫕틦싊뫍춨믵엲헍싊뷸튻늽뷸탐럇닎쫽맀볆ꎬ뗃돶뗄럑톩킧펦쾵쫽듳뛠쫽쟩뿶캪뢺ꎬ짙쫽쾵쫽캪헽ꎬ뛸늢럇럑톩킧펦틾몬뗄쾵쫽캪쇣ꆣ헢튲퓙듎횤쪵쇋컒맺막욱쫐뎡늻듦퓚럑톩킧펦ꎬ룃뷡싛폫듳뛠쫽맺볊컄쿗뫍맺쓚컄쿗뗄퇐뺿뷡싛쿠춬ꆣ ퟛ짏쯹쫶ꎬ놾컄ퟮ캪훘튪뗄뷡싛뿉틔볲떥뇭쫶캪ꎺ컒맺뫪맛뺭볃뇤솿쏻틥샻싊폫II
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 춨믵엲헍싊횮볤듦퓚럇쿟탔뗄뗷헻믺훆ꎬ쟒듦퓚뷏죵뗄럑톩킧펦ꎬ헢틢캶ퟅ컒맺닉좡볓쾢뗄믵뇒헾닟뿉틔뛔컈뚨춨믵엲헍닺짺튻뚨뗄풤웚킧펦ꆣ뛸컒맺막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤쯤좻듦퓚럇쿟탔뗄펰쿬믺훆ꎬ떫쫇늢늻듦퓚럑톩킧펦ꎬ헢틢캶ퟅ컒맺튲듦퓚ꆰ막욱쫕틦ꆪ춨믵엲헍횮쏕ꆱꆣ 맘붡듊ꎺ럑톩킧펦 럇닎쫽떥캻룹볬퇩 럇닎쫽킭헻볬퇩 럇닎쫽맀볆 샻싊 춨믵엲헍싊 막욱쫕틦싊 III
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 Abstract The interest rate and inflation rate or the stock return rate and inflation rate are the important variables in the macroeconomics and financial economics. And it is meaningful to the manipulation of monetary policy and perfection of financial market to analyze the economic behavior of the variables and the interrelationship between them. The Fisher hypothesis was considered as one of the basic hypotheses in economics and accepted by many models in the macroeconomics and financial economics since the Fisher Effect was put forward. Many researchers tried to explain and test the Fisher Effect from the angle of theory and practice. So, the Fisher Effect is the hot topic in the field of economics. However, it is inconsistent between theory researches and practice testings; it is so called “the puzzle of the Fisher Effect”. There were many literatures on how to test and explain “the puzzle of the Fisher Effect”, but they weren’t reached a consensus. Nonetheless, the research of Fisher Effect is irreplaceable for the financial market and monetary policy. How the interest rate and the stock return rate change accordingly and whether the Fisher Effect exists or not when inflation rate changes? That is the main purpose of the dissertation. The dissertation try to find whether there exist the long-run adjustment mechanism between the interest rate and inflation rate or the stock return rate and inflation rate by nonparametric unit root and cointegration tests based on the characteristics of nonlinear evolution between these variables. Moreover, we estimate the Fisher Effect coefficients by nonparametric local linear estimation with variant bandwidth (LLEVB). The conclusion is as follows: Firstly, based on nonparametric cointegration test, we can get that: (1) There exits the long run nonlinear cointegration link between nominal interest rate and inflation rate in China. We find our conclusions are better because that nonparametric test has better small sample properties, namely, higher test power and smaller size distortion and didn’t IV
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 overlook the nonlinear factors. In fact, Central Bank have raised the interest rate many times and changed from the prudent monetary policy to the moderately tight monetary policy in order to tighten the surplus liquidity and stabilize the expectation of inflation. The effect of the monetary policy has been appearance and the growth rate of inflation is slower that means the monetary policy of Central Bank is reasonable. It is as same as the test conclusion of the dissertation. In contract, the result of the Johansen cointegration test shows that there don’t exist the long run cointegration link and then interest rate has no impact on the inflation rate. It diverges from the practice and we believe that it is wrong from either theory or practice. (2) There have the long run nonlinear cointegration link between the stock return rate and the inflation rate in China. Similarly, the result of the Johansen cointegration test based on linear parametric model shows that there doesn’t exist the long run cointegration link between them and is wrong from either theory or practice. In practice, many factors, such as inflation rate, rate policy, output level and business cycle etc. have impact on the stock return rate. Thus, there don’t exit a simple linear interrelationship but the complicated nonlinear impact mechanism between the stock return rate and the inflation rate. According to the above analysis, the dissertation find that the results get from nonparametric cointegration test are more reasonable and suitable to the nonlinear characteristics which as same as the data of stock return rate and inflation rate. Secondly, we make the conclusion by nonparametric local linear estimation with variant bandwidth (LLEVB) are as follows:ꎨ1ꎩThe Fisher Effect coefficients are all positive and less than 1 means that there only exits the weak Fisher Effect between nominal interest rate and inflation rate, in other words, the adjustment of interest has partly impact on the inflation or the inflation expectation. On average, the Fisher Effect coefficient is which means that the timing of Central Bank raised the interest rate to stabilize the expectation of inflation is properate and should have some effects. Furthermore, the monetary policy should turn to use the interest rate adjustment and promote the healthy development of Chinese economyꎨ.2ꎩThe Fisher Effect coefficients estimated based on the V
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 sample of nominal stock return rate and inflation rate are different in each period and positive alternate with negative. It means that the changes of nominal stock return rate and the changes of inflation rate sometimes are co-directional alternate with opposite directional. There exists the complicated nonlinear adjustment mechanism that confirms the conclusion of the nonparametric cointegration test. From the definition and estimating result of the Fisher Effect in stock market, we find that there don’t exist the Fisher Effect in Chinese stock market. Moreover, we apply the nonparametric estimation on the real stock return rate and inflation rate, and get the coefficients of the Fisher Effect are mainly negative, sometime positive and the coefficient exclude from the Fisher Effect are zero. It confirm that there don’t exist the Fisher Effect in Chinese stock market again which consensus with most of the literatures on this field. From the above analysis, we make the conclusion are as follows: there exists nonlinear adjustment mechanism between nominal interest rate and inflation rate in China and exists the weak Fisher Effect. The monetary policy, such as raising the interest rate can stabilize the inflation expectation. However, there exists nonlinear adjustment mechanism between stock return rate and inflation rate in Chinese stock market, but don’t exist the Fisher Effect, in other words, it still exists “the stock return-inflation puzzle” Key Words: Fisher EffectꎻNonparametric unit root test; Nonparametric conintegration test; Nonparametric estimation; Interest rate; Inflation rate; Stock return rate; VI
뛀뒴탔짹쏷 놾죋짹쏷쯹돊붻뗄톧캻싛컄쫇컒룶죋퓚떼쪦횸떼쿂뷸탐뗄퇐뺿릤ퟷ벰좡뗃뗄퇐뺿돉맻ꆣ뺡컒쯹횪ꎬ돽컄훐틑뺭뇪쏷틽폃뗄쓚죝췢ꎬ놾싛컄늻냼몬죎뫎웤쯻룶죋믲벯쳥틑뺭랢뇭믲킴맽뗄퇐뺿돉맻ꆣ뛔놾컄뗄퇐뺿ퟶ돶릱쿗뗄룶죋뫍벯쳥ꎬ뻹틑퓚컄훐틔쏷좷랽쪽뇪쏷ꆣ놾죋췪좫틢쪶떽ꎬ놾짹쏷뗄램싉뷡맻평놾죋돐떣ꆣ 톧캻싛컄ퟷ헟잩쏻ꎺ 죕웚ꎺ 쓪 퓂 죕 톧캻싛컄냦좨쪹폃쫚좨쫩 놾톧캻싛컄ퟷ헟췪좫쇋뷢톧킣폐맘놣쇴ꆢ쪹폃톧캻싛컄뗄맦뚨ꎬ벴ꎺ톧킣폐좨놣쇴늢쿲맺볒폐맘늿쏅믲믺릹쯍붻싛컄뗄뢴펡볾뫍뗧ퟓ냦ꎬ퓊탭싛컄놻닩퓄뫍뷨퓄ꆣ놾죋쫚좨뮪훐뿆벼듳톧뿉틔붫놾톧캻싛컄뗄좫늿믲늿럖쓚죝뇠죫폐맘쫽뻝뿢뷸탐볬쯷ꎬ뿉틔닉폃펰펡ꆢ쯵펡믲즨쏨뗈뢴훆쫖뛎놣듦뫍믣뇠놾톧캻싛컄ꆣ 놣 쏜ꇵꎬ퓚__ _쓪뷢쏜뫳쫊폃놾쫚좨쫩ꆣ 놾싛컄쫴폚늻놣쏜ꇵꆣ (쟫퓚틔짏랽뿲쓚듲“√”) 톧캻싛컄ퟷ헟잩쏻ꎺ 횸떼뷌쪦잩쏻ꎺ 죕웚ꎺ 쓪 퓂 죕 죕웚ꎺ 쓪 퓂 죕
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 1 틽 퇔 놾컄퇐뺿뗄놳뺰ꆢ쒿뗄뫍틢틥 샻싊뫍춨믵엲헍싊쫇뫪맛뺭볃틔벰뷰죚쫐뎡훐솽듳훘튪뗄뺭볃뇤솿ꎬ뾼달뫍럖컶헢솽룶뇤솿뗄뺭볃탐캪틔벰헢뛾헟횮볤뗄쿠뮥펰쿬맘쾵폈캪훘튪ꆣ럑톩(1930)쫗쿈듓샭싛짏닻쫶쇋쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵ꎬ럑톩쳡돶ꎬ퓚튻룶탅쾢돤럖쟒쓜릻돤럖풤볻뗄쫐뎡훐ꎬ햮좯뗄쏻틥샻싊폫릫훚뗄풤웚춨믵엲헍싊횮볤뗄뇤뚯쫇튻튻뛔펦뗄맘쾵ꎬ벴풤웚뗄춨헍뇤뚯튻룶떥캻ꎬ쏻틥샻싊튲쯦횮뇤뚯튻룶떥캻ꎬ쟒쪵볊샻싊놣돖늻뇤ꆣ믹폚듋ꎬ쏻틥샻싊뿉틔럖뷢캪쪵볊샻싊폫풤웚춨믵엲헍싊횮뫍ꎬ헢뻍쫇쯹캽뗄럑톩킧펦ꆣ럑톩죏캪쪵볊샻싊폫춨믵엲헍뗄풤웚횮볤뫁컞솪쾵ꎬ쪵볊샻싊췪좫쫇평뺭볃훐뗄쪵볊짺닺늿쏅뻶뚨뗄ꎬ죧짺닺싊뫍춶헟뗄욫뫃ꆣ럑톩볙짨뗄튻룶훘튪뗄몬틥뻍쫇ꎺ죴쪵볊샻싊폫춨믵엲헍뗄풤웚폐맘ꎬ퓲쪵볊샻싊뗄뇤뮯늻믡떼훂쏻틥샻싊뛔펦폚풤웚춨믵엲헍싊폐튻룶돤럖뗄췪좫뗷헻ꆣ 럑톩볙짨ퟷ캪뺭볃톧훐뗄믹놾볙짨횮튻ꎬ쯼틑뺭놻맣랺폃폚뫪맛뺭볃톧뫍뷰죚뺭볃톧훐뗄탭뛠훘튪쒣탍훐ꎬ뛸쟒럑톩볙짨뛔폚샻싊뗄탐캪ꆢ죋쏇뗄샭탔풤웚틔벰뷰죚쫐뎡뗄킧싊뫍돉쫬뚼폐ퟅ훘튪뗄틢틥ꆣ죴뺭볃훐듦퓚뎤웚뗄췪좫뗄럑톩킧펦ꎬ퓲틢캶ퟅ믵뇒뎬훐탔ꎬ늢늻듦퓚믵뇒믃뻵ꎬ뛸쟒럑톩킧펦뗄듦퓚뮹틢캶ퟅ쏻틥샻싊쫇춨믵엲헍풤웚뗄튻룶뫜뫃뗄풤닢횸뇪ꆣ틲듋ퟔ럑톩킧펦쳡돶틔살ꎬ훚뛠톧헟쫔춼듓샭싛뫍쪵횤솽룶랽쏦살뷢쫍뫍볬퇩럑톩킧펦ꎬ평듋듙뷸쇋럑톩킧펦뫍쿠맘뺭볃톧샭싛틔벰볆솿뺭볃톧뗄랢햹ꎬ틲뛸볬퇩럑톩킧펦뻍튻횱돉캪뺭볃톧뫍볆솿뺭볃톧퇐뺿뗄튻룶죈뗣ꆣ뎤웚틔살ꎬ볆솿뺭볃톧볒뛔늻춬쪱웚뫍늻춬맺볒믲뗘쟸뗄쫽뻝ꎬ믲헟뛔쿠춬뗄쫽뻝ꎬ믹폚룷훖풤웚볙짨ꎬ펦폃늻춬뗄볆솿뺭볃톧랽램볬퇩럑톩킧펦ꎬ떫닺짺뗄뷡싛좴늻뺡쿠춬ꎺ쏻틥샻싊뫍춨헍횮볤튪쎴늻듦퓚튻튻뛔펦맘쾵ꎬ믲헟쫇뛔폚늻춬짵훁쿠춬뗄쫽뻝ꎬ맀볆뗄럑톩쾵쫽튲늻쿠춬ꎬ짵훁룹놾뻍늻듦퓚쿔훸뗄춳볆맘쾵ꎬ평듋떼훂샭싛폫볬퇩뷡싛뗄늻튻훂탔ꎬ헢뻍쫇쯹캽ꆰ럑톩킧펦횮쏕ꆱ(Fisher effect puzzle)ꆣ캧죆ퟅ죧1
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뫎볬퇩뫍뷢쫍ꆰ럑톩킧펦횮쏕ꆱ닺짺쇋듳솿뗄퇐뺿컄쿗ꎬ벸뫵뇩벰쯹폐뗄맺볊뺭볃톧뫍뷰죚톧뗄톧쫵웚뾯늢쟒돖탸훁뷱ꎬ떫쫇쿖듦컄쿗뛔ꆰ럑톩킧펦횮쏕ꆱ, 죔쎻폐튻룶뻟폐맣랺릲쪶뗄뷢쫍ꆣ뺡맜죧듋ꎬ뛔폚뷰죚톧쳘뇰쫇뛔믵뇒헾닟뛸퇔ꎬ럑톩킧펦뻟폐늻뿉쳦듺뗄ퟷ폃ꎬ쪹폃쏻틥샻싊뗷헻믵뇒탨쟳ꎬ웤맘볼쫇럑톩킧펦쫇럱돉솢믲퓚뫎훖돌뛈짏돉솢ꆣ믘듰헢튻컊쳢벴캪놾컄뗄퇐뺿뚯믺ꆣ 붫럑톩킧펦삩햹떽막욱쫐뎡훐퇐뺿막욱쫕틦싊폫춨믵엲헍싊횮볤뗄맘쾵ꎬ퓲뿉틔뇭쪾캪ꎺ막욱뗄쏻틥쫕틦싊=쪵볊쫕틦싊+풤웚춨믵엲헍싊ꆣ헢뻍틢캶ퟅꎬ떱풤웚춨믵엲헍싊랢짺뇤뮯쪱ꎬ막욱뗄쏻틥쫕틦싊믡쯦ퟅ풤웚춨믵엲헍싊뗄뇤뮯뛸ퟶ돶튻뛔튻뗄뗷헻ꎬ벴풤웚춨믵엲헍싊뗄퓶볓믲복짙췪좫쓜릻춨맽닺뗄쏻틥쫕틦싊쳥쿖돶살ꎬ듓뛸떼훂닺뗄쪵볊쫕틦놣돖늻뇤ꎬ헢뻍쫇막욱쫐뎡훐럑톩킧펦뗄몬틥ꆣ믹폚샭탔풤웚뗄볙짨ꎬ냑럑톩킧펦뗄볬퇩뮯캪볬퇩막욱쫕틦싊폫춨믵엲헍싊횮볤뗄맘쾵ꆣ죴막욱쫐뎡훐듦퓚럑톩킧펦ꎬ퓲막욱쫕틦믡쯦춨믵엲헍싊뗄뇤뮯뛸돶쿖쿠펦뗄뗷헻ꎬ헢뛾헟횮볤듦퓚헽쿠맘맘쾵ꎬ헢퓚샭싛짏튲뗃떽쇋뷰죚뺭볃톧볒뗄웕뇩죏뿉ꆣ떫쫇ퟔ20쫀볍70쓪듺틔살ꎬ듳솿뗄퇐뺿컄쿗뛔막욱쫕틦싊폫춨믵엲헍싊횮볤뗄맘쾵뷸탐쇋쪵횤볬퇩ꎬ볬퇩뗄뷡맻좴뇭쏷막욱뗄쪵볊쫕틦싊폫춨믵엲헍싊횮볤듦퓚뢺쿠맘맘쾵ꎬ헢폫럑톩킧펦뗄샭싛몬틥룕뫃쿠랴ꎬ죋쏇붫헢돆캪막욱쫐뎡훐듦퓚뗄ꆰ막욱쫕틦싊ꆪ춨믵엲헍싊횮쏕ꆱ믲ꆰ럑톩킧펦횮쏕ꆱꆣ탭뛠톧헟쫔춼듓늻춬뗄뷇뛈살뛔듋뷸탐뷢쫍ꎬ듓뛸닺짺쇋룷훖늻춬뗄볙쮵ꎬ늢닺짺쇋듳솿뗄뺭퇩퇐뺿컄쿗살퇩횤헢킩볙쮵뗄듦퓚탔뫍뫏샭탔ꆣ떫쫇ꎬ뛔폚헢킩볙쮵뗄볬퇩ꎬ믹폚늻춬맺볒뗄퇹놾뫍늻춬뗄볬퇩랽램ꎬ죔좻쎻폐뗃돶튻훂뗄뷡싛뫍뷢쫍ꆣ틲듋ꎬ쯦ퟅ볆솿뺭볃톧랽램뫍뺭볃톧샭싛뗄랢햹ꎬ뛔폚막욱쫐뎡뗄ꆰ럑톩킧펦횮쏕ꆱ뗄퇐뺿죔좻퓚볌탸ꆣ ퟔ2007쓪틔살ꎬ캪틖훆쇷뚯탔맽쪣뫍컈뚨춨믵엲헍풤웚ꎬ럀횹춨믵엲헍뗄뷸튻늽볓뻧ꎬ퇫탐틑뺭솬탸뛠듎닉좡볓쾢헾닟ꎬ늢평컈붡뗄믵뇒헾닟쿲쫊뛈듓뷴뗄믵뇒헾닟ꆣ평듋쳡돶뗄컊쳢쫇ꎬ컒맺샻싊뗄욵랱뗷헻쫇럱뛔춨믵엲헍벰웤춨믵엲헍풤웚쓜릻닺짺풤웚킧펦ꎿ틠벴컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꎿ뷸튻늽ꎬ컒맺믵뇒헾닟쿲폚틔퓋폃샻싊캪훷뗄쪱믺쫇럱틑뺭돉쫬ꎿ뛸쟒ꎬ뛔펦폚춨믵엲헍싊뗄뇤뮯ꎬ막욱쫕틦싊폖믡폐퓵퇹뗄뇤뮯뫍뗷헻ꎿ막욱쫕틦싊폫춨믵엲헍횮볤튲듦퓚럑2
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 톩킧펦싰ꎿ틲듋ꎬ볬퇩컒맺뫪맛뺭볃훐쏻틥샻싊폫춨믵엲헍횮볤쫇럱듦퓚럑톩킧펦ꎬ틔벰캢맛막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꎬ헢뛔컒맺뫪맛뺭볃헾닟뗄뗷헻뫍믵뇒헾닟뗄훆뚨뫍닙ퟷ틔벰뷰죚쫐뎡뗄췪짆뚼폐ퟅ훘튪뗄틢틥ꆣ본폚듋ꎬ놾컄뗄훷튪퇐뺿쒿뗄뻍쫇믹폚컒맺쏻틥샻싊뫍춨믵엲헍싊1990-2008쓪뗄퓂뛈쫽뻝ꎬ샻폃럇닎쫽떥캻룹뫍럇닎쫽킭헻볬퇩살뾼달헢뛾헟횮볤쫇럱듦퓚뎤웚뗄뻹뫢맘쾵ꎬ쟒듦퓚뗄쫇쿟탔뮹쫇럇쿟탔맘쾵ꎿ뷸튻늽ꎬ믹폚럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆살볆쯣돶뛔펦폚춨믵엲헍싊뗄쎿튻웚뗄뇤뮯ꎬ쏻틥샻싊쯹뛔펦뗄뗷헻쾵쫽ꎬ듓뛸에뛏컒맺쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚췪좫뗄뮹쫇죵뗄럑톩킧펦ꎿ춬퇹ꎬ믹폚컒맺막욱쫐뎡막욱쫕틦싊폫춨믵엲헍싊1991-2008쓪뗄퓂뛈쫽뻝ꎬ샻폃럇닎쫽킭헻볬퇩뫍럇닎쫽맀볆살에뛏컒맺막욱쫐뎡쫇럱듦퓚럑톩킧펦ꎿ 훷튪퇐뺿쓚죝벰웤뿲볜뷡릹 놾컄쫔춼듓뫪맛뺭볃뫍캢맛막욱쫐뎡뗄뷇뛈ꎬ뾼달컒맺뫪맛뺭볃뇤솿쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꎬ춬쪱튲볬퇩쇋컒맺막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꆣ놾컄믹폚컒맺뗄퇹놾쫽뻝ꎬ샻폃럇닎쫽떥캻룹볬퇩뾼달헢킩쪱볤탲쇐뇤솿뗄욽컈탔훊ꎬ볌뛸샻폃럇닎쫽킭헻볬퇩살뾼달컒맺쏻틥샻싊폫춨믵엲헍싊횮볤뫍막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚뎤웚뗄쿟탔믲럇쿟탔뗷헻맘쾵ꎬ죴듦퓚뗄뮰ꎬ뷸튻늽믹폚럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆살맀볆럑톩킧펦쾵쫽ꎬ틔듋살에뛏컒맺뫪맛뺭볃뫍막욱쫐뎡럑톩킧펦뗄듦퓚탔ꆣ믹폚볬퇩뗄뷡맻ꎬ럖컶웤틾몬뗄뺭볃몬틥뫍훘튪뗄쿖쪵틢틥ꎬ뛔믵뇒헾닟뫍뫪맛뺭볃뗷헻틔벰막욱쫐뎡뗄췪짆쳡돶쿠펦뗄헾닟붨틩ꆣ 뻟쳥뛸퇔ꎬ놾컄ퟜ릲평웟헂ퟩ돉ꎬ웤훷튪쓚죝뫍뷡릹낲업죧쿂ꎺ 뗚튻헂캪틽퇔늿럖ꆣ놾헂붻듺쇋퇐뺿뗄놳뺰ꆢ퇐뺿쒿뗄뫍퇐뺿틢틥ꎬ늢쟒볲튪뷩짜쇋퇐뺿뗄쓚죝ꆢ퇐뺿랽램뫍뿉쓜뗄뒴탂뗣ꎬퟮ뫳뷩짜쇋놾컄뗄뿲볜뷡릹ꆣ 뗚뛾헂캪컄쿗ퟛ쫶늿럖ꆣ놾헂뛔맺쓚췢톧헟맘폚럑톩킧펦뗄퇐뺿돉맻뷸탐쇋믘맋ꆢ쫡샭뫍움쫶ꆣ쫗쿈닻쫶쇋럑톩킧펦뗄몬틥벰웤훷튪뗄샭싛뫍쿖쪵틢틥ꎬ틔벰럑톩3
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 킧펦뗄쪵횤볬퇩맽돌뫍듦퓚뗄컊쳢ꎬ헢킩퇐뺿컄쿗믹폚랢듯맺볒뫍랢햹훐맺볒뗄퇹놾쫽뻝뫍믹폚늻춬뗄볬퇩랽램뷸탐뗄쪵횤퇐뺿ꎬ웤뷡싛뚼늻뺡쿠춬ꎬ듦퓚ꆰ럑톩킧펦횮쏕ꆱꎬ뷸뛸뷩짜쇋뛔럑톩싛뗄룷훖뷢쫍ꎬퟮ뫳뷸탐쇋볲튪움쫶ꆣ 싛컄뗄뗚죽헂ꆢ뗚쯄헂ꆢ뗚컥헂뫍뗚쇹헂캪놾컄뗄훷쳥늿럖ꆣ뇊헟훷튪믹폚럇닎쫽떥캻룹뫍럇닎쫽킭헻틔벰럇닎쫽쒣탍뗄뇤뒰뿭맀볆살볬퇩컒맺뫪맛뺭볃훐쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꎬ틔벰캢맛막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꆣ 뗚죽헂쫗쿈닻쫶쇋럑톩킧펦볙짨뗄풭샭뫍뺭볃몬틥ꎬ틔벰믹폚샭탔풤웚볙짨뗄럑톩킧펦뗄쪵횤볬퇩맽돌ꎬ퓚듋믹뒡짏ꎬ뛔컒맺쏻틥샻싊뫍춨믵엲헍싊뗄쫽뻝쳘헷뷸탐쇋볲튪쏨쫶ꆣ본폚욽컈탔볬퇩퓚쪱볤탲쇐럖컶훐뗄훘튪탔ꎬ놾컄ퟅ훘뷩짜쇋떥캻룹볬퇩뗄풭샭뫍볬퇩맽돌ꆣ쳘뇰뗘ꎬ평폚뒫춳뗄닎쫽탍떥캻룹볬퇩듦퓚ퟅ볬퇩쒣탍듭컳짨뚨뫍닎쫽뗄욫컳맀볆뗈뛸떼훂볬퇩뷡싛뗄럇컈붡탔ꎬ놾컄틽죫쇋럇닎쫽탍뗄떥캻룹볬퇩ꎬ벴Bierens(1997)랽램뫍Breitung(2002)랽램헢솽훖럇닎쫽떥캻룹볬퇩랽램ꎬ늢뛔헢킩랽램뷸탐쇋볲튪움쫶뫍뇈뷏ꆣퟮ뫳ꎬ샻폃짏쫶뷩짜뗄닎쫽탍떥캻룹볬퇩뫍럇닎쫽탍떥캻룹볬퇩랽램뛔놾컄짦벰뗄뇤솿뷸탐쇋볬퇩ꎬ틔쪹뗃볬퇩뗄뷡싛룼뻟폐컈붡탔ꆣ 뗚쯄헂훷튪펦폃럇닎쫽킭헻볬퇩ꎬ틔뾼달컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚뎤웚뗄뻹뫢뗷헻맘쾵ꆣ놾헂쫗쿈ퟅ훘뷩짜쇋뒫춳뗄닎쫽탍킭헻볬퇩랽램ꎬ벴EG솽늽램뫍Johansen킭헻볬퇩랽램ꆣ평폚닎쫽탍킭헻볬퇩듦퓚늻ퟣ횮뒦ꎬ죧EG솽늽램평폚닎쫽맀볆뗄욫컳뫍킭헻맘쾵뗄캨튻탔볬퇩뗄뻖쿞ꎬJohansen킭헻볬퇩랽램듦퓚볬퇩쒣탍뗄듭컳짨뚨컊쳢ꆢ훍뫳뷗뗄톡퓱컊쳢ꆢ킭헻쿲솿뗄쪶뇰틔벰탩볙킭헻뗈컊쳢ꆣ폚쫇ꎬ놾컄믹폚짏쫶닎쫽탍킭헻볬퇩랽램듦퓚뗄좱쿝ꎬ훘뗣웊컶쇋럇닎쫽킭헻볬퇩랽램ꎬ벴Bierens(1997)뗄럇닎쫽킭헻볬퇩뫍Breitung(2002)뗄럇닎쫽킭헻볬퇩ꆣ캪쇋뇜쏢뻟쳥닎쫽짨뚨볬퇩쒣탍뫍닎쫽뗄욫컳맀볆틔벰훍뫳뷗뗄톡퓱ꎬBierens뫍Breitung믹폚늻춬뗄랽램쳡돶쇋럇닎쫽킭헻볬퇩ꆣ헢솽훖럇닎쫽킭헻볬퇩뗄볬퇩뚼쫇믹폚릹퓬뗄뻘헳ꎬ춨맽쳘헷횵뗄뷢살릹퓬킭헻볬퇩춳볆솿ꆣ놾헂펦폃탍뗄퇐뺿훷튪쳥쿖퓚ꎬ뛔컒맺쏻틥샻싊뫍춨믵엲헍싊뗄쫽뻝뷸탐럖컶ꎬ펦폃Breitung럇닎쫽킭헻볬퇩뫍Johansen뗄닎쫽탍킭헻볬퇩뗄볬퇩ꎬ틔볬퇩컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚4
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뎤웚뗄킭헻맘쾵ꎬ웤볬퇩뷡맻뇭쏷헢뛾헟횮볤듦퓚럇쿟탔뗄뗷헻믺훆ꆣ 뗚컥헂ꎬ본폚럇닎쫽킭헻볬퇩뇭쏷뗄컒맺쏻틥샻싊폫춨믵엲헍싊횮볤뻟폐럇쿟탔뗷헻맘쾵ꎬ놾헂뗄훘뗣쫇붨솢럇닎쫽쒣탍ꎬ늢닉폃뇤뒰뿭뻖늿쿟탔맀볆랽램ꎬ틔맀볆쎿튻웚뗄럑톩킧펦쾵쫽ꆣ놾헂쫗쿈뷩짜쇋붨솢럇닎쫽쒣탍뛔럑톩킧펦쾵쫽뷸탐맀볆뗄훘튪탔ꎬ틔벰럇닎쫽쒣탍붨솢뗄쮼쿫ꆣ좻뫳뷩짜쇋럇닎쫽쒣탍뗄벸훖훷튪맀볆랽램뗄맀볆풭샭ꎬ벴뫋맀볆ꆢ뻖늿쿟탔맀볆ꆢ뷼쇚맀볆ꆢ퇹쳵맀볆뗈ꆣ본폚놾헂튪맀볆럑톩킧펦쾵쫽뗄퇐뺿쒿뗄ꎬ톡퓱샻폃럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆살맀볆돶쏻틥샻싊뛔펦폚춨믵엲헍싊뗄쎿튻웚뇤뮯뗄뗷헻킧펦ꆣퟮ뫳ꎬ믹폚놾컄맀볆뗄럑톩킧펦쾵쫽뷢쫍웤틾몬뗄뺭볃몬틥ꎬ늢뷡뫏컒맺뗄뺭볃뫍헾닟놳뺰틔벰폫맺볊컄쿗맀볆뗄럑톩킧펦쾵쫽뗄뇈뷏ꎬ닻쫶웤훘튪뗄헾닟몬틥뫍쿖쪵틢틥ꆣ 놾컄뗚쇹헂훘뗣뾼달컒맺막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦뗄컊쳢ꆣ쫗쿈ꎬ놾헂뷩짜쇋붫럑톩킧펦퇐뺿췘햹떽막욱쫐뎡ꎬ벴막욱쫐뎡훐럑톩킧펦뗄몬틥뫍볬퇩맽돌ꎬ늢뛔퇐뺿막욱쫕틦싊폫춨믵엲헍싊뗄맺췢뫍맺쓚퇐뺿컄쿗뷸탐쇋쫡샭뫍맩쓉ꎬ뷩짜쇋뷢쫍ꆰ막욱쫕틦ꆪ춨믵엲헍횮쏕ꆱ뗄룷훖볙쮵샭싛뫍쪵횤볬퇩컄쿗벰웤헹싛ꆣ좻뫳믹폚컒맺막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊뗄퇹놾쫽뻝ꎬ뷸탐쇋럇닎쫽떥캻룹볬퇩뫍럇닎쫽킭헻볬퇩ꎬ랢쿖헢뛾헟횮볤뿉쓜듦퓚뢴퓓뗄럇쿟탔뗷헻맘쾵ꆣퟮ뫳붨솢럇닎쫽쒣탍ꎬ샻폃뇤뒰뿭뻖늿쿟탔맀볆살맀쯣쇋컒맺막욱쫕틦싊뛔펦폚춨믵엲헍뗄쎿튻웚뇤뮯뗄럑톩킧펦쾵쫽ꎬ늢뛔맀볆뗄뷡싛뷸탐쇋뷢쫍ꆣ ퟮ뫳튻늿럖쫇싛컄뗄뷡싛폫햹췻ꆣ놾헂볲튪뷩짜쇋싛컄뗄퇐뺿쓚죝ꆢ퇐뺿랽램틔벰쯹뗃떽뗄훷튪뷡싛ꎬ늢닻쫶쇋쿠펦뗄헾닟몬틥벰웤뛔컒맺믵뇒헾닟폫뫪맛뗷뿘뗄웴쪾ꎻ쇭튻랽쏦튲쮵쏷쇋룃싛컄뗄늻ퟣ횮뒦ꎬ늢쟒횸돶쇋캴뒥벰뗄쇬폲뫍뷱뫳뗄퇐뺿랽쿲ꆣ 놾컄뗄뒴탂횮뒦 믹폚뛔짏쫶쓚죝뗄퇐뺿ꎬ놾컄뗄뒴탂훷튪쳥쿖퓚틔쿂벸룶랽쏦ꎺ 뗚튻ꎬ놾컄쾵춳짮죫뗘럖컶뇈뷏쇋뒫춳닎쫽탍떥캻룹볬퇩뫍럇닎쫽떥캻룹볬퇩ꎬ5
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 틔벰닎쫽탍킭헻볬퇩뫍럇닎쫽킭헻볬퇩ꎬ믹폚헢킩랽램뗄볬퇩풭샭뫍볬퇩춳볆솿ꎬ웊컶닎쫽탍볬퇩뫍럇닎쫽탍볬퇩횮볤뗄쟸뇰ꆣ헽쫇본폚쿟탔닎쫽탍떥캻룹볬퇩뫍쿟탔닎쫽탍킭헻볬퇩듦퓚뗄늻ퟣꎬ럇닎쫽떥캻룹볬퇩뫍럇닎쫽킭헻볬퇩뗄쳡돶닅뻟폐훘튪뗄샭싛틢틥뫍펦폃볛횵ꆣ 뻟쳥뛸퇔ꎬ닎쫽탍볬퇩뚼쫇믹폚뻟쳥짨뚨뗄볬퇩랽돌ꎬ늢샻폃맀볆뗄닎쫽살릹퓬볬퇩춳볆솿ꎬ헢퇹뿉쓜믡평폚볬퇩랽돌뗄듭컳짨뚨뫍닎쫽뗄맀볆욫컳뗈풭틲퓬돉볬퇩뗍쫆컊쳢ꆣ뻍떥캻룹볬퇩뛸퇔ꎬADF볬퇩벴쫇믹폚죽룶쿟탔닎쫽탍짨뚨뗄볬퇩랽돌살뷸탐ꎬ볬퇩춳볆솿짦벰떽닎쫽뗄맀볆ꎬ헢뿉쓜믡쪹룃볬퇩평폚쒣탍짨뚨듭컳ꆢ쒣탍톡퓱듭컳ꆢ닎쫽뗄맀볆욫컳틔벰닐닮훐뗄ퟔ쿠맘뫍틬랽닮뗈컊쳢뛸퓬돉볬퇩뗍쫆컊쳢ꆣ본폚ADF볬퇩뗄늻ퟣꎬ뫳살쳡돶뗄PP볬퇩뫍KPSS볬퇩뗄볬퇩튲럖뇰짦벰떽뎤웚랽닮뫍웗쏜뛈뗄맀볆ꎬ틲뛸튲듦퓚맀볆욫컳떼훂볬퇩쫆붵뗍뗄컊쳢ꆣ쿠펦뗘ꎬ닎쫽탍킭헻볬퇩튲듦퓚춬퇹뗄컊쳢ꎬEG솽늽램킭헻볬퇩믹폚쿟탔닎쫽짨뚨뗄랽돌뷸탐맀볆뛸뗃돶닐닮ꎬ틀뻝닐닮뗄욽컈탔볬퇩살에뛏웤킭헻맘쾵뗄듦퓚탔ꎬ헢뻍뿉쓜믡평폚쒣탍뗄듭컳짨뚨ꆢ닎쫽뗄맀볆욫컳뛸떼훂볬퇩쫆붵뗍뗈컊쳢ꎬ쟒EG솽늽램뮹듦퓚횻쓜맀볆튻룶킭헻맘쾵뗄뻖쿞탔ꆣ뇈뷏뛸퇔ꎬ쯤좻Johansen킭헻볬퇩뿉틔맀볆뫍볬퇩뛠룶킭헻맘쾵ꎬ떫쫇룃랽램튲쫇믹폚쿟탔짨뚨뗄볬퇩쒣탍살뷸탐ꎬ뫶싔쇋뺭볃뇤솿횮볤뿉쓜듦퓚뗄럇쿟탔틲쯘ꎬ헢믡퓬돉쒣탍뗄듭컳짨뚨컊쳢ꆣ듋췢ꎬJohansen킭헻볬퇩뮹듦퓚훍뫳뷗뗄톡퓱컊쳢ꆢ킭헻쿲솿뗄쪶뇰컊쳢뫍탩볙킭헻컊쳢ꎬ헢킩컊쳢뚼뿉쓜믡떼훂볬퇩뷡싛뗄늻컈붡탔ꆣ 헽쫇본폚닎쫽탍떥캻룹볬퇩뫍킭헻볬퇩듦퓚뗄늻ퟣꎬBierens(1997)쫗듎붫럇닎쫽뗄쮼쿫틽죫떽떥캻룹볬퇩뫍킭헻볬퇩ꎬ벴퓚볬퇩뗄맽돌훐늢늻믹폚뻟쳥짨뚨뗄볬퇩랽돌ꎬ볬퇩춳볆솿튲뺡솿뇜쏢믲복짙닎쫽뗄돶쿖ꎬ헢퇹뻍뿉틔뇜쏢쒣탍듭컳짨뚨뫍닎쫽맀볆욫컳뛸떼훂볬퇩쫆뗍뗄컊쳢ꆣBierens(1997a,1997b)믹폚짏쫶쮼쿫릹퓬쇋럇닎쫽떥캻룹뫍럇닎쫽킭헻볬퇩ꎬ헢킩볬퇩뚼늻짦벰떽볬퇩랽돌뗄뻟쳥짨뚨ꆣ웤럇닎쫽떥캻룹볬퇩춳볆솿횻쫇믹폚풭쪼탲쇐살릹퓬ꎬ떫쫇짦벰떽좨몯쫽뗄톡퓱컊쳢ꎻ뛸럇닎쫽킭헻볬퇩횻쫇퓚튻뚨맦퓲탔볙짨쳵볾쿂릹퓬뗄쯦믺뻘헳ꎬ늢믹폚뻘헳쟳쳘헷횵뗄폐탲뷢살뷸탐ꎬ돆캪ퟮ킡쳘헷횵볬퇩ꆣ떫쫇ꎬBierens뗄럇닎쫽떥캻룹볬퇩뫍럇닎쫽킭헻볬퇩6
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뚼짦벰떽쇋좨몯쫽뗄톡퓱컊쳢ꎬ뛸좨몯쫽뗄톡퓱쎻폐캨튻탔뫍ퟮ폅탔ꎬ헢튲뿉쓜믡떼훂헢킩볬퇩뗄볬퇩쫆뗍쟒닺짺쿔훸탔쮮욽얤쟺컊쳢ꆣ캪쇋뇜쏢좨몯쫽뛔볬퇩뷡싛뗄펰쿬ꎬBreitung(2002) 쳡돶쇋쇭튻훖늻짦벰떽좨몯쫽톡퓱뗄럇닎쫽킭헻볬퇩랽램ꎬ룃랽램뷨본쇋랽닮뇈볬퇩춳볆솿뗄쮼쿫ꎬ횻쫇믹폚췋뮯쟷쫆뫳뗄탲쇐살릹퓬럇닎쫽떥캻룹볬퇩춳볆솿ꎬ뷸튻늽샻폃헢킩탲쇐살릹퓬뻘헳ꎬ뷸뛸쟳돶쳘헷랽돌뗄쳘헷횵뗄뷢ꎬ룹뻝웤쳘헷횵릹퓬볬퇩춳볆솿살뷸탐킭헻볬퇩ꆣBreitung뗄럂헦쒣쓢뇭쏷ꎬ웤볬퇩랽램뇈짏쫶뗄랽램뻟폐룼룟뗄볬퇩쫆뫍룼킡뗄쿔훸탔얤쟺컊쳢ꎬ틲듋뻟폐룼뫃뗄킡퇹놾탔훊ꆣ 뗚뛾ꎬ컒맺뫪맛뺭볃뇤솿쏻틥샻싊폫춨믵엲헍싊틔벰막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊뗄쫽뻝춼탎뇭쏷헢킩뇤솿횮볤뿉쓜듦퓚럇쿟탔뗄맘쾵ꆣ헢쪱죴닉폃뒫춳뗄쿟탔닎쫽탍킭헻볬퇩ꎬ뿉쓜믡평폚럇쿟탔틲쯘뗄뫶싔뛸떼훂볬퇩뷡싛뗄듭컳ꆣ틲뛸놾컄믹폚짏쫶뷩짜뗄럇닎쫽떥캻룹볬퇩뫍럇닎쫽킭헻볬퇩살볬퇩짏쫶뇤솿ꎬ늢틔닎쫽탍볬퇩캪뢨훺ꎬ볬퇩뗄뷡맻뇭쏷컒맺쏻틥샻싊ꆢ춨믵엲헍싊뫍막욱쫕틦싊뚼쫇럇욽컈탲쇐ꎬ쟒쏻틥샻싊폫춨믵엲헍싊틔벰막욱쫕틦싊폫춨믵엲헍싊횮볤뚼듦퓚럇쿟탔뗄뎤웚킭헻맘쾵ꎬ뛸럇튻훖볲떥뗄헽쿠맘믲뢺쿠맘맘쾵뻍쓜볓틔헽좷쏨쫶뫍뷢쫍ꆣ쿠뇈뷏뛸퇔ꎬ맺쓚뗄웤쯻퇐뺿뻹쫇믹폚쿟탔짨뚨쒣탍뷸탐뗄볬퇩뫍맀볆ꎬ헢킩뷡싛뿉쓜믡듦퓚욫컳뫍늻컈붡탔ꆣ본폚럇닎쫽킭헻볬퇩뻟폐룼뫃뗘킡퇹놾탔훊ꎬ틲듋놾컄뗄볬퇩뷡싛룼뻟폐컈붡탔훊뫍룼뫃뗄쿖쪵뷢쫍쓜솦ꆣ 뗚죽ꎬ럇닎쫽킭헻볬퇩뇭쏷ꎬ컒맺쏻틥샻싊폫춨믵엲헍횮볤틔벰막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄펰쿬믺훆ꎬ헢틢캶ퟅ컒맺뫪맛뺭볃믲막욱쫐뎡뿉쓜듦퓚럑톩킧펦ꎬ뛸뻟쳥튪룹뻝럑톩킧펦쾵쫽뗄듳킡살에뛏럑톩킧펦뗄듦퓚탔ꆣ평폚쿟탔쒣탍쓑틔뛔헢훖럇쿟탔맘쾵볓틔맀볆ꎬ튲뫜쓑짨뚨뻟쳥뗄럇쿟탔쒣탍살뛔듋볓틔ힼ좷뿌뮭ꎬ본폚듋ꎬ놾컄붫붨솢럇닎쫽쒣탍살맀볆럑톩킧펦쾵쫽ꆣ럇닎쫽쒣탍볙뚨뺭볃뇤솿횮볤뗄맘쾵캴횪ꎬ믹폚퇹놾쫽뻝살맀볆헢룶캴횪뗄몯쫽ꎬ헢퇹뻍뿉틔뇜쏢평폚죋캪뗄쒣탍듭컳짨뚨뛸닺짺듭컳뗄뷡싛ꆣ뛸쟒ꎬ쿟탔믘맩쒣탍뗄OLS맀볆뗃돶뗄횻쫇튻룶뻹횵쾵쫽ꎬ럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆퓲쓜맀볆돶쎿튻웚뗄럑톩킧펦쾵쫽ꎬ벴샻싊뫍쫕틦싊뛔펦폚춨믵엲헍싊뗄쎿튻웚뇤뮯뛸닺짺뗄뗷헻킧펦ꎬ늢랴펳쇋헢킩뇤솿7
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 횮볤뗄럇쿟탔뗷헻믺훆ꆣ틲듋ꎬ믹폚럇닎쫽쒣탍맀볆뗃돶뗄뷡싛쓜뛔쿖쪵뺭볃닺짺룼뫃뗄뷢쫍ꎬ뛔컒맺믵뇒헾닟뫍뫪맛뗷뿘틔벰뷰죚쫐뎡뗄췪짆뚼뻟폐훘튪뗄쿖쪵틢틥ꆣ 8
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 2 맺쓚췢쿠맘컄쿗믘맋 맺췢컄쿗ퟛ쫶 ퟔ럑톩킧펦쳡돶틔살ꎬ훚뛠톧헟쫔춼듓샭싛뫍쪵횤솽룶랽쏦살뷢쫍뫍볬퇩럑톩킧펦ꆣ뺡맜죋쏇퓚샭싛짏웕뇩뷓쫜쇋럑톩킧펦ꎬ늢냑쯼ퟷ캪믹놾뗄볙짨틽죫탭뛠뺭볃톧믲뷰죚톧쒣탍훐뷸탐럖컶ꎬ떫쫇듳솿뗄뺭퇩퇐뺿컄쿗뗃돶뗄뷡싛좴폫샭싛볙짨늻튻훂ꎬ폚쫇닺짺쇋ꆰ럑톩킧펦횮쏕ꆱꆣ캧죆ퟅ죧뫎볬퇩뫍뷢쫍ꆰ럑톩킧펦횮쏕ꆱ닺짺쇋듳솿뗄퇐뺿컄쿗ꎬ떫쒿잰죔쎻폐튻룶뻟폐맣랺릲쪶뗄뷢쫍ꆣ쯦ퟅ볆솿뺭볃톧뗄랢햹ꎬ퇐뺿럑톩킧펦뗄랽램튲퓚늻뛏룼탂ꆣ퓚80쓪듺틔잰ꎬ톧헟쏇훷튪쫇닉폃볲떥뗄믘맩럖컶살뾼달럑톩킧펦쫇럱듦퓚ꎬ늢캧죆ퟅ춨믵엲헍풤웚뗄탎돉뷸탐쇋듳솿뗄닻쫶ꎬ죧샭탔풤웚뫍쫊펦탔풤웚틔벰폐킧쫐뎡뗄쳡돶ꆣ80쓪듺뫳웚ퟔ떥캻룹뫍킭헻볬퇩샭싛쳡돶횮뫳ꎬ퇐뺿헟쏇뇣뛔틔잰뗄퇐뺿뷡싛닺짺쇋틉컊ꎺ쏻틥샻싊뫍춨믵엲헍싊쫇럇욽컈뗄싰ꎿ쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚킭헻맘쾵싰ꎿ틔잰뗄퇐뺿쫇럱듦퓚평폚럇욽컈쫽뻝떼훂뗄탩볙믘맩컊쳢ꎿ뗈뗈ꆣ틲듋ꎬ90쓪듺틔살뗄듳솿퇐뺿컄쿗뚼훷튪벯훐폚샻폃떥캻룹볬퇩살뾼달쏻틥샻싊뫍춨믵엲헍싊뗄쫽뻝짺돉맽돌뗄욽컈탔훊ꎬ샻폃킭헻볬퇩살뾼달룷맺볒뗄쏻틥샻싊뫍춨믵엲헍싊횮볤쫇럱듦퓚뎤웚뗄킭헻맘쾵뫍뛌웚뗄뚯첬뗷헻믺훆(ECM)틔벰헢뛾헟횮볤뗄룱삼뷜틲맻맘쾵ꆣ떫쫇ꎬ벴쪹뷸탐쇋떥캻룹뫍킭헻볬퇩ꎬ웤듳솿뗄쪵횤퇐뺿컄쿗뮹쫇컞램뗃돶럑톩킧펦듦퓚뗄튻훂탔뷡싛ꆣ뷼쓪살ꎬ쯦ퟅ볆솿뺭볃톧랽램뗄랢햹ꎬퟛ쇐킭헻샭싛ꆢ럇쿟탔킭헻뫍럇닎쫽킭헻샭싛틔벰럇쿟탔뮻쒣탍뗈랽램쿠볌쳡돶ꎬ폚쫇ꎬ톧헟쏇쫔춼샻폃탂뗄볆솿뺭볃톧랽램살퇐뺿럑톩킧펦컊쳢ꆣ죧Crowder(2003)뫍Westerlund(2006)샻폃ퟛ쇐킭헻볬퇩랽램뾼달쇋17룶릤튵뮯맺볒뫍20룶OECD맺볒뗄쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵ꎬ뷡싛뻹죏캪헢킩맺볒웕뇩듦퓚럑톩킧펦ꆣChristopoulos뫍Leon-Ledesma(2006)믹폚럇쿟탔뮻쒣탍볬퇩쇋쏀맺뗄럑톩킧펦ꎬ죏캪쏀맺듦퓚뗄럇쿟탔뗄럑톩맘쾵ꆣ Maki(2003)폃럇닎쫽킭헻볬퇩랽램볬퇩뗄뷡맻뇭쏷죕놾듦퓚럇쿟탔뗄럑톩킧펦ꆣ평듋뿉볻ꎬ짏쫶탂뗄9
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 볆솿볬퇩랽램뗃돶뗄뷡싛쯆뫵뚼횧돖듦퓚럑톩킧펦ꆣ쿂쏦놾컄붫뛔럑톩킧펦뗄퇐뺿컄쿗뷸탐쿪쾸뗄닻쫶ꆣ 풤웚춨믵엲헍뗄탎돉믺훆퇐뺿 ퟔ럑톩킧펦쳡돶틔살ꎬ듳솿뗄퇐뺿컄쿗뚼퓚볬퇩럑톩킧펦쫇럱듦퓚ꆣ떫쫇볬퇩럑톩킧펦쪱쏦쇙뗄튻룶컊쳢쫇ꎺ컞램횱뷓닢쯣풤웚춨믵엲헍싊ꆣ헽틲죧듋ꎬ뇘탫튪닉폃튻룶쳦듺뇤솿살쳦듺풤웚춨믵엲헍싊ꆣ맽좥뗄벸쪮쓪훐ꎬ퇐뺿헟쏇첽쯷쇋뫜뛠랽램살믱좡풤웚춨믵엲헍뗄쳦듺뇤솿ꆣ럑톩킧펦뗄듳늿럖퓧웚퇐뺿뚼쫇닉폃맽좥뗄춨믵엲헍싊뗄럖늼훍뫳쿮살듺쳦풤웚춨믵엲헍ꎬ믹폚헢훖쳦듺랽램뗄쒣탍죧Cagan(1956)ꎬMeiselman(1962)ꎬSargent(1969) 뫍 Gibson(1970)ꆣMuth(1961)쫗쿈쳡돶뗄샭탔풤웚샭싛뫍Fama(1970)쳡돶뗄폐킧쫐뎡샭싛랢햹쇋쇭튻훖쳦듺랽램살쒣탍뮯춨믵엲헍뗄풤웚ꆣ틲듋ꎬ뷓쿂살뗄퇐뺿뻍쫇냑샭탔풤웚틽죫떽춨믵엲헍뗄풤웚탎돉믺훆훐ꎬ죧Fama(1975)ꎬLahiri 뫍 Lee(1979), Levi 뫍 Makin(1979)뚼닉폃쇋헢퇹뗄쳦듺랽램ꆣ (1)럑톩뗄퇐뺿 럑톩(1930)볙짨춨믵엲헍풤웚쫇믹폚럖늼훍뫳뷡릹탎돉뗄ꎬ쯻폃쏀맺(1890-1927)뫍펢맺(1820-1924)뗄쓪뛈쫽뻝볬퇩쇋쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵ꎬ쯻랢쿖춨믵엲헍뗄풤웚뇤뮯늢늻믡솢뿌퓚쏻틥샻싊짏뗃떽랴펦ꆣ뛔폚쏀맺ꎬ떱볛룱뇤뮯횸쫽톡퓱훍뫳20쓪쪱ꎬ뎤웚샻싊폫볛룱뇤뮯횮볤뗄쿠맘쾵쫽쫇ꎬ좻뛸뛔폚펢맺ꎬ떱볛룱뇤뮯횸쫽톡퓱훍뫳28쓪쪱ꎬ웤쿠맘쾵쫽캪ꆣ럑톩뗄쇭튻쿮맘폚쏀맺뗄뛌웚짌튵욱뻝샻싊폫벾뛈볛룱뇤뮯횮볤뗄맘쾵뗄퇐뺿뷡싛뷸튻늽횤쪵쇋뎤웚샻싊폫볛룱뇤뮯횮볤듦퓚뗄맘쾵ꆣ뫳살뗄듳늿럖퇐뺿컄쿗뚼쫔춼듓샭싛짏살싛횤럑톩뗄퇐뺿뷡싛ꆣ (2)쫊펦탔풤웚 Sargent(1969)ꎬGibson(1970)ꎬYohe뫍 Karnosky(1969), Lahiri(1976)뚼훷튪벯훐폚퇩횤럑톩믹폚풤웚탎돉훐듦퓚튻룶럖늼훍뫳뷡릹뗄퇐뺿뷡싛ꆣ떱닉폃믹놾뗄럖늼훍뫳믺훆쪱ꎬ짨뚨탎쪽짦벰떽뗄훍뫳뇤솿늻춬폚럑톩쳡돶뗄쯣쫵쮥복좨쫽ꆣSargent(1969)뫍Gibson(1970)닉폃쇋벸뫎쮥복좨쫽ꎬ뛸Yohe뫍Karnosky(1969)캪뇜쏢뛠훘릲쿟탔컊쳢뛸쪹폃Almon(1965)뗄훍뫳랽램ꆣ믹폚뛾햽횮잰뗄쫽뻝ꎬSargent뫍Gibson뗄퇐10
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뺿횤쪵쇋럑톩뗄뷡싛ꎬ벴퓚풤웚탎돉믺훆훐ꎬ듦퓚튻룶쿔훸뗄럖늼훍뫳킧펦ꆣ뛸쟒ꎬGibson랢쿖퓚볛룱풤웚뗄탎돉맽돌훐돶쿖쇋튻룶톭뮷뗄튪쯘ꎬ헢틢캶ퟅ뛔폚맽좥뗄볛룱뇤뮯ꎬ듦퓚ퟅ튻룶룟뷗뗄볓좨쒣쪽ꆣGibson뗄퇐뺿뷡싛뻟폐훘튪뗄몬틥ꎺ폃살펰쿬쏻틥샻싊뗄헾닟듫쪩붫믡췪좫랴펦퓚볛룱풤웚뗄뇤뮯짏ꆣ ퟔ20쫀볍60쓪듺틔살ꎬ폐듳솿맘폚복짙퓚풤웚탎돉훐뗄쪱볤훍뫳웚볬퇩퇐뺿ꎬ죧Yohe 뫍Karnosky(1969)ꎬGibson(1972) 뫍Lahiri(1976)ꆣYohe 뫍 Karnosky랢쿖퓚풤웚탎돉쯙뛈훐폐튻룶볓쯙뛈ꎬ1961-1969쓪뗄볛룱풤웚킧펦듳폚1952-1960쓪뗄킧펦ꆣGibson(1972)맛닢떽쿠쯆뗄쿖쿳ꎬ떱톡퓱쪱볤훍뫳캪쇹룶퓂뗄쪱뫲ꎬ퓚1959-1970쓪뗄쏻틥샻싊뛔춨믵엲헍뗄뇤뮯폐튻룶벸뫵쫇튻뛔튻뗄췪좫뗷헻ꆣ뷡맻뇭쏷ퟔ1959쓪뫳ꎬ풤웚탎돉폐튻룶룼뛌뗄훍뫳ꎬ쟒풤웚뛔쏻틥샻싊폐룼듳뗄펰쿬ꎬ헢횧돖쇋Yohe 뫍 Karnosky뗄퇐뺿뷡싛ꆣLahiri펦폃쯄훖랽램살맀볆춨믵엲헍풤웚ꆪ볓좨램ꆢ쫊펦램ꆢ췢췆램뫍Frenkel랽램ꎬ쯻랢쿖1960쓪뫳뗄풤웚탎돉뗃룼뿬ꎬ헢폫Yohe 뫍 Karnosky틔벰Gibson뗄뷡싛쫇튻훂뗄ꆣ 좻뛸ꎬ캪쇋뿋럾풤웚탎돉믺훆뗄쿲뫳풤닢쒣탍쯹닺짺뗄쾵춳풤닢컳닮컊쳢ꎬGibson(1972)닉폃쇋평쏀맺뗄솪냮뒢놸틸탐돶냦뗄뗷닩쫽뻝ꆣYohe 뫍Karnosky붫20쫀볍60쓪듺웚볤뗄뷡릹탔뇤뮯맩뻌폚샻싊랽돌뗄뮯ꎬ뛸Gibson뇭쪾헢뿉쓜쫇평폚볛룱풤웚탎돉랽돌뗄뇤ꆣLahiri뗄퇐뺿쯆뫵횧돖쇋Gibson뗄뷡싛ꆣ틲듋ꎬ헢킩볬퇩횤쪵ꎬ20쫀볍60쓪듺뫳뗄풤웚탎돉폐튻룶룼뛌뗄훍뫳ꎬ쟒쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚헽뗄쿠맘맘쾵ꆣ뛸쟒헢웚볤뗄럑톩볙짨퇐뺿뾪쪼죚죫쇋샭탔풤웚뫍폐킧쫐뎡샭싛ꆣ (3)샭탔풤웚뫍폐킧쫐뎡 쯦ퟅMuth(1961)뫍Fama(1970)럖뇰냑샭탔풤웚뫍폐킧쫐뎡틽죫떽럑톩볙짨뗄퇐뺿훐ꎬ헹싛뗄횢뷡뗣랢짺쇋룄뇤ꆣFisher죏캪볛룱쮮욽퓚맽좥뗄뇤뮯펦룃뻟쳥냼몬퓚쿖퓚뗄샻싊훐ꎬFama(1975)퓲죏캪ꎬ붫살뗄볛룱뇤뮯펦룃놻랴펳떽떱잰뗄샻싊훐좥ꆣ헢놻쯻뷢쫍캪폐킧쫐뎡뗄튻룶횤뻝ꆣ틲듋ꎬFama뗄퇐뺿늻춬폚짏쫶쳖싛맽뗄맘폚춨믵엲헍풤웚뗄럖컶ꎬ쯻럱뚨쇋럑톩뗄퓚풤웚탎돉맽돌훐듦퓚럖늼훍뫳뷡릹뗄뷡싛ꆣ좻뛸ꎬ폐킧쫐뎡샭싛틾몬ퟅ튻룶볙뚨ꎺ퓚탎돉볛룱풤웚쪱ꎬ샭탔뗄풤닢헟뿉틔샻폃쯹폐11
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 폐폃뗄탅쾢ꆣ Fama폃쏀맺뗄튻룶퓂뗄뛌웚맺뿢좯살뷼쯆쳦듺샻싊ꎬ폃쿻럑볛룱횸쫽뗄뇤뮯싊살뇭쪾볛룱뇤뮯ꎬ쯻볬퇩쇋튻룶솪뫏볙짨ꎺ쏀맺헾뢮뗄뛌웚맺뿢좯쫐뎡쫇폐킧뗄ꎬ쟒퓚샭탔풤웚뗄뿲볜쿂ꎬ1-6룶퓂뗄뛌웚맺뿢좯뗄쪵볊쫕틦쫇늻뇤뗄ꆣFama볆쯣쇋릺싲솦뗄풤웚뇤뮯폫1953쓪1퓂떽1971쓪7퓂훍뫳1-12웚뗄쪵볊쫕틦횮볤뗄퇹놾ퟔ쿠맘쾵쫽ꆣ쯻맀볆뗄춨믵엲헍싊뗄퇹놾ퟔ쿠맘쾵쫽뫜듳ꎬ헢틢캶ퟅ춨믵엲헍뗄맽좥뇤뮯싊훐냼몬ퟅ풤웚뗄캴살뇤뮯싊뗄탅쾢ꆣ쪵볊쫕틦뗄퇹놾ퟔ쿠맘쾵쫽늢늻쿔훸틬폚쇣ꎬ헢폫쪵볊쫕틦쫇늻뇤뗄풭볙짨쫇튻훂뗄ꆣFama뮹볬퇩쇋쇹룶퓂떽웚뗄뎤웚햮좯ꎬ뷡맻뇭쏷퓚짨뚨쏻틥샻싊쪱ꎬ쫐뎡샻폃쇋쯹폐맘폚춨믵엲헍싊뗄뿉폃탅쾢ꎬ틲듋횧돖쇋폐킧쫐뎡볙쮵ꆣ Fama뗄퇐뺿뷡싛뫳살쫜떽쇋웤쯻튻킩퇐뺿헟뗄엺움뫍쳴햽ꎬ죧ꎺHess 뫍 Bicksler(1975), Carlson(1977), Joines(1977), Nelson 뫍Schwert(1977)ꆣCarlson(1977)폃1953-1971쓪웚볤샻컄쮹뛘뗄쿻럑헟볛룱횸쫽(CPI)쫽뻝살뷸탐쇋볬퇩ꎬ웤뷡맻뻜뻸쇋Fama뗄뷡싛ꎬ벴뛌웚샻싊쫇캴살춨믵엲헍싊뗄폐킧풤닢횸뇪ꆣCarlson퓚Fama뗄믘맩랽돌훐틽죫쇋튻룶훍뫳쇹룶퓂뗄뺭볃훜웚뇤솿ꎬ벴쪧튵죋쫽폫ퟜ죋쫽횮뇈ꆣ틽죫헢룶뇤솿틔뫳ꎬFama쒣탍훐샻싊뗄맀볆쾵쫽랢짺쇋쿔훸뗄욫샫ꎬ틲듋Carlson죏캪춨믵엲헍뗄탅쾢늢늻쓜췪좫랴펳퓚샻싊짏ꆣJoines(1977)맛닢떽Fama쪹폃뗄춨믵엲헍싊훐뗄풤닢컳닮듦퓚튻룶벾뛈쒣쪽ꎬ쯻횸돶헢폫Fama쳡돶뗄폐킧쫐뎡뗄룅쓮쫇늻튻훂뗄ꎬ틲듋쯻훃틉Fama쪹폃뗄볛룱쫽뻝뗄뺫좷탔ꆣNelson뫍Schwert(1977)틔벰Hess뫍Bicksler(1975)믹폚맽좥뗄춨믵엲헍싊ꎬ퓋폃Box-Jenkins랽램살릹퓬쇋춨믵엲헍싊뗄쪱볤탲쇐풤닢횸뇪ꎬ폃춨믵엲헍싊뛔샻싊뫍풤웚춨믵엲헍싊뷸탐믘맩ꎬ뗃돶풤웚춨믵엲헍싊뗄맀볆쾵쫽쫇럇쇣뗄ꎬ헢틢캶ퟅ풤웚춨믵엲헍싊냼몬쇋샻싊쎻폐냼몬뗄춨믵엲헍뗄탅쾢ꆣ 쯦ퟅ냑샭탔풤웚뫍폐킧쫐뎡샭싛틽죫떽럑톩볙짨뗄퇐뺿훐ꎬ죋쏇뻍죏캪랽돌훐뗄쪱볤탲쇐뇤솿펦룃뷼쯆캪튻룶폐킧쫐뎡훐뗄쯦믺폎ퟟꆣ쯦믺폎ퟟ쒣탍튪쟳춨믵엲헍뫍샻싊퓚맽좥랢짺뗄뇤뮯폫틔잰뗄탅쾢쫇췪좫늻쿠맘뗄ꎬ헢폫풤웚탎돉뗄럖늼훍뫳킧펦췪좫쿠랴ꎬ럖늼훍뫳킧펦쫇횸춨믵엲헍싊놾짭듦퓚헽뗄룟뛈ퟔ쿠맘ꆣ뺡맜Hess 뫍 12
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 Bicksler(1975)틔벰Carlson(1977)뗄퇐뺿뷡싛럱뚨쇋Fama뗄뷡싛ꎬFama 뫍 Gibbons(1982) 퓲횸돶떱풤웚뗄쪵볊쫕틦놻볙뚨캪튻룶떥캻룹맽돌쪱ꎬ뛌웚뗄햮좯샻싊쫇춨믵엲헍싊뗄튻룶뫃뗄풤닢횸뇪ꎬ떫쫇쯻쏇늢쎻폐뷸탐떥캻룹볬퇩ꆣ 퇐뺿럑톩킧펦뗄샭싛쒣탍 늻춬뗄뺭볃뫍뷰죚쒣탍뛔쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵룸돶쇋늻춬뗄짵훁쫇쎬뛜뗄뷢쫍ꆣAhmed 뫍 Rogers (1999) ퟜ뷡쇋퓚늻춬뗄뫪맛뺭볃쒣탍훐럑톩랽돌뗄ퟷ폃ꆣ쯻쏇뾼싇퓚튻룶튻냣뮯뗄뺭볃쳥ꎬ벴듺뇭탔쿻럑헟쫇컞쿞듦믮뗄ꎬ쟒퓚풤쯣풼쫸뫍쿖뷰듻뿮(CIA)풼쫸쳵볾쿂ꎬ쿻럑헟뺡솿쪹쯻쏇뗄킧폃듯떽ퟮ듳뮯ꆣ퓚짺닺몯쫽랽쏦ꎬ냑샍뚯솦뫍컯훊놾ퟷ캪춶죫튪쯘ꎻ쿻럑헟뗄쯹폐쪱볤폃폚쿐쾾뫍릤ퟷꎻ믵뇒릩룸평헾뢮뿘훆쟒쫇췢짺뇤솿ꆣ헢쫇튻훖럇뎣튻냣뮯뗄쟩탎ꎬ쯼냼삨쇋벸훖쳘쫢뗄쟩탎ꆣ 쒣탍1ꎺSideauski 쒣탍(1967)ꆣ퓚룃쒣탍훐ꎬ붫믵뇒틽죫킧폃몯쫽훐ꎬ떫쫇쎻폐뾼싇쿖뷰듻뿮뗄풼쫸ꎬ뺭볃훐뗄쪵볊늿쏅늻쫜춨믵엲헍뇤뮯뗄펰쿬ꎬ헢뻍쫇훚쯹훜횪뗄믵뇒뎬훐탔ꆣ퓚헢룶쒣탍훐ꎬ럑톩랽돌쫇돉솢뗄ꆣ 쒣탍2ꎺCooley 뫍 Hansen(1989)쳡돶CIA쿻럑쒣탍ꆣ퓚헢룶쒣탍훐ꎬ믵뇒늻쓜쳡릩횱뷓킧폃ꎬ뛸쫇춨맽쿖뷰듻뿮살캪쿻럑횧돶쳡릩뷰ꎬ룃쒣탍훐듦퓚럑톩킧펦ꆣ 쒣탍3ꎺCIA쿻럑뫍춶쒣탍ꆣ퓚룃쒣탍훐ꎬ킧폃몯쫽훐늻몬믵뇒틲쯘ꎬ쟒퓚쿻럑뫍춶훐듦퓚CIA풼쫸ꆣStochman(1981) 뫍 Abel(1985) 볬퇩쇋헢샠쒣탍ꎬ쯻쏇랢쿖늻듦퓚럑톩킧펦ꆣ 쒣탍4ꎺTobin쒣탍ꆣTobin(1965)죏캪ꎬ떱풤웚춨믵엲헍짏짽쪱ꎬ뺭볃죋믡뛔듋ퟶ돶랴펦ꎬ벴냑쏻틥닺뮯캪쪵볊닺ꆣ헢뻍믡틽웰쏻틥닺뗄볛룱쿂붵ꎬ틲듋퓶볓쇋쯻쏇뗄풤웚쫕틦ꎬ늢쟒헢믡떼훂쪵볊닺뗄볛룱짏짽ꎬ틲듋붵뗍쇋쯻쏇뗄풤웚쫕틦ꎬ헢뻍쫇훸쏻뗄ꆰ췐뇶킧펦ꆱꎬ룃킧펦떼훂춨믵엲헍뫍쪵볊샻싊횮볤듦퓚튻룶뢺뗄맘쾵ꎬ헢쿷죵쇋럑톩킧펦ꆣ 뮹폐튻킩웤쯻샠탍뗄쒣탍ꎬ죧: Darby(1975) 뫍Feldstein(1976) 횸돶쮰쫕킧펦믡떼훂쏻틥샻싊뛔풤웚춨믵엲헍싊뗄뇤뮯닺짺맽뛈뗷헻ꆣFama뫍Gibbons(1982) 죏캪13
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쪵볊샻싊풽룟ꎬ붫믡떼훂뺭볃훐폐룼뛠뗄닺돶ꎬ닺돶뗄퓶볓믡틽웰믵뇒탨쟳뗄퓶볓ꎬ죴믵뇒탨쟳뗄퓶볓늢늻쓜춨맽믵뇒릩룸뗄퓶볓살쪹웤뗃떽싺ퟣꎬ쓇쎴닺돶뻍믡랢짺늨뚯ꎬ헢붫믡붵뗍춨믵엲헍ꆣ틲듋ꎬ춨믵엲헍폫쪵볊샻싊횮볤듦퓚튻룶뢺뗄맘쾵ꎬ헢쿷죵쇋럑톩킧펦ꆣ 뛔랢듯맺볒뗄럑톩킧펦뗄쪵횤볬퇩 캪쇋뷢쫍캪쪲쎴퓚튻뚨뗄쪱웚럑톩킧펦믡폐뫜잿뗄뺭퇩횧돖ꎬ뛸쇭튻킩퇐뺿뗄뷡싛좴뇭쏷늻듦퓚럑톩킧펦ꆣMishkin(1992)횸돶ꎬ럑톩킧펦뷶뷶돶쿖퓚춨믵엲헍싊뫍샻싊뚼뇭쿖돶쯦믺쟷쫆뗄퇹놾쫽뻝훐ꎬ웤풭틲쫇떱춨믵엲헍싊뫍샻싊뚼폐쯦믺쟷쫆쪱쟒헢뛾헟뗄쟷쫆뾿뗃풽살풽뷼쪱ꎬ뻍믡떼훂쯼쏇횮볤듦퓚뫜잿뗄쿠맘탔ꆣ헢뻍짦벰떽좷뚨쿠펦뗄쪱볤탲쇐벴춨믵엲헍싊뫍샻싊뗄떥뇤솿뗄춳볆탔훊ꆣMishkin믹폚쏀맺1953-1990쓪뗄퓂뛈쫽뻝ꎬ닉폃DF볬퇩뫍PP볬퇩살뷸탐떥캻룹볬퇩ꎬ쯻랢쿖춨믵엲헍싊뫍샻싊뚼몬폐튻룶떥캻룹ꆣ쯻뛔춨믵엲헍싊뫍샻싊횮볤뗄릲춬쟷쫆뷸탐킭헻볬퇩ꎬ웤뷡맻뇭쏷듦퓚뎤웚럑톩킧펦ꎬ좻뛸뛌웚럑톩킧펦늢늻듦퓚ꆣMishkin뗄퇐뺿랢쿖쏀맺듓햽뫳떽1979쓪10퓂웚볤듦퓚럑톩킧펦ꎬ헢튲쫇헢웚볤춨믵엲헍뫍샻싊뚼듦퓚쯦믺쟷쫆뗄튻룶뫜잿뗄뺭퇩횧돖ꆣ뛸햽잰뫍1979-1982쓪뚼늻듦퓚럑톩킧펦ꆣ Bonham(1991), Jacques(1995)ꎬWallace 뫍 Warner(1993)믹폚쿠춬웚볤뗄쫽뻝뷸탐뗄퇐뺿튲횤쪵쇋Mishkin뗄뷡싛ꎬ벴춨믵엲헍쫇튻룶떥캻룹맽돌ꆣWallace뫍 Warner(1993)닉폃쿮뷡릹뗄풤웚쒣탍ꎬ볬퇩쇋춨믵엲헍뛔뎤웚틔벰뛌웚샻싊뗄펰쿬ꆣ쯻쏇믹폚1948-1990쓪뗄벾뛈쫽뻝뷸탐쇋Johansen킭헻볬퇩ꎬ뷡맻뇭쏷ꎬ퓚듳뛠쫽쟩뿶쿂ꎬ샻싊뫍춨믵엲헍싊쫇떥캻룹맽돌ꎬ벴I(1)맽돌ꆣ쯻쏇뷸탐뗄킭헻볬퇩횧돖쇋뛌웚뫍뎤웚럑톩킧펦틔벰쿮뷡릹뗄풤웚샭싛쒣탍ꆣ쯻쏇뗄뷡싛늢쎻폐뻜뻸럑톩볙뚨뗄샻싊폫춨믵엲헍싊횮볤듦퓚뗄튻튻뛔펦맘쾵ꆣBonham(1991)믹폚1955-1990쓪뗄퓂뛈쫽뻝뷸탐쇋DF떥캻룹볬퇩ꎬ랢쿖웤뷡싛폫Wallace 뫍 Warner(1993)뗄퇐뺿뷡싛쫇튻훂뗄ꎬ뷡맻뇭쏷웤탲쇐뗄튻뷗닮럖쫇욽컈뗄ꆣ뛸퓚1955쓪1퓂떽1986쓪1퓂웚볤ꎬ춨믵엲헍싊폫샻싊횮볤쎻폐킭헻맘쾵뗄탩쓢볙짨퓚5ꎥ뗄쿔훸탔쮮욽짏늢늻쓜놻뻜뻸ꆣPelaez(1995)믹폚1959쓪뗚튻벾뛈떽1993쓪뗚4벾뛈뗄쫽뻝ꎬ폃EG솽늽램볬퇩돌탲14
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뫍Johansen뗄쿲솿ퟔ믘맩컳닮뻀헽믺훆볬퇩쇋럑톩맘쾵ꆣ뺡맜웤뷡맻쯆뫵릮만쇋틔잰뗄뺭퇩퇐뺿뷡싛ꎬ벴샻싊뫍춨믵엲헍싊뚼몬폐떥캻룹ꎬ떫쫇좴늻듦퓚럑톩맘쾵ꎬ헢훷튪맩뻌폚풤웚쪵볊샻싊뗄쯦믺폎ퟟ킧펦ꆣ 쿠랴ꎬRose(1988)랢쿖춨믵엲헍쫇I(0)맽돌ꎬ뛸샻싊쫇I(1)맽돌ꆣRose믹폚쏀맺뗄솽룶퇹놾쫽뻝ꎬ벴1892-1970쓪뫍1901-1950쓪뗄쓪뛈쫽뻝뷸탐쇋볬퇩ꎬ쯻랢쿖뛔폚춨믵엲헍뛸퇔ꎬ떥캻룹뗄탩쓢볙짨놻뻜뻸ꎬ벴펦룃쫇I(0)맽돌ꆣ캪쇋뷸튻늽횤쪵헢룶뷡싛ꎬRose튲폃쇋18룶OECD맺볒뗄벾뛈쫽뻝뷸탐쇋볬퇩럖컶ꎬ떥캻룹뗄탩쓢볙짨퓚18룶맺볒훐뚼퓚5ꎥ뗄쿔훸탔쮮욽짏놻뻜뻸ꎬ헢횧돖쇋믹폚쏀맺뗄쓪뛈쫽뻝쯹뗃돶뗄뷡싛ꆣRose믹폚쏀맺1947-1986쓪6퓂웚볤뗄퓂뛈쫽뻝뷸탐뗄볬퇩튲뗃돶쇋쿠춬뗄뷡싛ꆣ폫Rose쿠랴ꎬJaques(1995)랢쿖샻싊뻟폐췪좫늻춬폚춨믵엲헍싊뗄춳볆탔훊ꎬ쯻폃1958-1991쓪뗄퓂뛈쫽뻝뷸탐볬퇩랢쿖춨믵엲헍싊쫇I(1)맽돌ꎬ뛸샻싊쫇I(0)맽돌ꆣ Dimitrios뫍Malliaropulos(1999)믹폚쿲솿ퟔ믘맩쒣탍(VAR)뗄싶돥쿬펦몯쫽ꎬ폃쏀맺1960쓪뗚튻벾뛈떽1995쓪뗚죽벾뛈웚볤뗄벾뛈쫽뻝살뾼달쏻틥샻싊폫춨믵엲헍싊횮볤뗄뚯첬맘쾵ꆣ퓚럖컶뇤솿뗄욽컈탔훊쪱ꎬ쯻쏇뾼싇쇋췋뮯쟷쫆뫍쫽뻝훐뗄뷡릹탔뇤뮯ꎬ쯻쏇뗄뺭퇩뷡싛뇭쏷쏀맺듦퓚훐웚뫍뎤웚뗄럑톩킧펦ꆣ Malliaropulos(2000)믹폚쏀맺1960쓪1퓂떽1995쓪3퓂뗄퇹놾쫽뻝ꎬ볬퇩쇋쏻틥샻싊뫍춨믵엲헍싊뗄쪱볤탲쇐탔훊ꎬ뗃돶헢킩뇤솿뚼쫇몬폐뷡릹탔뇤뮯뗄쟷쫆욽컈탲쇐ꆣ쯻믹폚쿲솿ퟔ믘맩(VAR)쒣탍뫍VAR뗄싶돥쿬펦몯쫽살럖컶쇋춨믵엲헍뫍쏻틥샻싊횮볤뗄뚯첬뇤뮯ꎬ볬퇩럑톩킧펦쫇럱듦퓚ꆣ웤뷡싛죏캪쏀맺뗄럑톩킧펦퓚뎤웚뫍훐웚뚼쫇듦퓚뗄ꎬ쟒쏻틥샻싊뛔춨믵엲헍돥믷뗄뗷헻쯙뛈듳폚웤쯻퇐뺿헟뗃돶뗄쯙뛈ꆣMalliaropulos죏캪죴늻쓜뷢쫍뺭볃쫽뻝훐뗄뷡릹탔뇤뮯ꎬ붫믡떼훂뛔뻜뻸뎤웚탐캪뗄듭컳췆뛏뫍뗍맀쇋뎤웚뺭볃맘쾵훐뇤솿뗄뗷헻쯙뛈ꆣ 믹폚쏀맺쫽뻝뷸탐뗄듳뛠쫽퇐뺿뚼쯆뫵뇭쏷쇋샻싊폫춨믵엲헍싊횮볤듦퓚튻룶헽뗄맘쾵ꎬ쟒늿럖퇐뺿횧돖쏀맺듦퓚뎤웚믲훐웚럑톩킧펦ꎬ떫뛌웚럑톩킧펦믹놾짏늻듦퓚ꆣ떫쫇헢늢늻쓜횤쪵럑톩볙뚨뗄헢솽헟횮볤듦퓚뗄튻튻뛔펦맘쾵쪼훕돉솢ꆣ틲듋ꎬ볬퇩웤쯻맺볒쫇럱듦퓚럑톩맘쾵쫇쪮럖훘튪쟒뫜폐틢틥ꆣ 15
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 Mishkin(1984), Peng(1995)ꎬMacDonald뫍Murphy(1989)믹폚OECD맺볒뗄퇹놾쫽뻝뛔럑톩킧펦뷸탐쇋퇐뺿ꆣMishkin(1984)믹폚얷훞듦뿮틸탐1967쓪2퓂떽1979쓪 2퓂뗄쫽뻝살퇐뺿쇋웟룶OECD맺볒뗄쪵볊샻싊뗄뇤뚯ꎬ랢쿖펢맺ꆢ쏀맺뫍볓쓃듳뗄쏻틥샻싊폫풤웚춨믵엲헍싊횮볤뚼폐뫜뷴쏜뗄솪쾵ꎬ벴듦퓚럑톩킧펦ꆣ좻뛸ꎬ쯻랢쿖뗂맺ꆢ뫉삼뫍죰쪿뚼뇭쿖돶뇈뷏죵뗄럑톩킧펦ꆣ폫Mishkin뗄퇐뺿뷡싛쿠춬ꎬPeng(1995)믹폚램맺ꆢ펢맺뫍쏀맺1957-1994쓪뗄쫽뻝뷸탐Johansen킭헻볬퇩랢쿖헢킩맺볒뗄쏻틥샻싊폫풤웚춨믵엲헍싊횮볤듦퓚뎤웚뗄럑톩킧펦ꆣ쯻랢쿖퓚뗂맺뫍죕놾ꎬ풤웚춨믵엲헍뛔쏻틥샻싊폐뷏죵뗄펰쿬ꆣPeng횸돶춨믵엲헍뗄돖탸탔뛔믵뇒듻뿮뗄돌뛈쫇뫜쏴룐뗄ꎬ헢떼훂컒쏇맛닢뗄춨믵엲헍폫쏻틥샻싊횮볤듦퓚뎤웚뗄킭헻맘쾵ꆣ쯻죏캪뗂맺뫍죕놾뗄믵뇒맜샭믺릹쯹닉좡뗄뫜잿뗄랴춨믵엲헍헾닟떼훂춨믵춨믵엲헍돖탸뗄쪱볤뇈뷏뛌ꎬ틲뛸횻듦퓚뷏죵뗄럑톩킧펦ꆣ쿠쯆뗘ꎬMacDonald 뫍Murphy(1989)뗄퇐뺿랢쿖쏀맺ꆢ뇈샻쪱ꆢ볓쓃듳뫍펢맺퓚1955-1986쓪웚볤듦퓚럑톩맘쾵ꎬ쯻쏇랢쿖뛔헻룶퇹놾쓚뗄쯹폐맺볒뛸퇔ꎬ쎻폐킭헻맘쾵뗄탩쓢볙짨놻뻜뻸ꎬ헢뻍뇭쏷듦퓚럑톩맘쾵ꆣ좻뛸ꎬ떱퇹놾놻럖캪만뚨믣싊뫍뢡뚯믣싊쪱ꎬ쯻쏇랢쿖만뚨믣싊웚볤뗄쏀맺뫍볓쓃듳듦퓚킭헻맘쾵ꎬ뛸퓚뢡뚯믣싊쿂ꎬ쯹폐맺볒뚼늻듦퓚킭헻맘쾵ꆣ 폫PengꆢMacDonald 뫍Murphy뗄뷡싛쿠랴ꎬYuhn(1996)랢쿖쏀맺ꆢ뗂맺뫍죕놾뚼듦퓚럑톩킧펦ꎬ뛸펢맺뫍볓쓃듳퓲횻듦퓚뷏죵뗄럑톩맘쾵ꎬ뷡싛뇭쏷쇋럑톩킧펦뛔헾닟뗄뇤뮯늢늻쫇뫜컈붡뗄쫂쪵ꆣ폫Mishkin(1992)뗄뷡싛쿠랴ꎬYuhn랢쿖1979-1993쓪웚볤듦퓚뫜잿뗄럑톩킧펦ꎬ뛸퓚1982-1993쓪웚볤퓲늻듦퓚럑톩킧펦ꆣDutt뫍Ghosh(1995)폃볓쓃듳뗄쫽뻝볬퇩쇋럑톩샭싛퓚만뚨믣싊뫍뢡뚯믣싊쿂뗄폐킧탔ꎬ랢쿖볓쓃듳늢늻듦퓚럑톩킧펦ꎬ헢폫Yuhn뗄랢쿖쫇튻훂뗄ꆣ Mishkin 뫍 Simon(1995), Atkins(1989), Olekalns(1996), Hawtrey(1997) , Inder 뫍 Silvapulle(1993)뚼뛔냄듳샻퇇뷸탐쇋럑톩킧펦퇐뺿ꆣ쯻쏇뗄퇐뺿뷡싛믹놾짏쫇튻훂뗄ꎬ뚼죏캪냄듳샻퇇뛔럑톩킧펦듦퓚뷏죵뗄뺭퇩횧돖ꆣMishkin뫍Simon(1995)믹폚1962-1993쓪뗄쫽뻝뷸탐퇐뺿ꎬ랢쿖듦퓚뎤웚뗄럑톩킧펦ꎬ떫쫇늢늻듦퓚뛌웚뗄럑톩킧펦ꆣAtkins(1989)폃쮰뫳쏻틥샻싊ퟷ캪놻뷢쫍뇤솿뛔냄듳샻퇇뷸탐쇋퇐뺿ꎬ뗃돶뗄뷡싛뇭쏷듦퓚럑톩킧펦ꆣ뛸Olekalns(1996)폃뷢돽맜훆잰뫍뷢돽맜훆뫳뗄쏦냥쫽뻝뷸16
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 탐뗄퇐뺿랢쿖쏻틥샻싊뛔춨믵엲헍풤웚뗄뇤뮯뷶듦퓚늿럖뗄뗷헻ꎬ뛸죴횻닉폃뷢돽맜훆뫳뗄쫽뻝랢쿖듦퓚췪헻뗄뗷헻ꆣ펰쿬쪵볊샻싊뗄믵뇒릩룸돥믷ퟨ낭쇋뷢돽맜훆잰뗄췪좫뗷헻ꆣ퓚쿠춬뗄퇐뺿쮼슷쿂ꎬHawtrey(1997)폃Johansen킭헻볬퇩랢쿖퓚뷰죚뷢돽맜훆횮잰늢늻듦퓚럑톩킧펦ꎬ뛸퓚뷢돽맜훆횮뫳퓲돶쿖쇋럑톩킧펦ꆣInder뫍Silvapulle(1993)폃풤웚뗄쪵볊샻싊ퟷ캪놻뷢쫍뇤솿ꎬ랢쿖뗄뷡싛폫럑톩볙짨늢늻튻훂ꆣ틲듋ꎬ떱뛔쏀맺뗄뺭퇩퇐뺿뇭쏷듦퓚럑톩킧펦쪱ꎬ뛸웤쯻랢듯맺볒뗄뺭퇩퇐뺿늢늻튻뚨뚼믡듦퓚럑톩킧펦ꆣ Weidmann(1997)믹폚뗂맺1967-1996쓪뗄퓂뛈쫽뻝ꎬ퓋폃쮫뇤솿럇쿟탔횵킭헻(TC)쒣탍살훘탂볬퇩쇋쏻틥샻싊폫춨믵엲헍싊횮볤뗄뎤웚맘쾵ꎬ웤뷡싛죏캪럑톩킧펦쫇듦퓚뗄ꆣ쯻횸돶럇쿟탔횵킭헻볬퇩뷢쫍쇋닎쫽맀볆쪱뗄퇏훘쿲쿂욫틆뫍틔췹퇐뺿훐랢쿖뗄퇹놾쏴룐탔ꎬ룃랽램뇈뒫춳뗄쿟탔쒣탍튪룼뫃뗘뷼쯆쇋잱퓚헦쪵뗄DGP뗄탔훊ꆣ Koustas뫍Serletis(1999)믹폚뛾햽뫳뗄벾뛈쫽뻝ꎬ퓋폃King뫍Watson(1997)쳡돶뗄럇뷡릹탔쮫뇤솿ퟔ믘맩랽램볬퇩쇋뇈샻쪱ꆢ볓쓃듳ꆢ떤싳ꆢ램맺ꆢ뗂맺ꆢ쾣산ꆢ낮뛻삼ꆢ죕놾ꆢ뫉삼ꆢ펢맺뫍쏀맺뗄쏻틥샻싊뫍춨믵엲헍싊횮볤뗄럑톩맘쾵ꎬ쯻쏇쫗쿈볬퇩쇋뇤솿뗄욽컈탔훊뫍킭헻맘쾵ꎬ틲캪럑톩킧펦뗄볬퇩좡뻶폚헢킩탔훊ꆣ쯻쏇뗃돶뗄뷡싛폫King뫍Watson(1997)뗄뷡싛쿠쯆ꎬ믹놾짏뚼뻜뻸쇋럑톩킧펦ꆣ떫폫Mishkin(1984)뗄뷡싛폐킩쎬뛜ꎬMishkin죏캪볓쓃듳ꆢ펢맺뫍쏀맺듦퓚뫜잿뗄럑톩킧펦ꎬ뛸램맺뫍뗂맺퓲듦퓚뷏죵뗄럑톩킧펦ꆣ Atkins뫍Coe(2002)믹폚쏀맺뫍볓쓃듳뗄퇹놾쫽뻝ꎬ폃ퟔ믘맩럖늼훍뫳 (ARDL)볬퇩랽램살볬퇩쏻틥샻싊뫍춨믵엲헍싊횮볤쫇럱듦퓚뎤웚뗄킭헻뻹뫢맘쾵ꆣ헢룶랽램뗄폅뗣퓚폚쯼늢늻튪쟳퇐뺿헟볬퇩잱퓚뗄춨믵엲헍뫍쏻틥샻싊탲쇐쫇떥캻룹믲욽컈맽돌ꎬ웤뷡싛횧돖듦퓚뎤웚뗄럑톩킧펦ꎬ벴쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚튻튻뛔펦뗄뗷헻맘쾵ꆣ Hatemi-J Irandoust(2003)믹폚쿂쇐벸ퟩ쫽뻝ꎺ냄듳샻퇇(1969-1998)ꆢ죕놾(1960-1998)ꆢ십살컷퇇(1969-1998)뫍탂볓웂(1969-1998)ꎬ닉폃KPSS살볬퇩뇤솿뗄욽컈탔훊ꎬ뷡맻랢쿖쯹볬퇩뗄뇤솿뚼쫇떥캻룹맽돌ꆣ쯻쏇믹폚쪱뇤쾵쫽(TVC)쒣탍ꎬ펦17
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 폃뾨뛻싾싋늨랽램살맀볆쪱뇤닎쫽ꎬ웤맀볆뗄쾵쫽쯦쪱볤ꆢ쯦헾닟뗄룄뇤뛸룄뇤ꎬ쯻쏇뗄뷡싛뻜뻸쇋럑톩킧펦뗄듦퓚ꆣ Crowder (2003)뛔폚뻅룶릤튵뮯맺볒ꎺ쏀맺ꆢ펢맺ꆢ뗂맺ꆢ죕놾ꆢ틢듳샻ꆢ뇈샻쪱ꆢ램맺ꆢ뫉삼뫍볓쓃듳뗄1960-2000쓪뗄퓂뛈쫽뻝ꎬ퓋폃솽훖ퟛ쇐킭헻맀볆랽램살볬퇩쇋헢킩맺볒뗄럑톩킧펦ꆣ뗚튻훖랽램쫇뚯첬OLS(DOLS)랽램ꎬ룃랽램쫇Saikkonen(1991)ꎬStock뫍Watson(1993)믹폚뇪ힼ킭헻볬퇩쫗쿈쳡돶뗄ꎬKao뫍chiang(2000)ꎬMark뫍Sul(2001)냑룃랽램췘햹펦폃폚ퟛ쇐킭헻볬퇩ꆣ뗚뛾훖랽램쫇냑Johansen(1991)뗄랽램췘햹펦폃폚ퟛ쇐킭헻볬퇩ꆣ쯻쏇뗄퇐뺿뷡싛캪헢킩맺볒듦퓚럑톩킧펦ꆣ Atkins 뫍 Sun(2003)뛔폚쏀맺뫍볓쓃듳1959쓪9퓂떽2002쓪4퓂뗄쫽뻝ꎬ폃킡늨뇤뮻뗄OLS맀볆랽램ꎬ맀볆쪱볤탲쇐뇤솿뗄럖헻뷗쫽ꆣ춨맽샫즢킡늨뮻(discrete wavelet transform)맽싋쫽뻝ꎬ퓋폃쇋뛠뷢럖컶뾼달쇋쏻틥샻싊폫춨믵엲헍싊횮볤뗄뎤웚맘쾵ꆣ웤뷡싛쫇쏀맺뫍볓쓃듳뗄쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚뎤웚럑톩킧펦ꎬ떫쫇뛌웚럑톩킧펦늢늻쿔훸ꆣ Maki(2003)폃럇닎쫽킭헻럖컶랽램(Breitung, 2002)뾼달쇋죕놾뗄쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵ꎬ룃랽램볬퇩뗄뷡맻뇭쏷죕놾듦퓚럑톩킧펦ꎬ뛸Johansen’s킭헻볬퇩퓲뇭쏷늢늻듦퓚럑톩킧펦ꆣMaki평듋횸돶죕놾뗄쪵볊샻싊뗷헻쫇럇쿟탔뗄ꎬ쏻틥샻싊폫춨믵엲헍횮볤듦퓚뗄뻹뫢맘쾵뛔폚믵뇒헾닟뗄훆뚨뫍뛔풤웚춨믵엲헍뗄풤닢쫇뫜폐틢틥뗄ꆣ Jensen 뫍 Murdock(2005)믹폚11룶랢듯맺볒ꎬ벴뇈샻쪱ꆢ볓쓃듳ꆢ떤싳ꆢ램맺ꆢ뗂맺ꆢ쾣산ꆢ낮뛻삼ꆢ죕놾ꆢ뫉삼ꆢ펢맺뫍쏀맺뗄1957뫍1972-2003쓪뗄벾뛈쫽뻝ꎬ쯻쏇폃ퟔ믘맩틆뚯욽뻹럖헻(ARFIMA)랽램볬퇩헢킩맺볒뗄쏻틥샻싊뫍춨믵엲헍싊뗄떥캻룹탔훊ꎬ떥캻룹볬퇩뗄뷡맻업돽쇋8룶맺볒뗄쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚럑톩킧펦ꎬ컞탨퓙뛔헢8룶맺볒뷸탐킭헻볬퇩ꆣ쯻쏇믹폚King 뫍 Watson(1997)뗄랽램뛔쪣쿂뗄죽룶맺볒벴뇈샻쪱ꆢ쾣산뫍쏀맺뷸탐쇋킭헻볬퇩ꎬ쯻쏇뗄퇐뺿캪럑톩킧펦뗄듦퓚탔쳡릩쇋뫜짙뗄뺭퇩횧돖ꆣ Panopoulou(2005)믹폚14룶OECD맺볒뗄뎤웚뫍뛌웚샻싊쫽뻝맀볆쇋럑톩킧펦ꎬ18
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쯻쏇뗃돶뗄뷡싛죏캪헢킩맺볒듦퓚뎤웚뗄럑톩킧펦ꆣ쯻쏇쫇퓚ퟔ믘맩럖늼훍뫳(ADL)쒣탍뿲볜쿂뷸탐맀볆뗄ꎬ훷튪벯훐폚솽훖킭헻맀볆랽램늢뷸탐쇋뇈뷏ꆣ뗚튻훖쫇뚯첬ퟮ킡뛾돋맀볆ꎬ웤킭헻랽돌몬폐믘맩풪뗄튻뷗닮럖뗄떱잰횵뫍맽좥횵ꆣ뗚뛾훖쫇ퟔ믘맩럖늼훍뫳맀볆ꎬ룃랽램믹폚킭헻컳닮퓚헻룶탅쾢벯짏뗄춶펰ꎬ튲뻍쫇믘맩풪뗄튻뷗닮럖뗄떱잰횵뫍맽좥횵퓙볓짏킭헻컳닮뗄맽좥횵ꆣ Sun 뫍Phillips(2005)믹폚쏀맺1934-1999쓪뗄쫽뻝ꎬ맀볆럖헻뗄닮럖닎쫽ꆣ캪쇋뷢뻶맀볆욫닮컊쳢ꎬ쯻쏇폃BEW (bivariate exact Whittle) 맀볆랽램살쿻돽쇋쫽뻝훐듦퓚뗄뛌웚볇틤퓫틴ꎬ룃랽램쳡룟쇋냑뗍욵늨뚯폫룟욵늨뚯럖샫뗄쪶뇰쓜솦ꎬ뛸쟒ꎬ떱쫽뻝돶쿖퓫틴컛좾쪱ꎬ룃맀볆랽램퓚듳퇹놾뗄쟩뿶쿂믡복짙맀볆욫닮ꆣBEW랽램뗄뺭퇩맀볆뇭쏷죽룶럑톩뇤솿뗄떥헻뷗쫽뚼쫇쿠춬뗄ꎬ쟒맀볆뗄볇틤닎쫽랶캧퓚(,1)횮볤ꆣ쯻쏇퇐뺿뗄뺭퇩뷡싛죏캪뎤웚럑톩볙짨뫜짙쓜릻돉솢ꆣ Westerlund(2006)믹폚20룶OECD맺볒뗄1980-2004쓪뗄벾뛈쫽뻝ꎬ늢샻폃쯻쏇쳡돶뗄솽훖뿉틔펦폃폚룼튻냣쳵볾쿂뗄ퟛ쇐킭헻볬퇩살뾼달럑톩킧펦뗄듦퓚탔ꎬ쯻쏇뗃돶뗄뷡싛쫇럑톩킧펦듦퓚뗄탩쓢볙짨늢늻쓜놻뻜뻸ꎬ벴럑톩킧펦퓚헢킩맺볒훐쫇웕뇩듦퓚뗄ꆣ쯻쏇믹폚럂헦쒣쓢죏캪쯻쏇뗄랽램폅폚틑폐뗄웤쯻랽램ꎬ틲캪뻟폐룼룟뗄볬퇩쫆ꆣ Christopoulos 뫍Leon-Ledesma (2006)죏캪탭뛠뺭퇩퇐뺿뗄뷡싛횮쯹틔늢늻횧돖럑톩킧펦ꎬ뿉쓜쫇평폚쏻틥샻싊폫춨믵엲헍싊횮볤뗄뎤웚맘쾵훐듦퓚럇쿟탔ꎬ틲듋믹폚쿟탔쒣탍뗃돶뗄뷡싛췹췹믡놳샫쿖쪵ꆣ쯻쏇믹폚쏀맺1960-2004쓪뗄쫽뻝ꎬ늢폃Choi 뫍Saikkonen(2004)쳡돶뗄랽램뾼달쇋럑톩킧펦ꎬ쯻쏇뗄퇐뺿횧돖럑톩맘쾵쫇럇쿟탔뗄ꆣ쯻쏇죏캪럑톩맘쾵퓚pre-Volcker쪱웚뗄럇쿟탔탎쪽쫇ESTR탎쪽ꎬ퓚post-Volcker쪱웚쫇LSTR탎쪽ꆣ쯻쏇뗄뷡싛쏷쿔뗘뻜뻸쇋쏀맺퓚1960-2004쓪쏻틥샻싊폫풤웚춨믵엲헍싊횮볤쫇쿟탔뗄뎤웚맘쾵ꆣ Jensen(2006)뗄퇐뺿튲캪럑톩킧펦뗄놳샫쳡돶쇋쯻뗄뷢쫍ꎬ쯻닉폃17룶릤튵뮯맺볒벴냄듳샻퇇ꆢ냂뗘샻ꆢ뇈샻쪱ꆢ볓쓃듳ꆢ떤싳ꆢ램맺ꆢ뗂맺ꆢ쾣산ꆢ낮뛻삼ꆢ틢듳샻ꆢ죕놾ꆢ뫉삼ꆢ얲췾ꆢ죰쪿ꆢ죰뗤ꆢ펢맺뫍쏀맺살뷸탐럖컶ꆣ쯻쏇맀볆쇋춨믵엲헍싊뫍쏻틥샻싊뗄럖헻뷗쫽ꎬ틔벰닢쯣쇋춨믵엲헍뫍뛌웚뫍뎤웚쏻틥샻싊ꎬ쯻쏇뗃돶헢19
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 17룶맺볒뗄춨믵엲헍쫇튻룶싽뗄뻹횵믘뢴뗄럖헻맽돌ꎬ웤몬틥쫇ꎺ틲캪춨믵엲헍늢쎻폐뺭샺튻룶폀뻃뗄돥믷뇤뮯ꎬ쯹틔뎤웚럑톩킧펦뻍늻쓜틔튻훖볲떥탎쪽살뷸탐볬퇩ꆣ쯻폃쮫뇤솿뗄ퟮ듳쯆좻맀볆랽램살맀볆쇋춨믵엲헍뫍쏻틥샻싊뗄럖헻쒣탍ꎬ뷡맻랢쿖헢17룶맺볒뗄춨믵엲헍싊쫇뻟폐튻룶헽뗄닮럖닎쫽쟒쿔훸뗘킡폠1뗄룟돖탸탔뗄럖헻맽돌ꆣ틲듋ꎬ쯻죏캪ꎬ듓뎤웚살뾴ꎬ헢킩맺볒뗄춨믵엲헍늢늻믡쫜믵뇒돥믷뗄펰쿬ꎬ쓇쎴뎤웚럑톩킧펦뗄볬퇩뻍믡쫇컞킧뗄ꎬ룃퇐뺿늢늻쓜캪뎤웚럑톩킧펦볙짨뗄헦쪵듦퓚탔쳡릩죎뫎폐폃뗄탅쾢ꆣ 뛔랢햹훐맺볒뗄럑톩킧펦뗄쪵횤볬퇩 뛔랢햹훐맺볒뷸탐럑톩킧펦뗄뺭퇩퇐뺿퓲쿠뛔뷏짙ꆣPhylaktis 뫍Blake(1993), Garcia(1993), Thornton(1996) 뫍Mendoze(1992)뛔삭뚡쏀훞맺볒뷸탐쇋뛔럑톩킧펦뗄뺭퇩퇐뺿ꎬ헢킩퇐뺿훐돶쿖쇋튻룶폐좤뗄뷡싛ꎺ듦퓚쿔훸뗄럑톩킧펦ꆣ떫쫇뛔웤쯻랢햹훐맺볒뗄뺭퇩퇐뺿늢쎻폐뗃돶쿠쯆뗄뷡싛ꆣ Phylaktis 뫍 Blake(1993)뛔죽룶듦퓚룟춨믵엲헍뗄맺볒ꎬ벴낢룹춢ꎬ냍컷뫍쒫컷룧뗄20쫀볍70쓪듺뫍80쓪듺웚볤뗄쫽뻝뷸탐럑톩킧펦퇐뺿ꆣ쯻쏇뗄퇐뺿쫇볬퇩헢킩맺볒쫇럱듦퓚뎤웚뗄럑톩킧펦ꎬ닉폃떥캻룹볬퇩뫍킭헻볬퇩뷸탐쇋럖컶ꎬ쯻쏇랢쿖헢죽룶맺볒뗄쏻틥샻싊뫍춨믵엲헍싊횮볤듦퓚튻룶뎤웚뗄1뇈싊맘쾵ꆣ쯻쏇횸돶헢퇹뗄뷡싛폫뗍춨믵엲헍뗄맺볒뗄뷡싛쫇쿠랴뗄ꎬ헢뇭쏷룟춨믵엲헍맺볒뗄믺릹쟣쿲폚뛔춨믵엲헍풤웚춶룼뛠ꎬ틲듋폐룼듳뗄벤샸좥냑풤웚틽죫떽쫕틦뗄믱좡훐ꆣ냑헢죽룶맺볒뛔럇풤웚뗄춨믵엲헍뗄샻싊뗷헻쯙뛈폫냄듳샻퇇뫍쏀맺뷸탐뇈뷏ꎬ쯻쏇랢쿖룟춨믵엲헍맺볒튪뮨룼뎤뗄쪱볤좥뗷헻ꆣ좻뛸ꎬ뛔쯹폐뗄맺볒뛸퇔ꎬ웤뗷헻쯙뛈늢늻쫇춨믵엲헍뗄뻸뛔쮮욽뫍춨믵엲헍쯙뛈뗄몯쫽ꆣ쿠쯆뗘ꎬGarcia(1993)믹폚냍컷뗄1973-1990쓪뗄쫽뻝뷸탐럑톩킧펦퇐뺿ꎬ랢쿖듦퓚럑톩킧펦ꎬ춨믵엲헍풤웚뿉틔뷢쫍쏻틥샻싊99ꎥ뗄뇤뚯ꆣThornton(1996)믹폚쒫컷룧1978-1994쓪뗄쫽뻝뾼달쇋뛌웚햮좯샻싊폫춨믵엲헍싊횮볤뗄럑톩킧펦ꎬ쯻뷸탐쇋떥캻룹볬퇩뫍킭헻볬퇩ꎬ쯹뗃돶뗄뷡싛폫Phylaktis뫍Blake뗄뷡싛쫇맣랺튻훂뗄ꎬ벴듦퓚럑톩킧펦ꆣMendoze(1992) 뾼달쇋훇샻퓚횴탐늿럖뷰죚횸쫽뮯믺훆뗄놳뺰쿂쫇럱믡돶쿖럑톩킧펦ꎬ쯻랢쿖듦퓚럑톩킧20
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 펦ꆣ웤뷡맻뇭쏷횸쫽뮯믺훆뿉틔듙뷸퓚춨믵엲헍뮷뺳쿂뗄뷰죚뗷뷢쟒늢늻믡떼훂쏻틥샻싊룟폚쎻폐횸쫽뮯쪱뗄샻싊쮮욽ꆣ뺡맜짏쫶퇐뺿믹폚늻춬맺볒뫍늻춬쳥훆놳뺰쿂뗄쫽뻝뷸탐ꎬ떫웤뺭퇩퇐뺿믹놾횧돖쇋럑톩볙짨뗄돉솢ꆣ 뛔웤쯻랢햹훐맺볒뷸탐뗄뺭퇩퇐뺿늢쎻폐뗃돶쿠춬돌뛈뗄횧돖ꎬKim(1989), Hama뫍Choi(1991)뫍Nam(1993)맀볆쇋몫맺뗄럑톩킧펦ꆣNam(1993)믹폚1974-1991쓪뗄쫽뻝늢닉폃쿲솿ퟔ믘맩쒣탍뷸탐럖컶ꎬ쯻랢쿖뻍뎤웚뛸퇔ꎬ쇷뚯탔킧펦뇈럑톩킧펦룼볓쿔훸ꆣ헢룶뷡싛잡뫃폫틔잰뗄뷡싛쿠랴ꎬKim, Ham 뫍Choi뗄퇐뺿죏캪럑톩킧펦뇈쇷뚯탔킧펦룼볓쏷쿔ꆣZilberfarb(1989) 믹폚1980-1988쓪뗄쫽뻝뾼달쇋틔즫쇐뗄쇷뚯탔킧펦ꆢ컞램풤웚뗄춨믵엲헍뫍뻶뚨샻싊뗄릩룸돥믷횮볤뗄맘쾵ꎬ쯻뗃돶쇷뚯탔킧펦뫍컞램풤웚뗄춨믵엲헍뛔샻싊폐튻룶뢺뗄펰쿬ꎬ뛸릩룸돥믷뛔샻싊폐헽뗄펰쿬ꆣ Payne뫍Ewing(1997)폃Johansen킭헻볬퇩랽램맀볆쇋뻅룶랢햹훐맺볒뗄럑톩킧펦ꆣ떥캻룹볬퇩뇭쏷쯹폐맺볒뗄샻싊뫍춨믵엲헍싊뚼쫇떥캻룹맽돌ꎬJohansen킭헻볬퇩뇭쏷쮹샯삼뾨ꆢ십살컷퇇ꆢ탂볓웂뫍냍믹쮹첹뗄쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚뎤웚뗄맘쾵ꎬ벴럑톩킧펦돉솢ꆣ쮹샯삼뾨ꆢ십살컷퇇뫍냍믹쮹첹뚼돶쿖쇋튻튻뛔펦뗄맘쾵ꎬ뛸낢룹춢ꆢ볃ꆢ펡뛈ꆢ쓡죕뛻뫍첩맺뚼쎻폐랢쿖듦퓚럑톩킧펦뗄뺭퇩횤뻝ꆣ 럑톩볙짨뗄놳샫풭틲ꆪ룷훖뷢쫍 뺡맜폐뗄퇐뺿랢쿖쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚헽뗄쿠맘맘쾵ꎬ떫듳뛠쫽뺭퇩퇐뺿좴늢늻듦퓚퇏룱탎쪽짏뗄럑톩볙짨ꆣ뛔폚럑톩볙짨듦퓚뗄룷훖쎬뛜뗄뷡싛ꎬ톧헟쏇쳡돶쇋뛠훖뿉쓜뗄뷢쫍ꆣ 뛔폚늿럖뗷헻뗄샭싛뷢쫍ꎬMundell(1963)뫍Tobin(1965)쳡돶쇋ꆰ닆뢻킧펦ꆱꎬDarby(1975)뫍Feldstein(1976)쳡돶쇋ꆰ쮰쫕킧펦ꆱꆣMishkin(1984)뫍Pelaez(1995)틔벰웤쯻퇐뺿헟쳡돶쇋뺭퇩뷢쫍ꎬ풤웚쪵볊샻싊쯹뇭쿖돶뗄쯦믺폎ퟟ킧펦ꆣ퓚Tobin(1965)뫍 Keynes(1936)뗄퇐뺿믹뒡짏ꎬCarmichael뫍Stebbing(1983)쳡돶쇋쇭튻훖뷢쫍ꎬ벴쪵볊샻싊폫춨믵엲헍싊돉튻튻뛔펦뗄랴쿲뇤뮯맘쾵ꎬ뛸쏻틥샻싊퓲놣돖늻뇤ꆣ쿂쏦볲튪닻쫶헢킩맛뗣ꆣ Mundell(1963)뫍Tobin(1965)횸돶떱춨믵엲헍랢짺뇤뮯쪱ꎬ쏻틥샻싊뗄쿠펦짏짽21
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 믡킡폚1ꎬ헢쫇평폚춨믵엲헍뛔쪵볊샻싊튲믡닺짺펰쿬ꆣ헢뻍틢캶ퟅ춨믵엲헍떼훂쪵볊믵뇒폠뛮뗄쿂붵ꎬ닆뢻뗄쿂붵믡떼훂죋쏇퓶볓ퟔ벺뗄뒢탮ꎬ헢믡닺짺쪵볊샻싊쿂붵뗄톹솦ꆣ틲듋ꎬ쏻틥샻싊뛔폚풤웚춨믵엲헍싊뗄뇤뮯믡평튻룶킡폚1뇈1뗄뗷헻ꆣWoodward(1992)믹폚펢맺횸쫽햮좯쫐뎡짏뗄뛌웚햮좯뗄퇐뺿캪Mundell-Tobin 킧펦쳡릩쇋뺭퇩횧돖ꆣ Darby(1975)뫍Feldstein(1976)쳡돶쇋쇭튻훖뷢쫍ꎬ쯻쏇죏캪ꎬ떱뛔샻쾢쫕죫뷸탐헷쮰쪱ꎬ쏻틥샻싊붫믡짏짽ꎬ뛔폚튻룶룸뚨뗄쮰뫳쪵볊샻싊ꎬ쏻틥샻싊뛔폚풤웚춨믵엲헍뗄랴펦믡킡폚1ꆣ좻뛸ꎬ헢룶맛뗣횻쿞폚돉릦뷢쫍쪵볊샻싊뗄뇤뚯ꎬ볻Tanzi(1980), Cargill(1977), Carr, Pesando뫍Smith(1976)뗄럖컶ꆣNielson(1981) 뫍 Gandolfi(1982)틽죫놾쫕틦쮰쫕ꎬ뷸뛸탞헽쇋Darby-Feldstein 뷢쫍ꆣ쯻쏇랢쿖ꎬ떱춨믵엲헍싊랢짺뇤뮯쪱ꎬ쏻틥샻싊짏짽뗄럹뛈믡뎬맽1ꎬ늢늻쫇쿱Darby 뫍Feldstein 쯹쮵뗄쓇쎴룟ꆣ쿠펦뗘ꎬPeek(1982)랢쿖쇋뫜잿뗄뺭퇩횤뻝횧돖쮰쫕뗷헻뗄럑톩킧펦ꆣ 뫳살뗄탭뛠퇐뺿냑뻜뻸럑톩킧펦맩뻌폚풤웚쪵볊샻싊뗄럇욽컈탔ꎬ볻Mishkin(1984), Rose(1988), Pelaez(1995)ꆣMishkin(1984)믹폚OECD맺볒퓚1967:2-1979:2웚볤뗄쫽뻝볬퇩쇋쪵볊샻싊뗄탐캪쳘헷ꎬ쯻랢쿖쯹뾼달뗄웟룶맺볒뚼뻜뻸쇋쪵볊샻싊뗄늻뇤탔ꆣPelaez(1995)믹폚쏀맺룼뎤뗄퇹놾쫽뻝1959-1993쓪뷸탐쇋볬퇩ꎬ뗃돶쇋쿠쯆뗄뷡싛ꆣ쇭튻룶뿉쓜뗄풭틲쫇풤웚춨믵엲헍싊뗄놾훊쫇컞램맛닢떽뗄ꎬ폃쪵볊춨믵엲헍싊살ퟷ캪쳦듺뇤솿쪱ꎬ쪵볊뇤솿뗄닢솿컳닮뻍틑뺭펰쿬쇋럑톩킧펦뗄뺫좷맀볆(Ekaterini, 2005)ꆣ Carmichael 뫍Stebbing(1983)쳡돶쇋쇭튻훖뷢쫍ꎬ쯻쏇돆캪ꆰ쓦쿲뗄ꆱ럑톩킧펦ꆣ쯻쏇볙뚨뷰죚쫐뎡짏듦퓚튻뚨돌뛈뗄맜훆ꎬ맜훆폫럇맜훆뷰죚닺뗄쳦듺돌뛈뫜룟ꎬ쯻쏇죏캪떱쮰뫳뗄쪵볊샻싊뛔펦폚춨믵엲헍싊랴쿲1뇈1뇤뮯쪱ꎬ쮰뫳쏻틥샻싊붫뷼쯆뗘놣돖늻뇤ꆣ뫳살Amsler(1986)뫍Graham(1988)믹폚쏀맺쫽뻝뛔듋뷸탐쇋볬퇩ꎬChoudhry(1997) 뛔뇈샻쪱ꆢ램맺뫍뗂맺튲뷸탐쇋볬퇩ꆣ떱Graham닉폃쿠춬폚Carmichael뫍Stebbing뗄퇹놾쫽뻝뷸탐볬퇩쪱ꎬ랢쿖쿔훸뗘뻜뻸쓦쿲럑톩킧펦ꎬ뛸Amsler뗄볬퇩퓲늻쓜뻜뻸쓦쿲뗄럑톩볙짨ꆣ좻뛸ꎬGraham랢쿖뫜잿뗄횤뻝살횧돖뻖늿뗷헻킧펦ꆣChoudhry믹폚튻룶룼뎤뗄퇹놾쫽뻝1955-1994쓪ꎬ랢쿖쇋튻킩횤뻝살횧22
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 돖뻖늿뗷헻ꎬ뛸룼짙횧돖쓦쿲럑톩킧펦ꆣ틲듋ꎬ쓦쿲럑톩볙짨뗄뺭퇩횧돖늢늻쫇뫜쿔훸ꆣ 떱Darby(1975)뗄퇐뺿ퟅ훘잿뗷럑톩킧펦훐뗄쮰쫕ퟷ폃쪱ꎬ뺭퇩퇐뺿뗄뷡싛늢늻횧돖Darby볙짨ꆣTanzi(1980)춨맽닆헾믃뻵ꆢ뇜쮰컊쳢뫍쮰쫕쏢돽듫쪩살뛔듋뷸탐쇋뷢쫍ꆣ좻뛸ꎬPeek(1982)뗄퇐뺿랢쿖쇋뫜잿뗄횤뻝살횧돖럑톩킧펦훐냼삨쇋쫕죫쮰킧펦ꆣ쯻뇈뷏쇋럑톩랽돌훐폐쮰쫕뗷뷚뫍쎻폐쮰쫕뗷뷚솽훖쟩탎ꎬ쯻랢쿖퓚쯹볬퇩뗄쇹룶랽돌훐ꎬ듦퓚쮰쫕뗷뷚뗄랽돌훐럑톩킧펦늻쓜놻뻜뻸ꎬ뛸쯄룶듦퓚럇쮰쫕뗷뷚뗄랽돌놻뻜뻸듦퓚럑톩킧펦ꆣ뺡맜뺭퇩퇐뺿뇭쏷ꎬ럑톩킧펦훐쮰쫕뗄ퟷ폃뮹쎻폐듯돉튻훂ꎬ떫쫇헢퇹뗄뾼달좴쫇뫜폐틢틥뗄ꆣ 맺쓚컄쿗ퟛ쫶 맺췢틑뺭듓샭싛짏뫍뺭퇩짏뛔럑톩킧펦뷸탐쇋맣랺뛸폖짮죫뗄퇐뺿ꎬ쿠뛔뛸퇔ꎬ맺쓚뛔쏻틥샻싊폫춨믵엲헍횮볤쫇럱듦퓚럑톩킧펦뗄퇐뺿퓲뇈뷏짙ꆣ쇵뷰좫ꆢ맹헻럧뫍킻컀뚫(2003)샻폃훐맺뗄퓂뛈쫽뻝살뛔쏻틥샻싊뫍춨믵엲헍싊뷸탐떥캻룹볬퇩뫍럖헻볬퇩ꎬ뾼달뇤솿뗄욽컈탔훊ꎬ솽훖볬퇩랽램뻹뗃돶컒맺쏻틥샻싊뫍춨믵엲헍싊뻹캪럇욽컈맽돌ꎬ벴I(1)맽돌ꆣ쯻쏇볌뛸폃Johansen(1988)킭헻볬퇩뷸탐쇋럖컶ꎬ뗃돶컒맺늻듦퓚쿔훸뗄럑톩킧펦ꎬ벴쏻틥샻싊뫍춨믵엲헍싊횮볤쎻폐쿔훸뗄튻튻뛔펦맘쾵ꆣ쇵뾵뇸ꆢ짪웓뫍샮듯(2003)믹폚컒맺1979-2000쓪뗄쫽뻝ꎬ샻폃ADF뫍PP볬퇩뷸탐쇋떥캻룹볬퇩ꎬ웤뷡맻튲뇭쏷쏻틥샻싊뫍춨믵엲헍싊뚼쫇튻뷗떥캻룹맽돌ꆣ쯻쏇폃EG솽늽램킭헻볬퇩뗃돶컒맺듦퓚럑톩킧펦ꎻ늢샻폃Mishkin(1992)쳡돶뗄랽램뷸탐쇋쪵횤럖컶ꎬ웤뷡맻뇭쏷컒맺뗄뛌웚럑톩킧펦듦퓚ꎻ춬쪱뮹샻폃Caporle 뫍 Pitts(2000)쳡돶뗄놻횤쏷맀볆욫닮ퟮ킡뗄FMADL랽램살맀볆컒맺뗄뎤웚럑톩킧펦ꎬ웤뷡싛횧돖컒맺퓚1979-2000쓪웚볤듦퓚뎤웚럑톩킧펦ꆣ틔짏솽훖뛔솢뗄뷡싛틢캶ퟅ컒맺튲듦퓚쯹캽뗄ꆰ럑톩킧펦ꆱ횮쏕ꆣ 23
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 킡뷡 놾헂훷튪뷩짜럑톩킧펦뗄퇐뺿컄쿗ꆣ쫗쿈ꎬ놾헂뷩짜쇋톧헟쏇뛔춨믵엲헍풤웚뗄퇐뺿ꎬ틔벰뛔럑톩킧펦뷸탐퇐뺿뗄벸훖샭싛쒣탍ꆣ좻뫳뛔랢듯맺볒뫍랢햹훐맺볒뗄럑톩킧펦쪵횤퇐뺿컄쿗뷸탐쇋쿪쾸뷩짜ꎬ틔벰뛔럑톩싛뗄룷훖뷢쫍ꆣퟮ뫳뷩짜쇋뛔컒맺럑톩킧펦뷸탐퇐뺿뗄컄쿗뫋뷡싛ꆣ 듓짏쫶컄쿗뿉틔뾴돶ꎬퟔ럑톩킧펦쳡돶틔살ꎬ탭뛠톧헟뻍쫔춼듓샭싛짏닻쫶럑톩킧펦샭싛퓚뫪맛뺭볃틔벰뷰죚쫐뎡훐뗄듦퓚탔뫍훘튪탔ꎬ쳘뇰쫇춨맽닉폃룷맺볒뗄퇹놾쫽뻝살뛔웤뷸탐쪵횤볬퇩ꎬ뾼달쿖쪵뺭볃훐쫇럱듦퓚헽죧럑톩닻쫶뗄럑톩킧펦ꆣ떫떽쒿잰캪횹ꎬ웤듳솿뗄쪵횤퇐뺿컄쿗뇭쏷ꎬ닉폃늻춬뗄쒣탍짨뚨믲맀볆랽램뛔춬튻룶맺볒뗄퇹놾쫽뻝믲헟쫇닉폃춬퇹뗄쒣탍벰웤맀볆랽램뛔늻춬맺볒뗄퇹놾뷸탐볬퇩뗄뷡싛쫇늻튻훂뗄ꎬ죋쏇붫웤돆캪ꆰ럑톩킧펦횮쏕ꆱꆣ틲듋ꎬ뷼쓪살탭뛠퇐뺿헟쏇룼뛠뗘냑뺫솦럅퓚퇹놾뗄톡퓱뫍퇐뺿랽램뗄룄뷸짏ꆣ 퓚퇐뺿랽램짏ꎬ듓볲떥뗄춳볆믘맩럖컶뾪쪼떽E-G솽늽램킭헻볬퇩뫍Johansen킭헻볬퇩ꎬ퓙떽ퟛ쇐킭헻볬퇩ꆢ럇쿟탔킭헻볬퇩뫍럇닎쫽킭헻볬퇩틔벰럇쿟탔뮻뗈웤쯼뗄볬퇩랽램뫍맀볆랽램ꆣ퓚퇐뺿뗄퇹놾뛔쿳짏ꎬ뾪쪼퇐뺿뗃ퟮ뛠뗄쫇볬퇩쏀맺쫇럱듦퓚럑톩킧펦ꎬ좻뫳췘햹떽럖컶웤쯼랢듯맺볒틔벰랢햹훐맺볒뗄쏻틥샻싊폫춨믵엲헍횮볤쫇럱듦퓚럑톩킧펦ꆣ뻍컒맺뛸퇔ꎬ닉폃ퟮ탂뗄볆솿퇐뺿랽램ꎬ톡좡뫏쫊뗄뇤솿뫍퇹놾ꎬ럖컶컒맺쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵ꎬ뛔컒맺믵뇒헾닟뗄훆뚨뫍닙ퟷ틔벰뷰죚쫐뎡뗄룄룯뻟폐훷튪뗄횸떼틢틥ꆣ 24
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 3 럑톩킧펦벰웤떥캻룹볬퇩 럑톩킧펦볙짨벰웤쪵횤볬퇩맽돌 잰쏦틑뺭잿뗷ꎬ쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵퓚뫪맛뺭볃톧뫍뷰죚뺭볃톧쇬폲훐튻횱쫇튻룶놸쫜맘힢뗄훷쳢ꆣ럑톩(1930)쫗쿈쳡돶쇋럑톩랽돌폃살쏨쫶헢뛾헟횮볤뗄솪쾵ꎬ쯻뗄닻쫶뿉틔볲떥맩뷡캪ꎺ햮좯뗄쏻틥샻싊쫇풤웚뗄쪵볊샻싊(벴쯹돖쪵볊닺뗄풤웚쫕틦싊)폫풤웚춨믵엲헍싊(벴릫훚뗄풤웚)횮뫍ꆣ 믹놾뗄럑톩랽돌 럑톩볙짨뿉틔폃릫쪽뇭쪾캪ꎺ i=Eπ+Er () tttt 웤훐ꎬiꎺ퓚t+1쪱떽웚뗄튻웚햮좯뗄t웚뗄쏻틥샻싊ꎻErꎺt웚쯹돖쪵볊닺tttꋙ뗄풤웚쫕틦싊ꎻEπꎺ풤웚춨믵엲헍싊ꆣ tt 럑톩볙짨쫇뷰죚뺭볃톧훐ퟮ퓧쟒ퟮ믹놾뗄뻹뫢맘쾵횮튻ꆣ럑톩볙짨쯹믹폚뗄볙뚨쫇ꎺ춶헟냑쓜릻듸살쪵볊쫕틦뗄닺(죧릫쮾막럝뫍컯훊놾)뾴ퟷ쫇햮좯뗄럇뎣뷼쯆뗄쳦듺ꎬ햮좯쯹듸살쫇쏻틥쫕틦ꆣ춶헟죏캪춶햮좯쓜릻믱뗃폫쪵볊닺쿠춬뗄쪵볊쫕틦ꆣ헢틢캶ퟅ햮좯뗄쏻틥쫕틦싊폫쪵볊닺뗄쫕틦싊횮볤뗄닮뛮쓜릻췪좫랴펳풤웚춨믵엲헍싊뗄뇤뮯ꎬ헢퓚뺭볃톧훐뗃떽쇋맣랺뗄죏춬ꆣ 럑톩뫍쯻뗄ힷ쯦헟쏇뷸튻늽볙뚨ꎺ쪵볊닺뗄풤웚쫕틦싊Er늻믡쫜춨믵엲헍뗄tt뇤뮯뗄펰쿬ꆣ뿉틔짨뚨캪ꎺ r=µ+ε () tt 웤훐ꎬµ쫇뎣쫽쿮ꎬε쫇튻룶뻹횵캪쇣뗄쯦믺죅뚯쟒폫웰쪼쪱뿌t쪱뗄탅쾢컞맘ꆣt틲듋ꎬEr=µꎬ퓲()뇤캪ꎺ tt ꋙ헢샯뗄t웚횸뗄쫇듓t쪱뿌떽t+1쪱뿌헢튻웚볤ꆣ 25
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 i=µ+Eπ () tt웤훐µ쫇뎤웚뻹뫢뗄ꆰ쪵볊ꆱ샻싊ꎬ헢훷튪쫇평쪵볊짺닺싊뫍욫뫃뻶뚨뗄ꆣ랽돌()뇭쏷쫂잰뗄쪵볊샻싊벴i−Eπ퓚헻룶웚볤쫇놣돖늻뇤뗄ꆣ럑톩볙짨뗄헢튻싛쫶ttt틑뺭돉캪뺭볃톧훐ퟮ폐헹틩뗄싛쳢횮튻ꎬ컞싛쫇퓚샭싛짏ꎬ뮹쫇퓚뺭퇩퇐뺿짏뚼듦퓚뫜듳뗄럖웧ꆣ 캪쇋볬퇩()ꎬ튻냣볙뚨ꎺ죋쏇뛔춨믵엲헍뗄풤웚쫇컞욫뗄ꎬ벴π=Eπ+ηꎬtttt웤훐η쫇풤웚뗄닐닮ꎬ쯼폫t웚뗄뾪쪼쪱뿌뗄탅쾢컞맘ꆣ틲듋ꎬ랽돌()뿉틔놻훘탂t뇭쪾캪ꎺ i=µ+π−η () ttt π=−µ+i+η () ttt뺡맜랽돌()폫()퓚쫽톧탎쪽짏쫇뗈춬뗄ꎬ떫쫇듓춳볆뗄뷇뛈살뾴ꎬ좴폐쯹늻춬ꆣ쪵볊짏ꎬcov(i,η)ꎽ0ꎬcov(π,η)≠0ꎬ틲듋ꎬ뇭듯쪽()쫇튻룶폐킧뗄믘맩랽tttt돌ꎬ뛸뇭듯쪽()좴쫇컞킧뗄ꆣ 믹놾럑톩랽돌뗄삩햹 럑톩랽돌뗄튻룶훘튪삩햹쫇볓죫햮좯쫕틦뗄쮰쫕킧펦ꆣ볙뚨ꎺ뛔햮좯쫕틦뷸탐헷쮰ꎬ뛸뛔쪵볊쫕틦퓲늻헷쮰ꎬ쓇쎴랽돌()뻍뿉틔뇭쪾캪ꎺ ꎨ1ꎭτꎩi=Eπ+Er () ttttt웤훐τ쫇t웚뗄쮰싊ꆣ헢샯볙뚨뺭볃훐뗄뺭볃죋퓚t웚뾪쪼쪱뿌뻍횪뗀쇋쮰싊ꎬ쓇t쎴()쪽뗄ퟳ뇟뻍쫇햮좯뗄쮰뫳쫕틦ꆣ폃짏쫶쿠춬뗄뇤뮻뿉틔뗃돶ꎺ ꎨ1ꎭτꎩi=µ+π−η () tttt컒쏇뇈뷏랽돌()뫍랽돌()ꎬ뿉틔뾴돶웤훷튪뗄늻춬뗣퓚폚랽돌()훐뗄쏻틥샻싊쫇뺭맽쮰싊뗷헻뫳뗄ꆣ 쒿잰캪횹ꎬ컒쏇쳖싛뗄랶캧뚼횻쫇튻웚ꆣ럑톩랽돌뿉틔놻삩햹살뷢쫍햮좯뗄쏻틥26
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쫕틦싊폫풤웚춨믵엲헍싊횮볤뗄m웚뗄맘쾵ꎺ mmm i=Eπ+Er () ttttmm웤훐iꎺ퓚t+m떽웚뗄햮좯뗄쏻틥쫕틦싊ꎻErꎺ듓t떽t+m웚뗄쪵볊닺뗄tttmꋙ풤웚쫕틦싊ꎻEπꎺ듓t떽t+m웚뗄풤웚춨믵엲헍싊ꆣ죴볙짨m=1ꎬ퓲랽돌()tt뻍뿉틔볲뮯캪죧랽돌()훐쯹쏨쫶뗄튻웚뗄맘쾵ꆣ샠쯆뗘ꎬ컒쏇뿉틔뗃돶ꎺ mmmm i=µ+π−η () tttmmmmm ꎨ1ꎭτꎩi=µ+π−η () tttt헢럖뇰샠쯆폚랽돌()뫍()ꆣ 럑톩볙짨쫇뺭볃톧훐뗄믹놾볙짨횮튻ꎬ쯼놻폃폚뫪맛뺭볃톧뫍뷰죚뺭볃톧훐뗄탭뛠훘튪뗄쒣탍훐ꎬ늢쟒쯼뷼쯆폚믵뇒뎬훐탔뗄쮼쿫ꎬ헢뇭쏷춨믵엲헍뗄튻룶폀뻃탔돥믷뛔쪵볊뺭볃뇤솿쎻폐뎤웚펰쿬ꎬ뇈죧쪧튵뫍쪵볊샻싊ꆣ춬쪱ꎬ럑톩볙짨뛔샻싊뗄뇤뮯ꆢ죋쏇풤웚뗄샭탔뫍뷰죚쫐뎡뗄폐킧탔뫍돉쫬튲폐훘튪뗄쪵볊틢틥ꆣ 럑톩킧펦뗄볬퇩 믹폚잰쫶맘폚럑톩킧펦(맘쾵)뗄샭싛럖컶ꎬ럑톩킧펦뗄볬퇩춨뎣쫇믹폚럑톩랽돌뗄쿟탔뇭쫶ꎺ R=r+E(π) () ttt웤훐R캪쏻틥샻싊ꎬr캪쪵볊샻싊ꎬE(π)캪풤웚뗄춨믵엲헍싊ꆣ평폚풤웚춨믵ttt엲헍싊뗄늻뿉맛닢탔ꎬ퓚쿖탐뗄맺볊컄쿗훐ꎬ춨뎣볙뚨춨믵엲헍뗄풤웚캪샭탔풤웚 ꋚ(Mishkin뗈ꎬ1992)ꎬ벴π=E(π)+uꎬu캪뛀솢춬럖늼웚췻캪쇣뗄쯦믺컳닮ꎬ π캪ttttt맛닢뗄춨믵엲헍싊ꆣ폚쫇믹폚샭탔풤웚볙짨뗄럑톩킧펦뗄쿟탔볬퇩랽돌캪 R=r+βπ+u () ttt ꋙmm 뫍뚼쫇퓚t쪱뿌탎돉뗄풤웚 ErEπttttꋚ 뛔폚럑톩킧펦뗄쪵횤볬퇩ꎬ쿖탐뗄맺볊컄쿗춨뎣볙뚨춨믵엲헍뗄풤웚캪샭탔풤웚ꎬ헢쫇쿖탐볬퇩뗄튻룶릲쪶뫍춨폃뗄ퟶ램ꆣ 27
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 잰쫶뗄럑톩킧펦뗄쪵횤퇐뺿컄쿗벴쫇믹폚헢튻쒣탍ꎬ쫗쿈볬퇩뇤솿쫇럱캪떥캻룹맽돌(볲볇캪I(1))ꎬ죴뇤솿뻹캪′I(1)ꎬ뷸뛸볬퇩(R,π)쫇럱킭헻ꆣ킭헻돉솢벴뇭쏷럑톩킧ttꋙˆ펦돉솢ꎬ퓚듋믹뒡짏맀볆β횵ꎬ죴뷓쫜Hꎺβ=1ꎬ틢캶ퟅ쏻틥샻싊폫춨믵엲헍횮볤0ˆˆ듦퓚췪좫뗄럑톩킧펦ꎬ죴0<β<1ꎬ퓲뇭쏷듦퓚죵뗄믲늿럖뗄럑톩킧펦ꎻ죴β<0ꎬ퓲뿉틔에뛏늻듦퓚럑톩킧펦ꆣ 듓럑톩킧펦뗄쪵횤볬퇩맽돌뿉틔뾴돶ꎬ듳솿뗄컄쿗믹폚틔쿂벸뗣살뷸탐퇐뺿ꎺ(1)믹폚춨믵엲헍샭탔풤웚뗄볙짨ꎻ(2)뇤솿뗄욽컈탔볬퇩ꎻ(3)쏻틥샻싊폫춨믵엲헍싊횮볤뗄킭헻볬퇩ꆣ평듋뿉볻ꎬ뇤솿뗄떥캻룹볬퇩뫍킭헻볬퇩뛔럑톩킧펦뗄퇐뺿럇뎣훘튪ꎬ횻폐떱쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚뎤웚뗄킭헻맘쾵쪱ꎬ닅뿉쓜듦퓚럑톩킧펦ꆣ떫쫇ꎬ퓚뛔쏻틥샻싊뫍춨믵엲헍싊뷸탐떥캻룹뫍킭헻볬퇩뗄맽돌훐ꎬ뒫춳뗄닎쫽탍떥캻룹뫍킭헻볬퇩뚼쫇믹폚쒳훖뻟쳥짨뚨뗄쿟탔닎쫽쒣탍믲닎쫽뗄맀볆살뷸탐볬퇩ꎬ헢뿉쓜믡평폚볬퇩쒣탍뗄듭컳짨뚨뫍맀볆랽램쯹닺짺뗄닎쫽맀볆욫컳뛸떼훂볬퇩쫆뗄붵뗍ꆣ본폚닎쫽떥캻룹뫍킭헻볬퇩듦퓚뗄늻ퟣꎬ놾컄붫훘뗣뷩짜럇닎쫽떥캻룹뫍럇닎쫽킭헻볬퇩랽램(Bierens,1997; Breitung,2002)ꎬ평폚럇닎쫽볬퇩랽램늻믹폚뻟쳥짨뚨뗄쒣탍틔벰맀볆뗄닎쫽ꎬ듓뛸뻟폐룼뫃뗄폐쿞퇹놾탔훊ꆣ쇭튻랽쏦ꎬ뛔폚럑톩킧펦쾵쫽뗄맀볆ꎬ믹폚쿟탔닎쫽쒣탍뗄맀볆뿉쓜믡평폚쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚뗄럇쿟탔틲쯘뛸떼훂맀볆뗄욫컳ꆣ평폚럇닎쫽쒣탍늢늻짨뚨뇤솿횮볤뗄뻟쳥몯쫽탎쪽ꎬ뛸쫇믹폚맛닢뗄퇹놾쫽뻝ꎬ샻폃뻖늿볓좨욽뻹뗄쮼쿫살뷸탐맀볆ꎬ헢퇹뿉틔뇜쏢쒣탍듭컳짨뚨뗄컊쳢ꆣ틲듋ꎬ놾컄뛔럑톩킧펦뗄쪵횤퇐뺿붫훷튪닉폃럇닎쫽떥캻룹볬퇩뫍럇닎쫽킭헻볬퇩틔벰럇닎쫽맀볆ꎬ틔뾼달컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꆣ놾컄붫퓚뫳쏦뗄헂뷚훐ꎬ듓뇈뷏뗄뷇뛈ꎬ쿪쾸닻쫶닎쫽탍떥캻룹뫍킭헻볬퇩뗄풭샭ꆢ쳘뗣틔벰듦퓚뗄늻ퟣꎬ평듋틽돶늢훘뗣뷩짜럇닎쫽떥캻룹뫍킭헻볬퇩랽램ꎬ늢뛔닎쫽볬퇩뫍럇닎쫽볬퇩뷸탐뇈뷏럖컶ꆣ쿂쏦ꎬ놾컄붫듓짏쫶벸룶랽쏦살뷸탐쿪쾸럖컶뫍싛쫶ꆣ ꋙ퓚쿖탐볬퇩컄쿗훐ꎬ춨뎣냑β돆캪럑톩킧펦쾵쫽ꎬ늢평룃쾵쫽뗄듳킡살에뛏럑톩킧펦뗄뗷헻돌뛈ꆣ 28
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 컒맺쏻틥샻싊뫍춨믵엲헍싊뗄쫽뻝벰웤쳘헷 퓚럑톩킧펦뗄ퟮ돵닻쫶훐ꎬ럑톩튪쮵쏷뗄쫇춨믵엲헍풤웚뗄뇤뮯믡틽웰쏻틥샻싊쯦횮뛸뇤뮯ꎬ뛸늻쫇횸쪵볊춨믵엲헍싊뗄뇤뮯ꆣ떫쫇ꎬ평폚뺭볃쾵춳뗄듭ퟛ뢴퓓ꎬ틔벰뺭볃짧믡훐쎿룶뺭볃죋뚼믡룹뻝ퟔ벺뗄쳵볾풼쫸뛸뛔춨믵엲헍닺짺늻춬뗄풤웚ꆣ틲뛸ꎬ뫜쓑횱뷓쟒ힼ좷닢쯣헻룶짧믡뗄풤웚춨믵엲헍싊ꆣ헽틲죧듋ꎬ퇐뺿헟뚼쫔춼헒떽튻룶뫏쫊뗄뇤솿살쳦듺풤웚뗄춨믵엲헍싊ꆣ퓧웚뗄퇐뺿튻냣닉폃맽좥뗄춨믵엲헍싊뗄럖늼훍뫳쿮살듺쳦춨믵엲헍뗄풤웚ꎬ벴돆캪쫊펦탔풤웚ꎬ믹폚헢훖쳦듺랽램뗄쒣탍죧Cagan(1956)ꎬMeiselman(1962)ꎬSargent(1969) 뫍Gibson(1970)뗈ꆣMuth(1961)쫗쿈쳡돶뗄샭탔풤웚샭싛뫍Fama(1970)쳡돶뗄폐킧쫐뎡샭싛랢햹쇋쇭튻훖쳦듺랽램살쒣탍뮯춨믵엲헍뗄풤웚ꆣ틲듋ꎬ뷓쿂살뗄퇐뺿뻍쫇냑샭탔풤웚틽죫떽춨믵엲헍뗄풤웚탎돉믺훆훐ꎬ죧Fama(1975)ꎬLahiri뫍lee(1979), Levi뫍Makin(1979)뚼닉폃쇋헢퇹뗄쳦듺랽램ꆣ샭탔풤웚볙짨벴쫇폃쪵볊뗄춨믵엲헍살뷼쯆듺쳦춨믵엲헍풤웚ꎬ쯤좻헢퇹뗄볙짨뫍듺쳦늻뺡ힼ좷ꎬ떫쫇튲듦퓚늿럖뗄뫏샭탔ꎬ쳘뇰쫇듳듳볲뮯쇋럑톩킧펦뗄볬퇩맽돌ꆣ헽틲캪죧듋ꎬ뫳살뗄듳솿퇐뺿튲뚼믹폚샭탔풤웚뗄볙짨살볬퇩럑톩킧펦뗄듦퓚탔ꆣ틲듋ꎬ놾컄뗄퇐뺿튲붫믹폚샭탔풤웚뗄볙짨ꎬ닉폃쪵볊춨믵엲헍싊살듺쳦풤웚춨믵엲헍싊ꎬ뷸뛸볬퇩컒맺럑톩킧펦뗄듦퓚탔ꆣ 듓쿖폐뗄맺볊컄쿗뾴ꎬ럑톩킧펦퇐뺿훐뗄쏻틥샻싊퓲훷튪쪹폃믮웚듻뿮믲듦뿮샻싊ꎬ헾뢮햮좯뗄뎤웚ꆢ훐웚뫍뛌웚샻싊뗈ꎬ춨믵엲헍싊튻냣폃쿻럑헟볛룱횸쫽(CPI)믲헟GDP욽복횸쫽뗄뇤뮯싊ꎬ쟒헢킩퇐뺿컄쿗믹놾짏뚼닉폃뗄쫇벾뛈쫽뻝뫍퓂뛈쫽뻝ꎬ뷏짙닉폃쓪뛈쫽뻝살뷸탐볬퇩ꆣ캪폫맺볊컄쿗뗄뿉뇈탔ꎬ놾컄톡좡튻쓪웚믮웚듻뿮샻싊뗄ퟷ캪쏻틥샻싊(R)ꎻ춨믵엲헍싊(π)쪹폃좫맺쿻럑헟볛룱횸쫽(CPI)뗄뇤뮯tt싊ꎬ톡좡뗄쫇퓂뛈쫽뻝ꎬ퇹놾쟸볤캪1990쓪1퓂떽2008쓪2퓂ꎬ릲218룶퇹놾쫽뻝ꆣ 29
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 춨믵엲헍싊쏻틥샻싊302520151050-5 춼 컒맺쏻틥샻싊뫍춨믵엲헍싊쟺쿟춼 쫽뻝살풴ꎺCCER 룄룯뾪럅틔살ꎬ컒맺뗄춨헍폫쏻틥샻싊튻횱ퟷ캪뫪맛뗷뿘뗄훘뗣ꆣ죧춼쯹쪾ꎬ2000쓪틔잰뗄춨헍싊퓚룟캻뻧쇒늨뚯ꎬ웤훐1993쓪훁1997쓪탎돉튻룶쿔훸뗄떹U탎ꎬ웤볤뗄쏻틥샻싊뺡맜쯦횮뇤뮯ꎬ떫뫜쿔좻쎻폐튻튻뗄뛔펦맘쾵ꆣ쯦뫳뗄1998쓪훁2000쓪ꎬ컒맺뗄춨헍뇤뚯싊뇤뮯탎돉튻룶늻맦퓲뫍늻쿔훸뗄헽U탎뷡릹ꎬ뛔펦뗄쏻틥샻싊튲쯦횮돊쿂탐쟷쫆ꆣ2001쓪틔뫳ꎬ컒맺뗄춨헍싊퓚뗍캻퓋탐ꎬ웤볤뷏듳뗄늨뚯돶쿖퓚2004쓪4퓂떽8퓂ꆣ캪쇋틖훆춨믵엲헍뫍춶맽죈뗄쏧춷ꎬퟔ2004쓪10퓂틔살ꎬ퇫탐솬탸뛠듎욵랱짏뗷샻싊ꎬ훁2007쓪5퓂틔잰ꎬ춨헍믹놾놣돖컈뚨ꆣ떫ퟔ2007쓪6퓂훁뷱ꎬ컒맺춨믵엲헍싊늻뛏짏짽ꎬ2008쓪2퓂틑뺭듯떽%ꎬ늢쟒춨믵엲헍풤웚뮹폐늻뛏짏짽뗄쟷쫆ꎬ퇫탐캪쇋뿘훆춨믵엲헍ꎬ뫏샭틽떼춨믵엲헍풤웚ꎬ10쓪살쫗듎평컈붡뗄믵뇒헾닟뇤캪듓뷴뗄믵뇒헾닟ꆣ틔짏뗄횱맛럖컶뇭쏷컒맺쏻틥샻싊폫춨믵엲헍싊횮볤늢늻듦퓚쏷쿔뗄뛔펦뗷헻맘쾵ꎬ헢쯆뫵쮵쏷컒맺늻듦퓚췪좫뗄럑톩킧펦ꆣ듓춼뮹뿉틔뾴돶ꎬ컒맺뗄쫽뻝뻟폐쳘쫢탔, 벴풤웚춨헍폫샻싊늢늻뇭쿖돶쒳훖쿟탔맘쾵뛸돊쿖돶럇쿟탔맘쾵, 떫헢훖럇쿟탔뗄맘쾵늻뿉쓜폃튻룶뻟쳥뗄럇쿟탔몯쫽폨틔뿌뮭ꆣ본폚듋ꎬ놾컄횼퓚훷튪쪹폃럇닎쫽떥캻룹뫍럇닎쫽킭헻볬퇩 ꎬ뢨횮틔닎쫽탍뗄킭헻볬퇩ꎬ틔뾼달컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦럑톩30 1990M011991M011992M011993M011994M011995M011996M011997M011998M011999M012000M012001M012002M012003M012004M012005M012006M012007M012008M01
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 킧펦ꆣ뷸튻늽ꎬ죴럇닎쫽킭헻볬퇩뇭쏷컒맺쏻틥샻싊폫춨믵엲헍횮볤듦퓚튻룶뎤웚뗄럇쿟탔킭헻맘쾵ꎬ컒쏇탨튪맀볆쿠펦뗄럑톩킧펦횵ꎬ틲듋컒쏇탨튪펦폃럇닎쫽랽램맀볆쿠맘뗄럑톩쾵쫽ꎬ틔뾼달컒맺쏻틥샻싊폫춨헍횮볤쫇췪좫뗄뮹쫇죵뗄(믲늿럖뗄)럑톩킧펦믲룹놾뻍늻듦퓚럑톩킧펦ꆣ 퓚뛔컒맺쏻틥샻싊뫍춨믵엲헍싊뷸탐킭헻볬퇩횮잰ꎬ컒쏇쫗쿈뛔헢킩뇤솿뷸탐떥캻룹볬퇩ꎬ틔에뛏웤욽컈탔훊ꆣ쿂쏦ꎬ놾컄붫쫗쿈뷩짜뺭뗤떥캻룹볬퇩뗄믹놾풭샭뫍볬퇩돌탲ꎬ늢믹폚닎쫽탍떥캻룹볬퇩듦퓚뗄늻ퟣꎬ평듋틽돶럇닎쫽탍떥캻룹볬퇩ꎬ늢뛔닎쫽떥캻룹볬퇩뫍럇닎쫽떥캻룹볬퇩뷸탐쇋짮죫뗄뇈뷏럖컶뫍움쫶ꆣ뷸튻늽ꎬ샻폃럇닎쫽떥캻룹볬퇩뛔컒맺쏻틥샻싊뫍춨믵엲헍싊뗄퇹놾쫽뻝뷸탐쪵횤볬퇩ꎬ늢춬쪱놨룦룷훖떥캻룹볬퇩뗃돶뗄볬퇩뷡싛ꎬ뛔듋뷸탐볲튪럖컶ꆣ 떥캻룹볬퇩뗄샭싛 퓚붨솢믘맩쒣탍뫍쪱볤탲쇐쒣탍쪱ꎬ튪쟳쯹닉폃뗄쪱볤탲쇐뇤솿뻟폐욽컈탔ꎬ웤맀볆닅뻟폐폐킧탔뫍튻훂탔ꎬ쯹뗃돶뗄맀볆뷡맻닅뻟폐헽좷뗄뷢쫍틢틥ꆣ떫쫇ꎬ퓚쿖쪵뺭볃훐ꎬ탭뛠뺭볃뇤솿늢늻싺ퟣ욽컈탔쳵볾ꎬ죧ꎺ뺭볃퓶뎤탲쇐ꆢ춶뫍쿻럑뗈뚼뻟폐뗄뫜잿뗄짏짽쟷쫆ꎬ쫴폚럇욽컈쪱볤탲쇐뇤솿ꆣ샻폃럇욽컈뇤솿붨솢쒣탍ꎬ죝틗떼훂탩볙믘맩컊쳢ꎬ벴탩볙믘맩쫇횸닉폃솽룶쿠뮥뛀솢뗄럇욽컈쪱볤탲쇐붨솢믘맩쒣22탍쪱ꎬ뎣뎣믡닺짺탩볙뗄R횵ꆢDW횵뫍t횵ꎬ뛔탩볙믘맩뗄뺭퇩에뇰쫇뷏룟뗄R횵ꆢ쿔훸뗄t횵뫍뷏뗍뗄DW횵틔벰믘맩쒣탍쯹닺짺뗄닐닮탲쇐쫇럇욽컈맽돌ꆣ죧맻닐닮탲쇐쫇튻룶럇욽컈탲쇐ꎬ퓲쮵쏷틲뇤솿돽쇋쓜놻뷢쫍뇤솿뷢쫍뗄늿럖틔췢ꎬ웤폠뗄늿럖뇤뮯죔좻늻맦퓲ꎬ쯦ퟅ쪱볤뗄뇤뮯폐풽살풽듳뗄욫샫틲뇤솿뻹횵뗄쟷쫆ꎬ헢퇹뗄믘맩쒣탍늢늻쓜릻헦쪵뗄랴펳틲뇤솿뫍뷢쫍뇤솿횮볤듦퓚뗄뻹뫢맘쾵ꎬ뛸뷶뷶쫇튻훖쫽ퟖ짏뗄쟉뫏뛸틑ꆣ틲듋ꎬ캪쇋뇜쏢평폚닉폃럇욽컈뇤솿뷸탐믘맩뛸돶쿖뗄탩볙믘맩컊쳢ꎬ닺짺듭컳뗄뷡싛ꎬ컒쏇퓚붨솢쒣탍횮잰ꎬ뷸탐떥캻룹볬퇩뻍쿔뗃폈캪훘튪쇋ꆣ 욽컈탲쇐폫럇욽컈탲쇐뗄뷧뚨 쫗쿈뷩짜욽컈쪱볤탲쇐뫍럇욽컈쪱볤탲쇐뗄뚨틥ꎬ좻뫳퓙뷩짜떥캻룹볬퇩뗄풭샭31
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뫍볬퇩맽돌ꆣ 뚨틥1ꎺ뛔쯦믺맽돌X=xt,t∈Tꎬ뛔T뗄죎틢ퟓ벯t,…,tꎬ틔벰죎틢뗄hꎬ{()}()1nt+h∈Tꎬh캪쪵쫽ꎬi=1,",nꎬ죴솪뫏럖늼몯쫽Fi싺ퟣꎺ ()i Fx(t),x(t),,x(t)=F(x(t+h),",x(t+h)) () ()121n퓲돆쯦믺맽돌X캪퇏룱욽컈ꎬ퇏룱욽컈틾몬ퟅ룃맽돌뗄쯹폐뻘뚼캪뎣쫽ꆣ 뚨틥2ꎺ뛔뚨틥1훐쯹뚨틥뗄쯦믺맽돌Xꎬ죴싺ퟣꎺ (1)E(x(t))=E(x(t+h))=µ<+∞ ii222(2)E[x(t)]=E[x(t+h)]=σ<+∞ ii(3)E[x(t)x(t)]=E[x(t+h)x(t+h)]=γ<+∞ ijijij퓲돆쯦믺맽돌x캪죵욽컈ꎬ믲뛾뷗욽컈ꎬ믲킭랽닮욽컈ꆣ컒쏇뿉틔뾴돶ꎬ뛾뷗뻘벴랽닮뫍킭랽닮늻쯦쪱볤뛸룄뇤ꎬ쟒킭랽닮횻폫쪱볤볤룴뗄뎤뛈폐맘ꎬ뛸폫쪱볤놾짭ꋙ컞맘ꎬ맊돆캪뛾뷗욽컈ꎬ믲킭랽닮욽컈ꆣ 듓짏쫶뚨틥뾴돶ꎬ튻룶욽컈쪱볤탲쇐뗄쫽뻝춼탎쳘헷캪ꎺ쫽뻝캧죆뎤웚뻹횵 E(x)=µ늨뚯ꎬ욫샫뻹횵횮뫳ꎬ폐뢴맩뻹횵뗄뗷헻ꎻ랽닮폐쿞쟒늻쯦쪱볤룄뇤ꎻ웤ퟔt쿠맘몯쫽쯦쪱볤쮥복ꆣ쿠뛔펦뗘ꎬ럇욽컈쪱볤탲쇐뿉틔뚨틥캪늻쓜싺ퟣ짏쫶욽컈탲쇐쳵볾횮튻뗄맽돌벴캪럇욽컈맽돌ꎬ웤쫽뻝쳘헷캪ꎺ늻듦퓚뎤웚뻹횵ꎻ랽닮뻟폐쪱뇤탔쟒쟷폚컞쟮ꎻ쯤좻샭싛짏뗄ퟔ쿠맘몯쫽늻믡쯦쪱볤쮥복ꎬ떫쫇퓚폐쿞퇹놾훐ꎬ퇹놾ퟔ쿠맘뿉쓜믡뮺싽쮥복ꆣ헽쫇평폚럇욽컈쪱볤탲쇐뗄룷웚뗄뻹횵ꆢ랽닮벰킭랽닮뚼쯦ퟅ쪱볤뗄뇤뮯뛸뇤뮯ꎬ벴퓚룷룶쪱뗣짏뗄쯦믺맦싉쫇늻춬뗄ꆣ틲듋ꎬ퓚샻폃쪱볤탲쇐뷸탐쪵횤퇐뺿쪱ꎬ캪뇜쏢평폚퇹놾쫽뻝뗄럇욽컈탔뛸떼훂탩볙믘맩뗄컊쳢ꎬ쫗쿈튪믹폚떥캻룹볬퇩살에뛏헢킩뇤솿뗄욽컈탔ꆣ쿂쏦붫쿪쾸뷩짜떥캻룹볬퇩뗄풭샭ꎬ쳘뇰쫇듓뇈뷏럖컶뗄뷇뛈럖컶닎쫽탍떥캻룹볬퇩뫍럇닎쫽탍떥캻룹볬퇩ꆣ ꋙ죴늻볓틔쳘뇰쮵쏷ꎬ놾컄훐뗄욽컈뻹횸뗄쫇죵욽컈맽돌ꆣ 32
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 DF뫍ADF볬퇩떥캻룹볬퇩 (1)떥캻룹맽돌 뛔폚컒맺쏻틥샻싊뫍춨믵엲헍싊뗄쪱볤탲쇐쫽뻝ꎬ컒쏇늢늻횪뗀웤헦헽뗄쫽뻝짺돉맽돌(DGP)ꎬ횻쓜춨맽볙짨뗄짨뚨뫍믹폚볙짨뗄춳볆췆뛎살좷뚨웤DGPꆣ컒쏇볙짨쪱볤탲쇐y뗄짺돉맽돌죧쿂ꎺ t y=ρy+ε () tt−1t웤훐{ε}캪냗퓫짹맽돌ꎬ벴욽컈맽돌ꆣ떱ρ<1쪱ꎬ평()쯹짺돉뗄y탲쇐뻍쫇tt욽컈맽돌ꎬ뛸떱ρ=1쪱ꎬ퓲폐 t y=ε () ∑tii=1t웤훐ε캪쯦믺쟷쫆ꎬ헢쪱뗄y탲쇐퓲쫇평럇욽컈뗄쯦믺맽돌쯹짺돉ꆣ죴붫()∑iti=1쪽폃훍뫳쯣ퟓL살뇭쪾ꎬ퓲폐ꎺ (1−ρL)y=ε () tt()쪽쯹뛔펦뗄쳘헷몯쫽캪ꎺ 1−ρZ=0 () 떱쳘헷랽돌()쪽폐튻룶룹캻폚떥캻풲짏벴Z=1쪱ꎬ퓲폐ρ=1ꎬ듋쪱뗄y탲t쇐평쯦믺쟷쫆쯹뻶뚨ꆣ쿔좻뗘ꎬρ=1뿌뮭쇋쫽뻝맽돌()뗄쳘헷룹캻폚떥캻풲짏쟒쫽뻝폐쯦믺쟷쫆쯹짺돉ꎬ틲듋ꎬ컒쏇냑ρ=1쪱뗄()쪽돆캪떥캻룹맽돌ꆣ 럇욽컈탲쇐y뿉틔춨맽닮럖퓋쯣뮻캪욽컈탔뗄탲쇐ꎬ벴떥헻탲쇐ꆣ떥헻뗄뚨틥t죧쿂ꎺ죴뛔폚럇욽컈탲쇐yꎬ뺭맽d듎닮럖뫳돉캪튻룶욽컈탲쇐ꎬ뛸뺭맽d−1듎닮럖t쪱좴뮹쫇럇욽컈탲쇐ꎬ쓇쎴컒쏇뻍돆탲쇐y캪d뷗떥헻맽돌ꎬ볇캪y∼I(d)ꆣ떱탲쇐tt33
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 y놾짭뻍쫇욽컈탲쇐쪱ꎬ컒쏇퓲돆횮캪쇣뷗떥헻맽돌ꎬ볇캪y∼I(0)ꆣ컒쏇뿉틔뾴돶ꎬtt떥헻뗄뷗쫽뻍쫇컒쏇냑럇욽컈탲쇐뇤캪욽컈탲쇐쪱쯹뷸탐뗄닮럖듎쫽ꎬ튲쫇풭쪼탲쇐뗄떥캻룹뗄룶쫽ꆣ (2)DF떥캻룹볬퇩 퓚샻폃쪱볤탲쇐뇤솿붨솢쒣탍뷸탐럖컶쪱ꎬ볬퇩웤뇤솿뗄욽컈벰웤럇욽컈탔훊폈캪훘튪ꎬ쯤좻뿉틔춨맽퇹놾ퟔ쿠맘춼살볬퇩떥캻룹돶쿖뗄뿉쓜탔ꎬ뷸탐듖싔뗄에뛏ꆣ떫쫇룃랽램늻릻ힼ좷ꎬ듦퓚뗄컊쳢쫇틲캪튻룶뷼쯆떥캻룹맽돌폫튻룶떥캻룹맽돌뻟폐쿠춬쳘헷뗄ퟔ쿠맘춼ꎬ틲뛸죴룹뻝ퟔ쿠맘춼살에뛏튻룶탲쇐쫇럱쫇떥캻룹맽돌쪱ꎬ늻춬뗄죋뿉쓜믡뗃돶늻춬뗄뷡싛ꆣ헽쫇믹폚룃에뛏랽램뗄좱쿝틔벰욽컈탔볬퇩뗄훘튪탔ꎬDickey 뫍Fuller(1979,1981)헽쪽쳡돶쇋볬퇩떥캻룹뗄랽램ꎬ벴DF볬퇩ꆣ Dickey 뫍Fuller(1979)뗄떥캻룹볬퇩훷튪쫇믹폚쿟탔짨뚨뗄닎쫽쒣탍뷸탐OLS맀볆ꎬ듓뛸릹퓬볬퇩춳볆솿ꎬ볬퇩쒣탍죧쿂ꎺ y=ρy+ε 믲 ∆y=βy+ε () tt−1ttt−1ty=α+ρy+ε 믲 ∆y=α+βy+ε () tt−1ttt−1ty=α+δt+ρy+ε 믲 ∆y=α+δt+βy+ε () tt−1ttt−1t퓚짏쫶짨뚨뗄볬퇩쒣탍훐ꎬ맘볼쫇튪볬퇩ρ뗄맀볆횵쫇럱뗈폚1ꎬ ρ=1뗈볛뮻캪볬퇩β=0ꆣ죴ρ=1(믲β=0)ꎬ퓲탲쇐y캪떥캻룹맽돌ꎬ듋쪱뗄()쪽뻍쫇평t쯦믺쟷쫆쯹횧엤ꎬ()퓲캪냼몬쇋뷘뻠쿮믲욯틆쿮뗄쯦믺폎ퟟꎬ()퓲냼몬쇋욯틆쿮뫍쿟탔뗄쪱볤쟷쫆쿮ꎬ튻냣냑뫳솽훖쟩탎뚼돆캪뻟폐좷뚨탔쟷쫆뗄떥캻룹맽돌ꆣ웤볬퇩뗄쇣볙짨뫍놸퓱볙짨캪ꎺ Hꎺρ=1 믲β=0(y탲쇐캪떥캻룹맽돌) 0t Hꎺρ<1 믲 β<0(y탲쇐캪욽컈맽돌) At퓲DF볬퇩춳볆솿캪ꎺ Fˆ D=T(ρ−1) () ρ34
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 DFˆ≡ˆ t=(ρ−1)σ () tTρ믹폚떥캻룹쾵쫽뗄맀볆탔훊ꎬ뿉틔떼돶DF춳볆솿뗄럖늼몯쫽ꎬ뻟쳥죧쿂ꎺ −1−22ˆT(ρ−1)=TyεTy () ∑∑t−1tt−12(12){[W(1)]−1}ˆT(ρ−1)⇒ () 12[W(r)]dr∫0뛔폚t뗄붥뷼럖늼ꎬ붫t뗈볛뗘뇭쪾캪ꎺ TTˆˆ t=(ρ−1)σ Tρ1222ˆ =(ρ−1)(sy) T∑t−1−1Tyε∑t−1t = () −2212(Ty)is∑t−1T22P2웤훐ˆs=(y−ρy)(T−1)→σ T∑tt−1222(12)σ([W(1)]−1)(12)([W(1)]−1)t⇒= () T112212212([W(r)]dr)σ([W(r)]dr)∫∫00샻폃쪵볊퇹놾쫽뻝뷸탐볬퇩쪱ꎬ에뛏맦퓲캪ꎺ DF>쇙뷧횵ꎬ퓲늻쓜뻜뻸쇣볙짨Hꎬ뷡싛캪y탲쇐럇욽컈 0t DF<쇙뷧횵ꎬ퓲뻜뻸쇣볙짨Hꎬ뷡싛캪y탲쇐욽컈 0t짏쫶뗄DF떥캻룹볬퇩횻쫊뫏폚볬퇩탲쇐캪AR(1)맽돌쟒ε듦퓚럇ퟔ쿠맘뗄쳵볾t쿂닅믡폐킧ꆣ떫퓚쪵볊펦폃맽돌훐ꎬ퇹놾쫽뻝튻냣뚼뻟폐늻춬돌뛈뗄룟뷗훍뫳쿠맘(벴AR(p)맽돌)믲ε듦퓚ퟔ쿠맘ꎬ헢쪱캪쇋놣횤볬퇩쒣탍훐뗄닐닮탲쇐ε쫇냗퓫짹맽돌ꎬtt뻍튪퓚쒣탍훐퓶볓훍뫳쿮ꎬ헢뻍쫇Dickey 뫍Fuller(1979,1981)쳡돶뗄ADF떥캻룹볬퇩램ꆣ (3)삩햹뗄Dickey –Fuller떥캻룹볬퇩(ADF) 캪쇋놣횤ε쫇냗퓫짹맽돌ꎬDickey 뫍Fuller(1979,1981)쳡돶캪킣헽ퟔ쿠맘뛸퓚짏t35
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쫶볬퇩랽돌훐볓죫∆y뗄죴룉웚훍뫳쿮ꆣ룃볬퇩볙뚨y탲쇐뗄쫽뻝짺돉맽돌캪AR(p)tt맽돌ꎬ웤볬퇩랽돌죧쿂ꎺ p ∆y=βy+φ∆y+ε () tt−1∑it−iti=1p ∆y=α+βy+φ∆y+ε () ∑tt−1it−iti=1p ∆y=α+δt+βy+φ∆y+ε () tt−1∑it−ti=1ADF떥캻룹볬퇩횻쫇뛔DF볬퇩뗄튻룶삩햹ꎬ틔쿻돽ε훐뗄ퟔ쿠맘ꎬ쯹틔ADFt볬퇩뗄춳볆솿뇭쫶뫍붥뷸럖늼늢쎻폐쪵훊탔뗄뇤뮯ꆣ웤ADF뗄춳볆솿캪ꎺ ˆTiβ ADF= () P1−φ−"−φ1p−1ˆβADF= () tˆSe(β)웤훐Se(i)캪뛔펦뗄뇪ힼ닮맀볆ꆣ샠쯆폚DF뗄럖늼몯쫽ꎬADF춳볆솿뗄럖늼몯쫽캪ꎺ 12(12){[W(1)]−1}−W(1)W(r)d∫0 ADF⇒ () P112[W(r)]dr−(W(r)dr)∫∫0012(12){[W(1)]−1}−W(1)W(r)d∫0 ADF⇒ () t1121[[W(r)]dr−(W(r)dr)]∫∫00컒쏇뿉틔뾴돶ꎬADF뗄럖늼횻쫇퓚DF럖늼뗄럖ퟓ뫍럖쒸짏럖뇰복좥킣헽ퟔ쿠맘뗄틲ퟓꎬ횻쫇뛔DF럖늼뗄튻룶췆맣ꎬ늢쎻폐랢짺쪵훊뗄뇤뮯ꆣADF떥캻룹볬퇩뗄쇣볙짨뫍놸퓱볙짨틔벰에뇰맦퓲춬폚DF떥캻룹볬퇩ꎬ헽쫇평폚쿖쪵뺭볃훐뗄쪵볊쫽뻝뻸듳뛠쫽뚼뻟폐늻춬돌뛈뗄쿠맘탔ꎬ틲뛸ADF돉캪쪵횤퇐뺿뗄훷튪릤뻟ꆣ 36
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 샻폃ADF볬퇩쪱ꎬ짦벰떽솽룶훘튪뗄컊쳢ꎺ웤튻쫇훍뫳뷗뗄좷뚨ꎻ웤뛾쫇톡좡짏쫶쒣탍훐뗄쓄튻룶쒣탍살ퟷ캪맀볆쒣탍ꆣ뛔폚훍뫳뷗뗄좷뚨컊쳢ꎬ춨뎣닉폃Akaike탅쾢ힼ퓲(AIC)뫍Schwarz놴튶쮹탅쾢ힼ퓲(BIC)살좷뚨짏쫶볬퇩쒣탍훐뗄훍뫳뷗쫽ꎬ벴ꎺ 2 AIC=σˆlog+2pT () ε2 BC=σˆ Ilog+plogTT () ε뾪쪼톡좡뷏듳뗄훍뫳뷗pꎬ볆쯣쿠펦뗄AIC(믲BIC)ꎬ좻뫳훰늽복짙p횵ꎬ횱훁볆쯣뗄AIC(믲BIC)ퟮ킡늢믹폚듋살좷뚨ퟮ훕뗄훍뫳뷗p횵ꆣ떫쫇퓚쪵볊펦폃훐ꎬ톡좡샭쿫뗄훍뫳뷗p횵늢늻쫇뫜죝틗ꎬ뮹튪뾼싇웤쯻뗄틲쯘ꎬ틲뛸틽훂쇋뛔룃랽램뗄엺움ꆣ 볬퇩쒣탍뗄톡퓱컊쳢쿔뗃폈캪훘튪ꎬ죴믹폚늻뫏쫊뗄쒣탍뷸탐볬퇩ꎬ웤뗃돶뗄볬퇩뷡싛떱좻횵뗃뮳틉ꆣ퓚쪵횤퇐뺿뗄맽돌훐ꎬ죋쏇춨뎣쫗쿈믹폚쪵볊탲쇐뗄쫽뻝춼탎쳘헷뷸탐돵늽에뛏ꎬ좻뫳퓙믹폚돵늽톡좡뗄쒣탍뷸탐뷸튻늽뗄볬퇩ꆢ뗷헻뫍좷뚨ꆣ믹폚쫽뻝춼탎돵늽좷뚨뗄볬퇩쒣탍뷸탐맀볆ꎬ춨뎣샻폃뎣맦뗄t춳볆솿살에뛏웤욯틆쿮뫍쪱볤쟷쫆쿮뗄쿔훸탔ꎬ벴ꎺ 욯틆쿮ꎺHꎺˆˆα=0ꎻ 웤춳볆솿캪ꎺτ=αSe(α) 0αˆˆ쪱볤쟷쫆쿮ꎺHꎺδ=0ꎻ 웤춳볆솿캪ꎺτ=δSe(δ) 0δ룹뻝맀볆뗄욯틆쿮뫍쪱볤쟷쫆쿮뗄쾵쫽쯹뛔펦뗄춳볆솿τ뫍τ뗄쿔훸탔살좷뚨αδ볬퇩쒣탍훐쫇럱펦룃몬폐욯틆쿮뫍쪱볤쟷쫆쿮ꎬ좻뫳퓙룹뻝톡뚨뗄쒣탍뷸탐ADF볬퇩ꆣ Dickey 뫍Fuller(1981)붫떥룶쾵쫽뗄쿔훸탔볬퇩삩햹떽뛔좫늿믲늿럖쾵쫽뗄솪뫏볬퇩ꎬ솪뫏볬퇩뗄쇣볙짨럖뇰캪ꎺHꎺα=β=0ꎻHꎺα=β=δ=0ꎻHꎺβ=δ=0ꎻ010203솪뫏볬퇩뗄춳볆솿캪ꎺ 37
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 (RSS−RSS)rRU φ= i=1ꎬ2ꎬ3 () iRSS(T−K)U웤훐RSS캪퓚풼쫸쳵볾H(믲HꆢH)쿂뗄닐닮욽랽뫍ꎬRSS캪웤뛔펦뗄컞R010203U풼쫸쳵볾쿂뗄닐닮욽랽뫍ꎬr캪풼쫸쳵볾뗄룶쫽ꎬK뇭쪾컞풼쫸쒣탍훐뇤솿뗄룶쫽ꎬT캪퇹놾뗄뎤뛈ꆣ퓚볬퇩뗄맽돌훐ꎬ죴뷓쫜Hꎬ퓲틢캶ퟅ탲쇐몬폐떥캻룹떫컞좷뚨01탔쟷쫆ꎬ벴룃탲쇐뷶평쯦믺쟷쫆쯹횧엤ꎻ죴뻜뻸Hꎬ퓲뇭쏷쫽뻝뿉쓜몬폐떥캻룹쟒02뿉쓜몬폐좷뚨탔쟷쫆ꎻ캪뷸튻늽좷뚨쫽뻝훐뗄좷뚨탔쟷쫆쫇욯틆쿮뮹쫇쪱볤쟷쫆쿮ꎬ퓲탨볬퇩Hꎬ죴퓚뻜뻸H뗄쳵볾쿂뷓쫜Hꎬ퓲쮵쏷볬퇩쒣탍훐펦룃몬폐욯틆쿮ꎬ030203벴룃탲쇐평쯦믺쟷쫆뫍좷뚨탔욯틆쟷쫆쯹횧엤ꆣ솪뫏볬퇩뿉틔뷸튻늽싛횤믲뗷헻ADF볬퇩쒣탍뗄짨뚨ꆣ 짏쫶뇭쏷ꎬDF뫍ADF떥캻룹볬퇩뚼쫇믹폚쿟탔닎쫽쒣탍살뷸탐ꎬ볬퇩춳볆솿틀삵폚맀볆뗄닎쫽ꎬ쟒탩쓢볙짨뫍놸퓱볙짨튲쫇믹폚쒣탍훐뗄닎쫽살짨뚨ꎬ폚쫇ꎬ컒쏇냑DF볬퇩뫍ADF떥캻룹볬퇩돆캪닎쫽탍볬퇩ꆣ떫쫇닎쫽탍떥캻룹볬퇩뿉쓜믡평폚쒣탍뗄듭컳짨뚨뫍닎쫽뗄맀볆욫컳뛸떼훂볬퇩뷡싛뗄듭컳ꆣ틲듋ꎬퟔDickey 뫍Fuller(1979, 1981)쳡돶ADF떥캻룹볬퇩틔살ꎬ쯤좻쿠떱뛠뗄퇐뺿컄쿗샻폃룃랽램살뛔쪵볊쫽뻝뷸탐떥캻룹볬퇩ꎬ떫쫇웤듦퓚뗄탭뛠컊쳢튲틽웰쇋튻킩톧헟뗄뮳틉ꆣ 듓짏쫶뛔DF볬퇩뫍ADF볬퇩랽램뗄닻쫶훐뿉틔뾴돶ꎬ헢훖닎쫽탍볬퇩랽램뿉쓜듦퓚벸룶컊쳢ꎺ뗚튻ꎬADF떥캻룹볬퇩뗄볬퇩쫆뷏뗍컊쳢ꆣ볬퇩쫆(test power)횸뗄쫇뻜뻸듭컳쇣볙짨뗄룅싊ꎬ벴ꎺ1복좥랸뗚뛾샠듭컳뗄룅싊ꆣMonte Carlo쒣쓢뇭쏷ADF볬퇩뗄볬퇩쫆뇈뷏뗍ꎬ쳘뇰쫇쓑틔붫떥캻룹맽돌뫍뷼쯆떥캻룹맽돌볓틔쟸뇰ꆣ뗚뛾ꎬADF볬퇩쒣탍훐좷뚨탔쟷쫆뗄짨뚨컊쳢ꆣADF볬퇩퓚쟸럖쟷쫆욽컈맽돌뫍욯틆맽돌쪱뻟폐뷏뗍뗄볬퇩쫆ꎬ퓚폐쿞퇹놾훐ꎬ쟷쫆욽컈맽돌뿉쓜믡놻뷼쯆캪튻룶떥캻룹맽돌ꎬ튻룶떥캻룹맽돌뿉쓜믡놻볬퇩캪튻룶쟷쫆욽컈맽돌ꆣ퓚ADF볬퇩맽돌훐ꎬ뫜쓑좷뚨욯틆쿮믲쪱볤쟷쫆쿮쫇럱펦룃놻냼몬퓚볬퇩쒣탍훐ꎬ틲듋톡퓱헽좷뗄볬퇩쒣탍쫇뫜삧쓑뗄ꆣ뗚죽ꎬADF볬퇩쒣탍뗄쿟탔짨뚨컊쳢ꆣ평짏쫶뿉틔뾴돶ꎬADF볬퇩38
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 훷튪쫇믹폚볙짨뗄죽훖탎쪽뗄쿟탔닎쫽쒣탍살뷸탐ꎬ늻뷶뷶쫇톡퓱웤훐쓄튻훖쒣탍뷸탐볬퇩듦퓚쓑뛈ꎬ뛸쟒헢훖볲떥뗄쿟탔닎쫽쒣탍쫇럱뿉틔헦쪵뗘쏨쫶쿖쪵뺭볃훐뗄쫽뻝쳘헷뗄뢴퓓탔ꆣ죴쪱볤탲쇐뇤솿듦퓚쏷쿔뗄럇쿟탔쳘헷ꎬ룃쿟탔짨뚨볬퇩쒣탍룃죧뫎뿌뮭돶헢퇹뗄쿖쿳뗈컊쳢뚼쫇횵뗃쮼뾼뗄ꆣ뗚쯄ꎬADF볬퇩춳볆솿틀삵폚닎쫽뗄맀볆컊쳢ꆣ듓ADF볬퇩춳볆솿뗄릹퓬탎쪽뿉틔뾴돶ꎬ룃춳볆솿틀삵폚볬퇩쒣탍훐뗄닎쫽맀볆ꎬ뛸쟒웤벫쿞럖늼캪럇뇪ힼ럖늼ꎬ폚쫇웤볬퇩뗄뷡싛뻍틀삵폚쒣탍짨뚨뗄헽좷탔ꆢ닎쫽맀볆뗄ힼ좷탔벰웤럖늼몯쫽ꆣ뗚컥ꎬADF볬퇩훐뗄닐닮뿉쓜듦퓚ퟔ쿠맘뫍틬랽닮컊쳢ꆣADF볬퇩쫇믹폚닐닮늻듦퓚ퟔ쿠맘뫍뻟폐쿠춬랽닮뗄볙짨살뷸탐뗄ꎬ떫퓚샻폃쪵볊쫽뻝뷸탐볬퇩뗄맽돌훐ꎬ닐닮췹췹뻟폐ퟔ쿠맘탔믲틬랽닮탔ꎬ헢쪱뗄닎쫽맀볆늻뻟폐튻훂탔뫍폐킧탔ꎬ웤볬퇩뷡싛튲늻뻟폐컈붡탔ꆣ짏쫶틑뺭횸돶쇋쒣탍헽좷짨뚨뗄쓑뛈ꎬ뛸쟒ADF볬퇩쒣탍훐킣헽닐닮ퟔ쿠맘뗄훍뫳뷗쫽뗄톡퓱튲믡펰쿬떽닎쫽뗄폐킧맀볆ꆣퟜ횮ꎬ벴쪹ADF볬퇩랽램뗃떽쇋웕뇩뗄펦폃ꎬ떫쫇웤듦퓚뗄컊쳢좴늻죝뫶쫓ꆣ틲듋ꎬ탭뛠톧헟쫔춼뷢뻶헢킩컊쳢믲늻뛏췪짆떥캻룹볬퇩랽램틔벰쳡돶웤쯻뗄볬퇩랽램ꆣ PP볬퇩뫍KPSS볬퇩 뺡맜ADF볬퇩춨맽퓚볬퇩랽돌훐틽죫훍뫳쿮살킣헽닐닮훐뿉쓜듦퓚뗄ퟔ쿠맘컊쳢ꎬ쟒샻폃닎쫽맀볆뗄솪뫏볬퇩뫍쾵쫽뗄쿔훸탔살에뛏쒣탍뗄짨뚨뫍볬퇩뷡싛뗄헽좷탔ꆣ떫쫇닐닮훐뗄ퟔ쿠맘컊쳢췹췹쎻폐뗃떽췪좫뗄킣헽ꎬ헢쪹뗃ADF볬퇩죔좻뿉쓜믡랸좡캱뗄듭컳ꎬ떼훂쪵횤퇐뺿훐뗄볬퇩뷡싛쎻폐컈붡탔ꆣ캪킣헽닐닮훐뗄ퟔ쿠맘뫍뿉쓜듦퓚뗄틬랽닮ꎬPhillips 뫍Perron(1987ꎬ1988)퓚ADF볬퇩뗄믹뒡짏쳡돶쇋쇭튻훖볬퇩랽램ꎬ춨뎣돆횮캪PP볬퇩ꆣ 짨떥캻룹볬퇩쒣탍캪ꎺ y=α+ρy+u () tt−1t춬퇹ꎬPP볬퇩뗄탩쓢볙짨캪ꎺH:ρ=1ꎬ놸퓱볙짨캪ꎺH:ρ<1ꆣ쿂쏦뷩짜PP0A볬퇩뗄춳볆솿ꆣ쫗쿈뚨틥뎤웚랽닮ꎺ 39
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 2−12 σ=limE(TS) () TT→∞T2−12 σ=TE(u) () u∑tlimT→∞t=1TTT2T2222웤훐S=uꎬS=uu=u+uuꆣ죴u∼iidꎬ퓲σ=σꎬT∑tT∑i∑j∑t∑∑ijtui≠jt=1i=1j=1t=122듋쪱DF볬퇩뻍늻짦벰σꎻ죴u듦퓚ퟔ쿠맘ꎬ퓲DF볬퇩틀삵폚u뗄뎤웚랽닮σ뗄tt222맀볆ꆣ캪쇋릹퓬PP볬퇩춳볆솿ꎬ탨튪믱뗃σ뫍σ뗄튻훂맀볆ꆣσ뗄튻훂맀볆벴캪uu닐닮욽랽뫍뗄뻹횵ꎬ벴ꎺ T22−12 σˆˆ=S=Tu () uu∑tt=122P2캪믱뗃σ뗄튻훂맀볆ꎬ벴σˆ→σꎬ춨뎣닉폃Newey 뫍 West (1987)뗄럇닎쫽뫋좨맀볆랽램ꎬ벴ꎺ TLL22−1−1σˆ≡ˆˆ S=Tu+2TW(j)u () TL∑∑te∑tt−j=j=t=j+1−11/42웤훐뫋좨몯쫽캪W(j)=1−j(l+1)ꎬ훍뫳뷘뛏l=o(T)ꆣ폚쫇ꎬS벴캪뎤웚랽eTL22P2닮σ뗄튻훂맀볆ꎬ벴S→σꆣ틲듋ꎬPP볬퇩춳볆솿캪ꎺ TL122−22−1ˆˆ Z(ρ)=T(ρ−1)−(S−S)[T(y−y)] () TLu∑t−1−12S1u22−221/2−1ˆˆ Z(t(ρ))=t(ρ)−(S−S){S[T(y−y)]} () TLuTL∑t−1−1S2TL−1웤훐ꎬy=Tyꎬˆt(ρ)캪DF볬퇩ꆣPP볬퇩춳볆솿뗄럖늼캪ꎺ −1∑t−112−1−1ˆZ(ρ)→[[W(r)]dr][2[W(1)−1]] () ∫012−1/2−12ˆZ(T(ρ))→[[W(r)]dr][2[W(r)−1]] () ∫0뿉틔뾴돶ꎬ룃럖늼춬폚DF춳볆솿뗄럖늼ꎬ헢쫇평폚PP볬퇩샻폃뎤웚랽닮뗄튻40
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 훂맀볆킣헽쇋닐닮훐뗄뎤웚ퟔ쿠맘ꆣ 짏쫶뇭쏷ꎬPP볬퇩뗄쪵훊쫇뛔ADF볬퇩볓짏뎤웚랽닮맀볆뫍닐닮랽닮횮뇈(믲횮닮)ꎬ틔듋살킣헽닐닮훐뿉쓜듦퓚뗄ퟔ쿠맘뫍틬랽닮ꆣ떱닐닮캪냗퓫짹맽돌쪱ꎬPP볬퇩뻍췋뮯캪DF볬퇩ꆣ평폚닉폃럇닎쫽뫋맀볆살맀볆웤뎤웚랽닮ꎬ폚쫇튲폐톧헟붫PPꋙ볬퇩돆캪럇닎쫽볬퇩ꆣ쪵볊짏ꎬPP볬퇩튲쫇믹폚쿟탔닎쫽쒣탍살뷸탐뗄ꎬ튲짦벰떽닎쫽뗄맀볆뫍쒣탍훐좷뚨쟷쫆뗄톡퓱컊쳢ꎬ틲듋ꎬ쯤좻PP볬퇩킣헽쇋닐닮훐뗄ퟔ쿠맘틬랽닮컊쳢ꎬ떫쫇죔좻뿉쓜믡춬퇹틲캪ADF훐닻쫶뗄웤쯻컊쳢뛸붵뗍웤볬퇩쫆ꎬ펰쿬웤볬퇩뷡싛뗄컈붡탔ꆣ Kwiatkowski뗈죋(1992)퓲쫇믹폚쳞돽쇋뷘뻠쿮뫍쟷쫆쿮뗄탲쇐릹퓬LM춳볆솿살뷸탐떥캻룹볬퇩ꎬ볲돆캪KPSS볬퇩ꆣKPSS볬퇩뗄LM춳볆솿캪ꎺ 22 LM=S(t)(Tf) () ∑0ttˆ웤훐ˆS(t)=εꎬˆε=y−xδꎬ{x}={1,t}ꎬˆ{ε}쫇풭쪼탲쇐{y}놻쳞돽뷘뻠쿮∑rttttttr=1믲쪱볤쟷쫆쿮뫳뗄탲쇐ꎻf캪욵싊캪쇣쪱뗄닐닮웗쏜뛈ꎬ뿉틔샻폃킭랽닮뫋맀볆뫍ퟔ0믘맩웗쏜뛈맀볆솽훖랽램살뛔웤뷸탐맀볆ꆣKPSS볬퇩뗄풭볙짨쫇탲쇐{y}쫇욽컈탲t쇐ꎻ놸퓱볙짨쫇탲쇐{y}쫇럇욽컈탲쇐ꆣKwiatkowski뗈죋(1992)룸돶쇋늻춬훃탅쮮욽t쿂뗄쇙뷧횵ꆣ ퟛ짏ꎬ컒쏇뿉틔뾴돶ꎬDF믲ADF떥캻룹볬퇩믹폚뻟쳥짨뚨뗄쿟탔닎쫽쒣탍살뷸탐ꎬ웤볬퇩춳볆솿틀삵폚뛔쒣탍닎쫽뗄맀볆ꎬ쯹틔룃볬퇩뿉쓜믡평폚볬퇩쒣탍뗄듭컳짨뚨ꆢ닎쫽뗄맀볆욫컳ꆢ훍뫳뷗뗄듭컳톡퓱ꆢ닐닮훐뗄ퟔ쿠맘뫍틬랽닮뗈컊쳢뛸떼훂볬퇩쫆뷏뗍ꎬ듓뛸쪹볬퇩뷡싛늻컈붡믲짵훁닺짺듭컳뗄뷡싛ꆣ춬퇹ꎬPP볬퇩튲쫇믹폚뻟쳥짨뚨뗄쿟탔닎쫽쒣탍살뷸탐ꎬ쯤좻PP볬퇩샻폃뎤웚랽닮맀볆뫍닐닮랽닮횮뇈살킣헽닐닮훐뗄ퟔ쿠맘틬랽닮컊쳢ꎬ떫죔좻뿉쓜믡춬퇹틲캪ADF훐닻쫶뗄웤쯻컊쳢 ꋙ쳘뇰잿뗷뗄쫇ꎬ헢샯뗄럇닎쫽볬퇩뫍놾컄뗄럇닎쫽볬퇩폐늻춬뗄몬틥ꎬ헢샯평폚샻폃럇닎쫽뫋좨맀볆살맀볆뎤웚랽닮ꎬ폚쫇폐죋냑PP볬퇩돆캪럇닎쫽볬퇩ꆣ뛸놾컄ퟅ훘뷩짜뗄럇닎쫽볬퇩쫇횸헢킩볬퇩랽램늻짦벰떽쒣탍뗄뻟쳥짨뚨뫍닎쫽뗄맀볆ꎬ헢뛾헟폐ퟅ쏷쿔뗄쟸뇰ꆣ 41
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뛸붵뗍웤볬퇩쫆ꎬ펰쿬웤볬퇩뷡싛뗄컈붡탔ꆣKPSS볬퇩믹폚췋뮯쟷쫆뫳뗄탲쇐살릹퓬LM춳볆솿ꎬ튲짦벰떽닐닮웗쏜뛈뗄맀볆컊쳢ꆣ본폚짏쫶볬퇩뚼짦벰떽닎쫽뗄맀볆ꎬ놾컄붫헢킩볬퇩춳돆캪닎쫽탍떥캻룹볬퇩ꆣ헽쫇평폚헢킩닎쫽탍볬퇩듦퓚짏쫶좱쿝ꎬ놾컄붫뷩짜럇닎쫽떥캻룹볬퇩랽램ꆣ 럇닎쫽떥캻룹볬퇩 짏쫶닎쫽탍떥캻룹볬퇩뚼쫇믹폚뻟쳥짨뚨뗄쒣탍믲닎쫽뗄맀볆살뷸탐ꎬ뿉쓜믡평폚쒣탍뗄듭컳짨뚨뫍닎쫽뗄맀볆욫컳뛸떼훂쇋떥캻룹볬퇩뗄뗍쫆컊쳢ꆣ쓇쎴ꎬ쫇럱뿉틔릹퓬헢퇹튻훖떥캻룹볬퇩춳볆솿ꎬ쯼늢늻탨튪짨뚨뻟쳥뗄뛌웚뚯첬짺돉맽돌ꎬ튲늻짦벰떽좱쪡닎쫽뗄맀볆ꎿ헢뻍쫇Bierens(1997a, 1997b)쯹쳡돶뗄ꆰ쒣탍ퟔ평ꆱ뫍ꆰ럇닎쫽ꆱ랽램ꆣ쪵볊짏ꎬ튪퓚떥캻룹볬퇩맽돌훐ퟶ떽쒣탍ퟔ평뫍럇닎쫽헢솽뗣쫇뫜삧쓑뗄ꎬ횻쓜ퟶ떽뺡솿복짙닎쫽믲쿻돽닎쫽ꆣ Bierens랽램 TBierens(1997a)쫗쿈쳡돶럇닎쫽떥캻룹볬퇩랽램ꆣ쇮{y}쫇놻볬퇩뗄풭쪼탲쇐ꎬt1뿉틔놻럖뷢캪ꎺ′y=µ+xꎬ웤훐µ=E(y)=δdꎬd쯹냼몬뗄뿉쓜쫇뎣쫽쿮ꆢ쪱볤ttttttt쟷쫆쿮믲탩쓢뇤솿ꆣµퟷ캪y훐뗄좷뚨탔ퟩ돉늿럖ꎬ웤훷튪쫇평럇쯦믺믘맩풪d쿲ttt솿뗄쿟탔ퟩ뫏쯹릹돉ꆣ −12볙짨1. 죴쯦ퟅT→∞ꎬTx[aT]⇒σW(a)ꎬ퓲쪱볤탲쇐x캪튻뷗떥헻맽돌ꎬt볇캪x∼I(1)ꆣ웤훐σ>0쟒캪뎣쫽ꎬ[⋅]뇭쪾헻쫽늿럖ꎬW(a)쫇튻룶뚨틥퓚C[0,1]짏t뗄늼샊퓋뚯ꆣ 뷸튻늽ꎬ붫쪱볤탲쇐y훐뗄쯦믺ퟩ돉늿럖뷸탐럖뷢캪x=ξ+υꎬ웤훐ξ쫇평늻ttttt−12쿠맘뗄퓶솿맽돌릹돉뗄쯦믺폎ퟟퟩ돉늿럖ꎬ쟒Tξ[aT]⇒σW(a)ꆣυ퓲캪y탲쇐훐tt뗄퓝쪱늿럖ꎬ뇭쪾헢룶맽돌훐뗄뛌웚뚯첬맽돌ꎬ쟒υ=O(1)ꆣ 떱υ쫇튻룶럖헻맽돌tpt42
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 d쪱ꎬ벴(1−L)υ=εꎬ웤훐L쫇훍뫳쯣ퟓꎬd쫇튻룶쪵쫽ꎬε캪튻룶냗퓫짹맽돌ꆣ ttt헢샯횻볲튪뷩짜튻훖볲떥쟩탎ꎬ벴늻뾼싇y훐뗄좷뚨탔돉럖ꎬ횻뾼싇쇋웤훐뗄쯦t믺늿럖ꎬ퓲폐y=xꆣ죴뫶싔뿉쓜뗄쪱볤쟷쫆뛸뾼싇닉폃튻룶뇪솿좨몯쫽ꎬ퓲럇닎쫽tt볬퇩춳볆솿뿉틔볲뮯캪ꎺ T2T(g(tT)∆y)∑tt=1 τ= () TT2y∑tt=1g(⋅)캪좨몯쫽ꎬBierens(1997a)샻폃쟐뇈톩럲쪱볤뛠쿮쪽살릹퓬좨몯쫽ꎬ떱좻튲뿉틔닉폃죎뫎웤쯻뿉캢뗄좨몯쫽살뷸탐볬퇩ꎬ맘볼뗄쫇튪뾼싇떽좨몯쫽뛔룃춳볆솿뗄볬퇩쫆뗄펰쿬ꆣ쿂쇐쏼쳢뿌뮭쇋룃볬퇩춳볆솿퓚욽컈맽돌뗄놸퓱볙짨쳵볾쿂뗄붥뷸탐캪쳘헷ꆣ ∞22쏼쳢ꎺ쇮y=γεꎬy욽컈쟒뻟폐뇩샺탔ꎬE(ε)=σꎬ뛠쿮쪽∑tjtttεj=02γ(z)=γ+γz+γz+"뗄쯹폐룹뚼퓚뢴뫏떥캻풲횮췢ꆣ뛔폚T→∞ꎬ퓲폐 012−12 Tτv⇒χ () Tτ∞T2−1웤훐v=1+2cδꎬ δ=E(∆y∆y)E(y)ꎬc=Tg(tT)g[(t+j)T]ꎬ τ∑jjjtt+∑jtj,Tt=1j=122c=limcꎬχ뇭쪾튻룶럾듓ퟔ평뛈캪1뗄χ럖늼뗄쯦믺뇤솿ꆣ jj,TT→∞짏쫶쏼쳢뇭쏷룃럇닎쫽떥캻룹볬퇩춳볆솿뗄볬퇩쫆훷튪좡뻶폚좨몯쫽뗄톡퓱ꆣ틲듋ꎬ좨몯쫽뗄짨뚨뫍톡퓱폈캪훘튪ꆣ캪쇋뛔듋뷸탐쮵쏷ꎬ컒쏇톡퓱죽뷇좨몯쫽ꎺ g(tT)=cos(ωtT) () kk웤훐ω=k⋅2πꎬk=1,2,…ꆣ컒쏇뛔룃좨몯쫽뷸탐뛾뷗첩샕햹뾪ꎺ kt+jjω1jω2kk cos(ω) cos(ωtT)+sin(ωtT)−cos(ωtT)() () kkkkT2틲듋폐ꎺ 43
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 2(jω)k 2c 1− () j,T22T죴y쫇냗퓫짹맽돌ꎬ퓲폐δ=−1ꎬ뛔폚j≥2ꎬδ=0ꆣ틲듋ꎬ캪쇋쪹룃볬퇩춳t1j볆솿뻟폐뷏룟뗄볬퇩쫆ꎬc펦룃뺡뿉쓜킡ꎬ튲뻍쫇튪닉폃룟욵싊뗄죽뷇좨몯쫽ꆣ쇭1,T튻랽쏦ꎬ죴∆y듦퓚헽쿠맘ꎬ퓲뗍욵싊뗄좨몯쫽룼볓뫏쫊ꆣ헢뻍뇭쏷ꎬ룃볬퇩늢늻듦t퓚캨튻쟒ퟮ폅뗄좨몯쫽ꎬ떱탲쇐훐듦퓚ퟔ쿠맘쪱ꎬ뫜쓑짨뚨좨몯쫽ꆣ 쇭튻룶컊쳢퓲쫇죽뷇좨몯쫽뗄욵싊뇘탫폫퇹놾뗄듳킡쿠맘뛈뇈뷏뗍ꆣ볙뚨욵싊믡쯦ퟅ퇹놾뗄듳킡뛸퓶볓ꎬ죧k=T(2q)ꎬ틲듋g(tT)=cos(πtq)ꎬ웤훐q=1,2,…ꎬq뛔폚ퟮ듳뗄욵싊q=1ꎬ좨몯쫽믡퓚횵1훁-1횮볤쳸뚯ꆣ평폚짏쫶풭틲ꎬ컒쏇웚췻짨뚨q=1살쪹뗃룃볬퇩뻟폐ퟮ폅뗄볬퇩쫆ꆣ좻뛸ꎬ쿂쇐쏼쳢뇭쏷ꎬ룃볬퇩뗄붥뷸샭싛쫇늻춬뗄ꆣ 쏼쳢ꎺ쇮g(tT)=cos(πtq)ꎬ웤훐q<∞ꎬ볙짨y럾듓볙짨1ꆣ쓇쎴ꎬ쯦ퟅT→∞ꎬqt퓲폐 T−12Tcos(πtq)∆y⇒π2f(πq)W(1) () ∑t∆yt=2웤훐f(πq)캪∆y퓚욵싊πq뒦뗄웗쏜뛈ꆣ ∆ytT1−12뛔폚q>1ꎬ퓲폐limcos(πtq)=ꎬ틲듋죴∆y쫇냗퓫짹맽돌ꎬ퓲짏쪽럾∑tt=1T→∞22듓랽닮캪σ2뗄헽첬럖늼ꆣ뛸쟒ꎬ듓룃쏼쳢뿉틔뾴돶ꎬ튻냣살쮵ꎬ볬퇩춳볆솿τ뗄εT벫쿞럖늼좡뻶폚f(πq)ꆣ ∆y룹뻝Bierens(1997a)뗄럖컶ꎬ뛔폚좨몯쫽g(tT)=cos(k2πtT)훐뗄만뚨뗄kꎬ웤붥뷸샭싛쫇폐킧뗄ꆣ좻뛸ꎬ죴k틔쯙싊T쟷쿲폚컞쟮ꎬ벴k→∞ꎬ쓇쎴뻍듦퓚늻춬뗄2붥뷸샭싛뫍샻폃벫쿞χ럖늼붫믡떼훂퇏훘뗄쿔훸탔얤쟺ꆣ 44
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 평짏쫶뿉볻ꎬ캪쇋뿋럾닎쫽탍떥캻룹볬퇩맽돌훐뗄쒣탍듭컳짨뚨뫍닎쫽맀볆욫컳떼훂뗄볬퇩쫆뷏뗍컊쳢ꎬBierens(1997a)쳡돶쇋럇닎쫽떥캻룹볬퇩랽램ꎬ웤쪵훊쫇뺡솿늻짦벰떽뻟쳥쒣탍뗄짨뚨컊쳢ꎬ쟒쪹뗃볬퇩춳볆솿훐뗄닎쫽놻쿻돽믲뺡솿짙몬폐닎쫽ꆣ좻뛸ꎬBierens(1997a)쳡돶뗄짏쫶랽램쯤좻싺ퟣ쇋헢솽룶쳵볾ꎬ떫쫇퓚볬퇩맽돌훐ꎬ좴짦벰떽좨몯쫽뗄톡퓱ꆣ평폚늻춬뗄퇐뺿헟뿉쓜믡룹뻝ퟔ벺뗄욫뫃톡퓱늻춬뗄좨몯쫽ꎬ쪹뗃좨몯쫽뗄톡퓱쎻폐캨튻탔ꎬ헢뻍뿉쓜믡쪹뗃룃볬퇩닺짺쿠뮥쎬뛜뗄뷡싛ꆣ헽틲캪죧듋ꎬBreitung(2002)캪쇋뇜쏢퓚럇닎쫽떥캻룹볬퇩뗄맽돌훐짦벰떽좨몯쫽뗄톡퓱컊쳢ꎬ뾪쪼쇋쯻뗄퇐뺿릤ퟷꎬ쿂쏦붫볲튪뷩짜쯻뗄퇐뺿릤ퟷꆣ Breitung랽램 럇닎쫽볬퇩쯹틾몬뗄쮼쿫뻍쫇쪹릹퓬뗄볬퇩춳볆솿뺡솿뇜쏢짦벰닎쫽뗄돶쿖ꆣ퓚−12탩쓢볙짨쳵볾쿂ꎬ볙뚨Ty[aT]죵쫕솲폚σW(a)ꎬ웤훐W(a)캪튻룶뇪ힼ뗄늼샊퓋뚯ꎬ22−12σ뻍쫇쯹캽뗄뎤웚랽닮쟒σ=limE(Ty)ꆣ캪쇋릹퓬튻룶뷼쯆늻몬캴횪닎쫽뗄볬퇩T춳볆솿ꎬσ뿉틔평웤튻훂맀볆살쳦듺ꆣ좻뛸ꎬ튲폐뿉쓜쿻돽좱쪡닎쫽쟒늢늻짦벰σ뗄튻훂맀볆ꆣ뇈죧ꎬ평폚훈뮻R(⋅)늢늻믡틲캪쪱볤탲쇐뗄쫽횵뮻뛸랢짺뇤뮯ꎬ폚T쫇 1 R(y)=R(y) () T[rT]T[rT]σT틲듋ꎬ믹폚훈뷸탐뗄떥캻룹볬퇩뗄붥뷸샭싛늢늻짦벰떽뛌웚뚯첬맽돌훐뗄닎쫽(Breitung뫍Gourieroux,1997;Breitung,2001)ꆣ Park뫍Choi(1988)틔벰Park(1990)쫗쿈쳡돶쇋늢늻탨튪탞헽뛌웚뚯첬맽돌뗄볬퇩춳볆솿ꆣ쯻쏇횸돶뛔폚뛠폠뗄믘맩쿮뗄뇪ힼ뮯뗄F춳볆솿쫕솲폚늢늻틀삵폚좱쪡닎쫽뗄럇뇪ힼ벫쿞럖늼ꆣ떫쫇룃랽램뗄튻룶훘튪컊쳢쫇뛠폠뇤솿뗄톡퓱컊쳢ꆣ죴쪹폃죋캪짨뚨뗄쯦믺뇤솿ꎬ쓇쎴볬퇩뗄뷡싛뻍좡뻶폚헢룶쯦믺뇤솿뗄짨뚨ꎬ늻춬뗄퇐뺿헟쯹짨뚨뗄쯦믺뇤솿믡폐쯹늻춬ꎬ틲뛸뿉쓜믡닺짺쿠뮥쎬뛜뗄볬퇩뷡싛ꆣ뛸쟒헢킩쯦믺뇤솿튲쫇쯦믺탔뗄쇭튻룶살풴ꎬ헢붫믡떼훂볬퇩쫆뗄퇏훘쯰쪧ꆣ 45
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 믹폚듦퓚뗄짏쫶컊쳢ꎬBreitung(2002)퓲닉폃Bierens(1997a,1997b)뫍Vogelsang(1998a,1998b)뗄랽램살쿻돽좱쪡닎쫽σꆣ뾼싇쿂쇐볬퇩춳볆솿ꎺ T−122T(∆y)(y−y)∑tt=1T0 ψ== () T−222TyTy∑t=1퓚떥캻룹맽돌뗄풭볙짨뫍볙뚨뫏쫊뗄돵횵쳵볾쿂ꎬ폐ꎺ 222σW(1)W(1) ψ⇒= () T11222σW(a)daW(a)da∫∫002틲듋ꎬ닎쫽σ듓벫쿞럖늼훐놻쿻돽쇋ꆣ늻탒뗄쫇ꎬ믹폚춳볆솿ψ뗄볬퇩쫇럇튻T훂뗄ꆣ웤풭틲훷튪쫇퓚욽컈맽돌뗄놸퓱볙짨쿂ꎬ짏쪽뗄럖ퟓ뫍럖쒸뻟폐쿠춬뗄뷗쫽ꎬ헢쪹뗃ψ퓚놸퓱쳵볾쿂튲쫇O(1)ꆣBierens(1997a)춨맽닉폃볓좨뫍뗄욽랽살뷢뻶헢튻Tp컊쳢ꎺ T1−12 Tg(tT)ε⇒σg(1)W(1)−σ∇g(r)dW(r) () ∑t∫0t=1웤훐g(r)캪좨몯쫽ꎬ∇g(r)볇캪g(r)뗄떼쫽ꆣ톡퓱뫏쫊뗄좨몯쫽g(r)ꎬ뿉틔쪹뗃룃볬퇩퓚욽컈뗄놸퓱볙짨쳵볾쿂쫇튻훂볬퇩ꆣ Breitung(2002)뻍쫇믹폚짏쫶쿻돽닎쫽뗄쮼쿫쳡돶럇닎쫽떥캻룹볬퇩랽램ꆣ쯹늻춬뗄쫇ꎬ쯻뷨본쇋Vogelsang(1998a,1998b)쯹쳡돶뗄랽램ꎬ닉폃늿럖뫍몯쫽살듺쳦짏쫶볬퇩춳볆솿훐럖ퟓ뗄볓좨뫍ꎬ벴Y=y+"+yꆣ틲듋ꎬBreitung(2002)쳡돶랽닮뇈춳t1t볆솿ퟷ캪럇닎쫽떥캻룹볬퇩춳볆솿ꎬ풭볙짨y쫇I(1)맽돌뫍놸퓱볙짨y쫇I(0)맽돌ꆣtt캪쇋뗷헻′d=δz뿉쓜듦퓚뗄럇쇣뻹횵ꎬ폃쪱볤탲쇐y뛔z뷸탐믘맩ꎬ뗃돶닐닮ttttˆ′u=y−δzꎬ평듋릹퓬랽닮뇈춳볆솿ꎺ tttT−12ˆTU∑tt=1ˆ ρ= () TT2ˆu∑tt=1ˆ웤훐U=uˆ+"+ˆuꎬ벴캪닐닮뗄늿럖뫍ꆣBreitung(2002)릹퓬뗄짏쫶랽닮뇈춳볆t1t46
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 솿쫇튻룶ퟳ캲볬퇩ꎬ벴떱볆쯣뗄춳볆솿킡폚쇙뷧횵쪱ꎬ퓲뻜뻸풭볙짨ꆣ뛔폚튻냣뗄뻹횵몯쫽ꎬ쿂쇐쏼쳢쳡릩쇋헢룶볬퇩춳볆솿뗄벫쿞럖늼ꆣ 쏼쳢ꎺ퓚볙짨1뗄쳵볾쿂ꎬ듦퓚 1a2 [W(s)ds]daj∫∫−100ˆ Tρ⇒ () T12 W(a)daj∫0웤훐ꎬ 떱d=0ꎬ퓲W(s)≡W(s)ꎬ t01 떱d=1ꎬ퓲W(s)≡W(s)−W(a)daꎬ t1∫011 ′ 떱d=[1,t]ꎬ퓲W(s)≡W(s)−(4−6s)W(a)da−(12s−6)aW(a)daꆣ t2∫∫00훘튪뗄쫇ꎬ룃럖늼늢늻틀삵폚죎뫎좱쪡닎쫽ꎬ헢쫇평폚랽닮뇈춳볆솿쿻돽쇋닎쫽2σꆣ쿂쇐쏼쳢뇭쏷룃볬퇩뻟폐튻훂탔ꆣ ∞∞2쏼쳢ꎺ쇮y쫇욽컈탲쇐쟒y=γεꎬ웤훐γ=1ꎬγ<∞ꎬ쟒ε캪냗∑0∑ttjt−jtj=0j=022−1퓫짹맽돌ꎬ벴E(ε)=0뫍E(ε)=σꆣ퓚놸퓱쳵볾쿂ꎬ떱T→∞ꎬ퓲폐ˆTρ⇒0쟒 ttεT122 σW(a)daj∫0ˆ ρ⇒ () T2σy∞∞22222웤훐σ=(γ)σ뫍σ=σγꆣ ∑∑jεyεjj=0j=0Breitung춨맽Monte Carlo쒣쓢살뇈뷏쇋짏쫶룷닎쫽뫍럇닎쫽떥캻룹볬퇩ꎬ벴ADF볬퇩ꆢPP볬퇩틔벰Bierens랽램뫍Breitung랽램뗄볬퇩쫆뫍쿔훸탔쮮욽얤쟺ꎬ뾼달쇋짏쫶룷볬퇩뗄킡퇹놾탔훊ꆣ웤쒣쓢뷡맻뇭쏷ꎬADF볬퇩뗄훍뫳뷗톡퓱뛔볬퇩쫆뗄펰쿬뇈뷏듳ꎻ죴틆뚯욽뻹닎쫽쟷쿲폚1쪱ꎬPP볬퇩믡닺짺퇏훘뗄쿔훸탔쮮욽얤쟺ꆣ뛔폚럇닎쫽볬퇩ꎬBierens랽램뗄킡퇹놾탔훊좡뻶폚좨몯쫽뗄욵싊ꎬ뛔폚뗍욵싊뗄좨몯쫽ꎬ웤뺭퇩쿔훸탔쮮욽뷓뷼폚쏻틥쿔훸탔쮮욽ꎬ뛔폚룟욵싊뗄좨몯쫽ꎬ룃볬퇩뻍믡닺짺퇏훘뗄쿔훸탔쮮욽얤쟺ꆣBreitung랽램퓚늻짦벰떽뻟쳥쫽뻝짺돉맽돌짨뚨뗄춬쪱ꎬ튲늻짦벰떽좨몯쫽뗄톡퓱ꎬ쒣쓢뇭쏷ꎬ룃볬퇩뻟폐뷏룟뗄볬퇩쫆뫍뷏킡뛮쿔훸탔쮮욽47
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 얤쟺ꆣ틲듋ꎬBreitung랽램뻟폐뷏뫃뗄킡퇹놾탔훊ꆣ Breitung뗄랽램뗄폅뗣뻍쫇쪹볬퇩춳볆솿놣돖튻훂탔뗄춬쪱ꎬ늻짦벰떽좨몯쫽뗄톡퓱ꎬ틲캪늻춬뗄퇐뺿헟쯹톡퓱뗄좨몯쫽믡폐쯹늻춬ꎬ뿉쓜믡평폚죋캪톡퓱뗄틲쯘떼훂볬퇩뷡싛뗄돥춻ꆣ뛸쟒룃볬퇩랽램뇈Bierens(1997a)쳡돶뗄럇닎쫽떥캻룹볬퇩랽램뻟폐룼룟뗄볬퇩쫆ꆣ틲듋ꎬ놾컄훷튪닉폃Breitung쳡돶뗄럇닎쫽떥캻룹볬퇩살뛔컒맺쏻틥샻싊뫍춨믵엲헍싊뷸탐떥캻룹볬퇩ꆣ 컒맺쏻틥샻싊뫍춨믵엲헍싊뗄럇닎쫽떥캻룹볬퇩 잰쫶틑뺭횸돶ꎬ샻폃쪱볤탲쇐뇤솿뷸탐붨쒣럖컶쪱ꎬ볬퇩쫽뻝뗄욽컈탔폈캪훘튪ꆣ틲듋ꎬ컒쏇붫룹뻝짏쫶뷩짜뗄떥캻룹볬퇩랽램살뛔놾컄뗄뇤솿뷸탐볬퇩ꎬ벴볬퇩뫍에뛏컒맺쏻틥샻싊(R)뫍춨믵엲헍싊(π)뗄욽컈탔훊ꎬ틔뇜쏢탩볙믘맩컊쳢ꎬ늢캪뫳쏦tt뗄킭헻볬퇩ퟶ뫃ힼ놸ꆣ쯤좻잰쏦뷩짜쇋뛠훖닎쫽탍떥캻룹볬퇩뫍솽훖럇닎쫽떥캻룹볬퇩랽램ꎬ떫헢샯훷튪놨룦Breitung랽램뗄볬퇩뷡싛ꎬ헢쫇평폚쇭튻훖럇닎쫽떥캻룹볬퇩랽램ꎬ벴Bierens랽램뗄킡퇹놾탔훊믡쫜떽좨몯쫽뗄톡퓱뗄펰쿬ꎬ웤볬퇩뷡싛늻릻컈붡ꆣ뛸Breitung뗄럂헦뷡맻횤쪵쇋쯻뗄볬퇩랽램뻟폐뷏룟뗄볬퇩쫆뫍뷏킡뛮쿔훸탔쮮욽얤쟺ꆣ 룹뻝Breitung뗄럇닎쫽떥캻룹볬퇩랽램ꎬ죴R좷캪떥캻룹맽돌쯹짺돉ꎬ퓲쯼뿉t틔럖뷢캪쯦믺돉럝폫좷뚨탔돉럝횮뫍ꎬ벴 R=µ+S () tttt웤훐S캪쯦믺컳닮뗄늿럖뫍ꎬ벴S=u,E(S)=0ꎻµ=E(R)=θ'd쫇좷뚨∑ttttttti=1탔늿럖ꎬ떱쫽뻝훐뷶몬뷘뻠쪱ꎬd=1ꎬθ=αꎬ떱쫽뻝훐몬폐뷘뻠뫍쿟탔좷뚨탔쟷쫆t쪱ꎬ′d=(1,t)ꎬθ=(α,φ)ꎬ φ캪쪱볤쟷쫆쿮뗄쾵쫽ꆣ믹폚짏쫶럖뷢, 캪볬퇩떥캻룹t풭볙짨H(R∼I(1))뫍뛔펦뗄놸톡볙짨 H(R∼I(0)), Breitung(2002)쳡돶죧쿂럇닎0t1t쫽떥캻룹볬퇩춳볆솿ꎺ 48
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 T−42ˆTS∑tt=1ˆ ρ= () TT−22Tuˆ∑tt=1ˆˆ웤훐ˆu쫇췋뮯좷뚨탔쟷쫆뫳뗄쯦믺돉럝ꎬ벴ˆ′u=R−δdꎬS쫇늿럖뫍맽돌ꎬ벴tttttˆˆˆS=u+⋅⋅+uꆣBreitung믹폚랺몯훐탄벫쿞뚨샭횤쏷ꎬ헢튻볬퇩춳볆솿뗄벫쿞럖늼캪ꎺ t1t21α12 ˆ ρ⇒W(τ)dτdαW(α)dα j=1ꎬ2. () tjj∫∫∫000 웤훐j=0뛔펦폚d=0ꎬW(τ)=W(τ)ꎻj=1뛔펦폚d=1ꎬt0t1 W′(τ)=W(τ)−W(α)dαꎻj=2뛔펦폚d=[1,t]ꎬ1t∫011 W(τ)=W(τ)−(4−6τ)W(α)dα−(12τ−6)αW(α)dαꆣj뗄좡횵늻춬ꎬ쪵훊쫇뛔몬2∫∫00늻춬좷뚨탔쟷쫆돉럝뗄쫽뻝ꎬ펦닉좡쿠펦뗄췋쫆ꎬ쪹췋쫆뫳뗄닐닮캪뛀솢춬럖늼뗄닐 닮ꎬ틲뛸늻춬뗄j쯹뛔펦뗄늼색쟅W뗄탎쪽튲늻춬ꆣ j쿂쏦놨룦럇닎쫽떥캻룹볬퇩뗄뷡맻ꎬ캪쪹놾컄뗄뷡싛뻟폐컈붡탔ꎬ컒쏇춬쪱튲놨룦ADF볬퇩ꆢPP볬퇩뗄뷡맻ꎬ튻늢쇐죫뇭ꎺ 뇭 뇤솿뗄떥캻룹볬퇩뷡맻 뇤솿쏻돆 BR ADF PP *** (***) (***) R *** (***) (***) π t힢ꎺ퓚ADF뫍PP떥캻룹볬퇩훐ꎬ***쫇횸퓚1%뗄쿔훸탔쮮욽짏뻜뻸풭볙짨ꆣ퓚럇닎쫽떥캻룹볬퇩(BR)훐ꎬ***쫇횸퓚1%뗄쿔훸탔쮮욽짏뷓쫜풭볙짨ꆣ 듓뇭뿉횪ꎬ뛔폚R뫍πꎬ컒쏇쯹볆쯣뗄럇닎쫽떥캻룹볬퇩춳볆솿횵럖뇰캪ttˆρ=뫍ˆρ=ꎬ뻹듳폚뛔펦폚1ꎥ쿔훸탔쮮욽쿂뗄쇙뷧횵(Breitungꎬ2002)ꎬ쯹틔뷓쫜떥캻룹풭볙짨ꎬ평듋닺짺뗄뷡싛캪ꎬR뫍π뻹평떥캻룹맽돌쯹짺돉ꆣtt49
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 헢튻뷡싛폫닎쫽탍뗄ADF뫍PP떥캻룹볬퇩뗄뷡싛쿠춬ꆣ틲듋ꎬ놾컄뛔폚뇤솿R뫍πtt뗄떥캻룹볬퇩뗄뷡싛뻟폐컈붡탔ꆣ놾컄뷸튻늽붫펦폃럇닎쫽킭헻볬퇩(Breitungꎬ2002)ꎬ늢뢨틔닎쫽탍뗄Johansen 킭헻볬퇩ꎬ틔뾼달컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꆣ 킡뷡 놾헂쫗쿈뷩짜쇋럑톩킧펦볙짨뗄풭샭뫍뺭볃몬틥ꎬ뷸튻늽ꎬ퇐뺿헟뮹틽죫쇋햮좯쫕틦뗄쮰쫕킧펦ꎬ뛔럑톩랽돌뷸탐쇋삩햹퇐뺿ꎬ늢뷩짜쇋믹폚샭탔풤웚볙짨ꎬ럑톩킧펦뗄쪵횤볬퇩맽돌ꆣ듓럑톩킧펦뗄볬퇩맽돌뿉틔뾴돶ꎬ놾컄뗄쪵횤퇐뺿붫짦벰떽쏻틥샻싊뫍춨믵엲헍싊헢솽룶맘볼뇤솿뗄톡좡ꎬ놾컄뷨본쇋맺볊컄쿗뗄톡좡뺭퇩ꎬ늢뷡뫏컒맺뗄쪵볊쟩뿶ꎬ톡좡쇋튻쓪웚믮웚듻뿮샻싊뗄ퟷ캪쏻틥샻싊(R)ꎬ늢쪹폃좫맺쿻럑t헟볛룱횸쫽(CPI)뗄뇤뮯싊ퟷ캪춨믵엲헍싊(π)ꆣ뛸쟒뮹룹뻝헢솽룶쪱볤탲쇐뇤솿뗄쫽t뻝춼탎ꎬ럖컶쇋쯼쏇뗄쫽뻝뇤뮯쳘헷ꆣ 본폚욽컈탔볬퇩퓚쪱볤탲쇐럖컶훐뗄훘튪탔ꎬ놾컄ퟅ훘뷩짜쇋떥캻룹볬퇩뗄풭샭뫍볬퇩맽돌ꆣ쳘뇰뗘ꎬ평폚뒫춳뗄닎쫽탍떥캻룹볬퇩듦퓚ퟅ볬퇩쒣탍듭컳짨뚨뫍닎쫽뗄욫컳맀볆뗈뛸떼훂볬퇩뷡싛뗄늻컈붡탔ꎬ놾컄틽죫쇋럇닎쫽탍뗄떥캻룹볬퇩ꎬ벴Bierens랽램뫍Breitung헢솽훖럇닎쫽떥캻룹볬퇩랽램ꆣ캪쇋쓜릻뇈뷏쟥컺뗘쇋뷢닎쫽탍떥캻룹뫍럇닎쫽탍떥캻룹볬퇩뗄쟸뇰ꎬ놾컄쿪쾸뷩짜쇋룷훖닎쫽탍떥캻룹뫍럇닎쫽탍떥캻룹볬퇩뗄볬퇩풭샭뫍볬퇩맽돌ꎬ뛸쟒뛔헢킩랽램뷸탐쇋볲튪움쫶뫍뇈뷏ꆣퟮ뫳ꎬ샻폃짏쫶뷩짜뗄떥캻룹볬퇩랽램뛔놾컄짦벰떽뗄뇤솿뷸탐쇋볬퇩ꎬ웤볬퇩뷡맻뇭쏷컒맺쏻틥샻싊뫍춨믵엲헍싊뚼쫇떥캻룹맽돌ꆣ 50
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 4 컒맺럑톩킧펦뗄킭헻볬퇩 놾컄훷튪쫇튪뾼달컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꎬ벴춨믵엲헍벰웤풤웚뗄뇤뮯폫쏻틥샻싊뗄뇤뮯쫇럱듦퓚튻훖튻튻뛔펦뗄뗷헻맘쾵ꆣ듓쿖탐뗄맺볊컄쿗살뾴ꎬ뛔폚럑톩킧펦뗄볬퇩ꎬ쫗쿈쫇튪볬퇩쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚킭헻맘쾵ꎬ좻뫳퓙룹뻝맀볆뗄럑톩쾵쫽살에뛏쫇듦퓚췪좫뗄럑톩킧펦뮹쫇듦퓚죵뗄럑톩킧펦ꎬ믲쫇럑톩볙짨퓚헢솽룶뇤솿횮볤늢늻돉솢ꆣ잰쏦뗄떥캻룹볬퇩틑뺭뇭쏷헢솽룶뇤솿뚼쫇떥캻룹맽돌ꎬ쓇쎴놾헂붫ퟅ훘웊컶킭헻볬퇩랽램벰웤킭헻볬퇩뗄뷡싛ꆣ폈웤쫇헫뛔닎쫽탍킭헻볬퇩뗄늻ퟣꎬ컒쏇훘뗣쮵쏷럇닎쫽킭헻볬퇩랽램ꎬ틔웚쓜릻뗃돶룼캪컈붡뗄볬퇩뷡싛ꆣ 킭헻뗄룅쓮 잰쏦싛쫶틑뺭횸돶ꎬ폃럇욽컈뇤솿붨솢믘맩쒣탍쪱ꎬ췹췹믡퓬돉탩볙믘맩ꎬ떼훂맀볆뷡맻쎻폐헽좷뗄뷢쫍몬틥ꆣ뛔폚떥뇤솿쒣탍ꎬ뿉틔춨맽닮럖살쿻돽쯦믺쟷쫆ꎬ듓뛸믱뗃욽컈탲쇐ꎬ좻뫳닉폃떥뇤솿Box−Jenkins벼쫵살뛔룃쒣탍뷸탐맀볆ꆣ좻뛸ꎬ퓚뛠뇤솿뗄믘맩쒣탍훐ꎬ늢늻쓜횱뷓닉폃닮럖벼쫵살뷸탐뒦샭ꆣ틲듋ꎬEngle뫍Granger(1987)쳡돶쇋킭헻뗄룅쓮ꎬ퓚쿖쪵뺭볃훐ꎬ탭뛠뺭볃쪱볤탲쇐뚼쫇럇욽컈뗄ꎬ뛸헢킩럇욽컈뇤솿뗄쿟탔ퟩ뫏좴폐뿉쓜쫇욽컈뗄ꎬ쓇쎴컒쏇뻍죏캪헢킩럇욽컈뇤솿횮볤듦퓚킭헻맘쾵ꆣ킭헻맘쾵쏨쫶쇋헢킩뺭볃뇤솿횮볤뗄뎤웚컈뚨맘쾵ꎬ뿌뮭쇋뺭볃쾵춳훐뗄쒳훖컈뚨쳘헷ꆣ튻냣뛸퇔ꎬ횻튪죴룉룶럾듓I(d)맽돌뗄뇤솿뗄쒳튻쿟탔ퟩ뫏쓜쪹헢킩뇤솿뗄떥헻뷗쫽d복짙ꎬ퓲돆헢튻쿟탔ퟩ뫏캪킭헻맘쾵ꆣGranger룸돶쇋쿂쇐맘폚킭헻뗄뻟쳥뚨틥ꎺ 뚨틥ꎺn캬쿲솿′x=(x,x,"x)뗄뇤솿횮볤놻돆캪dꎬb뷗킭헻ꎬ볇캪t1t2tntx∼CI(d,b)ꎬ죴싺ퟣꎺ t(1)쿲솿x훐뗄쎿룶뇤솿뚼쫇d뷗떥헻맽돌ꎬx∼I(d)ꆣ tit51
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 (2)듦퓚럇쇣쿲솿β=(β,β,"β)쪹뗃쿟탔ퟩ뫏βx=βx+βx+"βx떥헻12nt11t22tnt폚(d−b)뷗ꎬ벴′βx∼I(d−b)ꎬ웤훐0<b≤dꆣ t퓲돆뇤솿x,x,"x횮볤듦퓚킭헻맘쾵ꎬ쿲솿β돆캪킭헻쿲솿ꆣ 1t2tnt짏쫶맘폚킭헻뗄뚨틥ꎬ뻟폐틔쿂벸룶쳘헷ꎺ뗚튻ꎬ킭헻횸뗄쫇럇욽컈뇤솿횮볤뗄쿟탔ퟩ뫏ꆣ샭싛짏붲ꎬ떥캻룹뇤솿횮볤뿉쓜믡듦퓚쿟탔믲럇쿟탔뗄뎤웚맘쾵ꎬ좻뛸ꎬ튪헽좷짨뚨헢킩뇤솿횮볤뿉쓜듦퓚뗄쒳훖뻟쳥뗄럇쿟탔맘쾵늢뛔웤뷸탐볬퇩뚼럇뎣삧쓑ꎬ쯹틔컒쏇튻냣뾼싇뗄뚼쫇볬퇩헢킩뇤솿횮볤쫇럱듦퓚쒳훖쿟탔뗄뎤웚뻹뫢맘쾵ꎬ뛸뫶싔쇋웤뿉쓜듦퓚뗄럇쿟탔틲쯘ꆣ뛸쟒ꎬ웤킭헻쿲솿늢늻쫇캨튻뗄ꆣ죴(β,β,"β)쫇튻룶킭헻쿲솿ꎬ쓇쎴뛔폚죎뫎럇쇣뗄λ횵ꎬ(λβ,λβ,"λβ)튲쫇튻룶12n12n킭헻쿲솿ꆣ뮹뿉틔춨맽만뚨쒳룶뇤솿뗄쾵쫽캪1ꎬ살뛔웤킭헻쿲솿뷸탐뇪ힼ뮯ꎬ뇈죧냑킭헻쿲솿맘폚x뷸탐뇪ힼ뮯ꎬ뿉틔볲떥짨뚨λ=1βꆣ뗚뛾ꎬ쿲솿x훐뗄뛠폐뇤솿1t1t뚼뇘탫떥헻폚쿠춬뗄뷗쫽ꆣ떱좻ꎬ헢늢늻틢캶ퟅ쯹폐떥헻뷗쫽쿠춬뗄뇤솿뚼쫇킭헻뗄ꎬ춨뎣ꎬ튻쾵쇐I(d)뇤솿횮볤튲늢늻듦퓚킭헻맘쾵ꆣ쎻폐킭헻맘쾵뻍틢캶ퟅ헢킩뇤솿횮볤늢늻듦퓚뎤웚뗄뻹뫢맘쾵ꎬ쯼쏇횮볤믡뇋듋죎틢폎ퟟꎬ뛸쎻폐릲춬뗄뇤뮯쟷쫆ꆣ죴헢킩뇤솿떥헻폚늻춬뗄뷗쫽ꎬ퓲쯼쏇횮볤늻뿉쓜듦퓚킭헻맘쾵ꆣ뗚죽ꎬ죴쿲솿x훐냼t몬폐n룶뇤솿ꎬ퓲ퟮ뛠뿉쓜듦퓚n−1룶쿟탔컞맘뗄킭헻쿲솿ꆣ킭헻쿲솿뗄룶쫽놻돆캪x뗄킭헻훈ꆣ 닎쫽탍킭헻볬퇩랽램 Engle-Granger 솽늽램 쳡돶킭헻룅쓮틔뫳ꎬEngle뫍Granger(1987)믹폚솽뇤솿룸돶쇋킭헻볬퇩랽램ꎬ벴돆캪Engle-Granger 솽늽램ꆣ평폚헢튻랽램뿉틔횱뷓삩햹떽뛠룶뇤솿횮볤뗄떥튻킭헻맘쾵ꎬ틲뛸웤샭싛뗬뚨쇋킭헻퇐뺿뗄믹뒡ꎬ뻟폐훘튪뗄톧쫵볛횵ꆣEngle-Granger 솽52
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 늽램쫇횸쫗쿈뛔춬뷗떥헻뇤솿붨솢뗄믘맩쒣탍뷸탐맀볆ꎬ좻뫳뛔웤맀볆쯹믱뗃뗄닐닮뷸탐떥캻룹볬퇩ꆣ죴떥캻룹볬퇩뇭쏷헢룶닐닮쫇욽컈뗄ꎬ퓲틢캶ퟅ헢킩떥헻뇤솿횮볤듦퓚킭헻맘쾵ꎬ벴볬퇩튻ퟩ뇤솿횮볤쫇럱듦퓚킭헻맘쾵뻍뗈볛폚볬퇩웤믘맩랽돌뗄닐닮탲쇐쫇럱쫇튻룶욽컈탲쇐ꆣ Engle-Granger 솽늽램볬퇩뗄늽훨죧쿂ꎺ ꋙ뗚튻늽ꎬ죴탲쇐y뫍x,x,"x뚼쫇튻뷗떥헻뇤솿ꎬ퓲뛔듋붨솢믘맩쒣탍ꎺ t1t2tkt y=β+βx+βx+"+βx+u () t011t22tktt뛔룃믘맩쒣탍뷸탐OLS맀볆ꎬ뗃돶닐닮탲쇐ꎺ ˆˆˆˆˆ u=y−β−βx−βx−"−βx () tt011t22tkkt뗚뛾늽ꎬ볬퇩닐닮탲쇐ˆu쫇럱욽컈ꎬ벴에뛏탲쇐ˆu쫇럱몬폐떥캻룹ꆣ컒쏇뿉틔닉tt폃잰쏦뷩짜뗄떥캻룹볬퇩랽램살에뛏닐닮쫇럱쫇욽컈맽돌ꆣ죴떥캻룹볬퇩뇭쏷닐닮탲쇐쫇욽컈뗄ꎬ퓲뿉틔좷뚨y뫍x,x,"x횮볤듦퓚킭헻맘쾵ꎬ킭헻쿲솿캪t1t2tktˆˆˆˆ(β,β,β,"′β)ꎬ쟒맀볆뗄랽돌뻍캪킭헻랽돌ꎻ럱퓲짏쫶뇤솿횮볤뻍늻듦퓚킭헻맘012k쾵ꎬ쟒짏쫶랽돌캪탩볙믘맩쒣탍ꎬ늻쓜헽좷뗘뷢쫍헢킩뇤솿횮볤뗄맘쾵ꆣ 뿉틔뾴돶ꎬEngle-Granger 솽늽킭헻맀볆뫍볬퇩뇈뷏볲뇣ꎬ벴횻탨뛔웤쿟탔믘맩쒣탍뷸탐OLS맀볆늢뛔웤뗃돶뗄닐닮뷸탐떥캻룹볬퇩뻍뿉틔뷸탐에뛏ꆣ떫쫇킡퇹놾뗄OLS킭헻맀볆듦퓚쪵훊탔욫닮(Banerjeer,1993ꎻ췵짙욽ꎬ2003)ꎬ뗚튻늽믘맩쒣탍뗄맀볆욫닮붫믡떼훂뗚뛾늽뗄볬퇩욫닮ꎬ듓뛸퓶듳쇋좡캱뗄룅싊ꎬ듓뛸붵뗍쇋킭헻뗄볬퇩쫆ꆣ쇭튻랽쏦ꎬEG랽램횻쫊폃폚떥튻킭헻맘쾵뗄맀볆뫍볬퇩ꎬ떱뇤솿뛠폚솽룶쪱ꎬ뿉쓜믡듦퓚뛠룶킭헻맘쾵ꎬ헢쪱뻍늻뇣닉폃룃랽램살뷸탐킭헻볬퇩ꆣ틲듋ꎬ뺡맜EG랽램뗬뚨쇋킭헻쿲솿뗄맀볆뗄럖늼샭싛ꎬ뻟폐훘튪뗄톧쫵볛횵ꎬ떫쫇평폚웤OLS킡뗄퇹놾욫닮뛸떼훂뗄볬퇩쫆욫뗍틔벰킭헻맘쾵뗄캩튻탔뗈컊쳢뛸뻖쿞쇋룃랽램뗄펦폃ꆣ ꋙ룹뻝잰쏦뷩짜뗄떥캻룹볬퇩살에뛏헢킩뇤솿뗄떥헻뷗쫽ꎬ죴볬퇩뇭쏷떥헻뷗쫽쿠춬ꎬ닅뷓ퟅ뷸탐킭헻볬퇩ꎻ죴헢킩뇤솿뗄떥헻뷗쫽늻쿠춬ꎬ퓲헢킩뇤솿횮볤늻뿉쓜듦퓚킭헻맘쾵ꎬ틲듋ꎬ컞탫퓙뷸탐킭헻볬퇩ꆣ 53
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 Johansen킭헻볬퇩랽램 Johansen뫍Juselius(1988,1991,1992)쯹쳡돶뗄킭헻쿲솿쾵춳벫듳쯆좻맀볆뫍볬퇩랽램ꎬ쫇킭헻샭싛폫펦폃뗄뷸튻늽췪짆뫍춻웆ꆣ룃랽램뿉틔볬퇩뫍맀볆돶뛠룶춬뷗떥헻뇤솿횮볤뿉쓜듦퓚뗄뛠룶킭헻맘쾵ꎬ뿋럾쇋EG솽늽램횻쓜뻖쿞폚볬퇩떥튻킭헻맘쾵뗄컊쳢ꎬ틲뛸뻟폐뷏EG랽램룼룟뗄볬퇩쫆ꆣ헢튻랽램뗄훷튪쳘뗣쫇믹폚킭헻쾵춳뗄컳닮탞헽쒣탍뛸붫튻룶쟳벫듳쯆좻몯쫽뗄컊쳢뮯캪튻룶쟳쳘헷룹뫍뛔펦뗄쳘헷쿲솿컊쳢ꆣ쿂쏦볲튪뷩짜Johansen볬퇩뗄풭샭뫍쮼쿫ꆣ 짨y캪n×1쿲솿ꎬ붨솢웤쿲솿ퟔ믘맩쒣탍VAR(p)죧쿂ꎺ t y=φy+φy+"+φy+ε t=1,2,",T () t1122t−웤훐ε캪냗퓫짹맽돌ꆣ볙뚨y∼I(1)ꎬ퓲웤뛔펦뗄컳닮탞헽쒣탍죧쿂ꎺ tt ∆y=Πy+Γ∆y+Γ∆y+"+Γ∆y+ε () tt−11t−12t−2p−1t−p1t퓚짏쪽훐ꎬI(1)맽돌뺭맽닮럖뇤뮻뫳뚼돉캪욽컈뗄I(0)맽돌ꎬ벴 ∆yꎬt∆y ( j=1,2,"p)뚼쫇I(0)뇤솿릹돉뗄쿲솿ꆣ쓇쎴횻폐떱I(1)뇤솿뗄쿟탔ퟩ뫏Πyt−jt−1튲쫇I(0)쿲솿ꎬ벴y,y,"y횮볤뻟폐킭헻맘쾵ꎬ닅쓜놣횤웤컳닮쿮쫇욽컈맽돌ꆣ 1t−12t−1nt−1죴R(Π)=nꎬ벴Π뻘헳싺훈ꎬ듋쪱ECM틾몬쇋y∼I(0)ꆣ헢쫇평폚ECM훐y뗄tt룷닮럖뫍컳닮쿮뻹캪욽컈맽돌ꎬ맊Πy뇘탫컈뚨ꎬ틲뛸y∼I(0)ꎬ떫쫇헢폫볙짨t−1ty∼I(1)닺짺쎬뛜ꎬ틲듋퓚헢훖쟩탎쿂ꎬ킭헻맘쾵늻듦퓚ꆣ t죴R(Π)=0ꎬ벴Π뻘헳뗄훈캪쇣ꎬ틢캶ퟅΠ=0 ꎬ틲뛸y늻듦퓚컈뚨뗄쿟탔ퟩt뫏ꎬ맊킭헻맘쾵늻듦퓚ꆣ 죴R(Π)=r (0<r<n) ꎬ벴Π뻘헳뗄훈캪rꎬ퓲틢캶ퟅ듦퓚r룶킭헻맘쾵ꎬ웤폠뗄(n−r)룶맘쾵죔좻쫇I(1)맽돌ꆣ뿉틔뾴돶ꎬ볬퇩킭헻맘쾵뿉틔뗈볛폚볬퇩짏쫶컳닮탞헽쒣탍훐Π뻘헳뗄훈ꆣ평폚뻘헳뗄럇쇣쳘헷횵뗄룶쫽뗈폚뻘헳뗄훈ꎬ틲뛸Π뻘헳뗄54
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 훈튲뻍뗈폚웤뗃돶뗄럇쇣쳘헷룹뗄룶쫽ꆣ 퓚R(Π)=r쟩탎쿂ꎬΠ뻘헳뿉틔럖뷢캪 ′ Π=αβ () 웤훐α뫍β뻹캪n×r뗄뻘헳ꎬβ캪킭헻쿲솿쯹릹돉뗄뻘헳ꎬ뛸α퓲캪뗷뷚닎쫽쿲솿쯹릹돉뗄뻘헳ꆣ틲듋ꎬ컒쏇튪뷢뻶뗄훷튪컊쳢뻍쫇좷뚨Π뻘헳훐쿟탔컞맘뗄킭헻쿲솿룶쫽벴킭헻훈r틔벰맀볆돶뻘헳α뫍βꆣ폚쫇붫y훐뗄킭헻볬퇩뇤돉캪뛔뻘헳Πt뗄럖컶ꎬ헢뻍쫇Johansen킭헻볬퇩뗄믹놾쮼쿫ꆣ 볙뚨짏쫶컳닮탞헽쒣탍훐뗄닎쫽캪뎣쫽ꎬ컳닮쿮ε∼(0,Σ)ꎬ퓲컳닮탞헽쒣탍t뛔펦뗄뛔쫽벫듳쯆좻몯쫽캪ꎺ TTnT1'−1logL(Π,Γ,...Γ,Σy,...)=logL=log(2π)−logΣ−εΣε () 1P−11T∑t222j=1캪쇋뛔룃쯆좻몯쫽뷸탐맀볆ꎬ탨튪뷸탐솽룶뢨훺믘맩ꎺ웤튻ꎬ∆y뛔t′(∆y,∆y,"∆y)뷸탐OLS맀볆ꎬ닺짺닐닮뻘헳Rꎻ웤뛾ꎬy뛔t−1t−2t−p0tt−1′(∆y,∆y,"∆y)뷸탐OLS맀볆ꎬ닺짺닐닮뻘헳Rꆣ평맀볆뗄닐닮뻘헳뿉틔릹퓬t−1t−2t−p1t죧쿂뻘헳ꎺ −1−1′′S=TRR S=TRR 111t1t000t0t−1−1′′S=TRR S=TRR 010t1t101t0t쟳돶쿂쇐쳘헷랽돌ꎺ −1λS−SSS=0 () 11100001뗄쯹폐쳘헷룹ꎬ뛔쳘헷룹업탲ꎺ≥λ≥λ≥λ≥"≥λ≥ ꎬ웤훐럇쇣쳘헷룹뗄룶쫽123n≥λ≥λ≥"≥λ≥0="0뻍뗈폚Π뻘헳뗄훈ꎬ벴R(Π)=rꆣ평쳘헷룹릹퓬뛔뷇뻘12r헳Λꎻ뛔펦뗄쳘헷쿲솿헳캪ꎺV=(v,v,",v,",v)ꎬ퓲폐 12rn55
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 −1 SVΛ=SSSV () 11100001웤훐′V싺ퟣ헽퓲풼쫸VSV=Iꆣ평잰r룶ퟮ듳쳘헷룹쯹뛔펦뗄쳘헷쿲솿헳헽쫇β11ˆ뗄벫듳쯆좻맀볆ꎬ벴β=(v,v,",v)ꆣ룹뻝쳘헷룹폫쳘헷쿲솿뗄맘쾵ꎬ퓲폐ꎺ 12r−1ˆˆ′βSSSβ=ΛꎬΛ=(λ)ꎬλ=λꎬi=1,2,",rꎬi≠jꎬλ=0 () 100001rrijiiiij뛸α뗄맀볆퓲캪ꎺ −1ˆˆˆˆˆ′ α=Sβ(βSβ)=Sβ () 011101 룸뚨짏쫶ꎬ퓚룸뚨Π뻘헳뗄훈캪h쪱ꎬlogL뗄ퟮ듳횵캪ꎺ hTnT1*ˆlogL=log(2π)−logS−ln(1−λ) () 11∑j222j=1틲듋ꎬ퓚쇣볙짨쳵볾쿂ꎬ벴Hꎺrank(Π)=rꎬ퓲틢캶ퟅꎺ 0 rank(Π)=r⇔λ="=0 () r+1 퓚쇣볙짨쳵볾쿂뗄뛔쫽쯆좻횵캪: rTnT1**ˆ l=logL=log(2π)−logS−ln(1−λ) () 01∑j222j=1놸퓱볙짨Hꎺrank(Π)=n⇔쯹폐쳘헷횵뚼늻캪쇣ꆣ폚쫇퓚놸퓱볙짨쿂뗄뛔쫽A쯆좻횵캪ꎺ nTnT1**ˆ l=logL=log(2π)−logS−ln(1−λ) () 11∑j222j=1룹뻝짏쫶ꎬ릹퓬볬퇩춳볆솿ꎺ 벣춳볆솿ꎺ n**ˆλ=2(l−l)=−Tln(1−λ) () ∑trace10jj=r+1ퟮ듳쳘헷횵춳볆솿ꎺ 56
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 **ˆ λ=2(l−l)=−Tln(1−λ) () max10r+1뛔폚벣춳볆솿ꎬ룃볬퇩쫇튻룶솬탸볬퇩ꎬ웤뛔펦뗄쇣볙짨뫍놸퓱볙짨캪ꎺ Hꎺr=0 Hꎺ r>0 0AHꎺr=1 Hꎺr>1 01AHꎺr=2 Hꎺr>2 02A…… Hꎺr=n−1 Hꎺr=n 0nA떱볆쯣뗄λ킡폚쒳쿔훸탔쮮욽쿂웤뛔펦뗄쇙뷧횵ꎬ퓲뷓쫜Hꎬ벴r=0돉솢ꎬtrace0헢뇭쏷폐쇣룶킭헻쿲솿ꎬ벴늻듦퓚킭헻맘쾵ꎻ떱볆쯣뗄λ듳폚쒳쿔훸탔쮮욽쿂뗄쇙trace뷧횵ꎬ퓲뻜뻸H뛸뷓쫜놸퓱볙짨Hꎬ벴r>0ꎬ듋쪱뇭쏷훁짙듦퓚튻룶킭헻쿲솿ꎬ0A탨튪뷸튻늽뷸탐볬퇩틔좷뚨킭헻쿲솿뗄룶쫽ꆣ죴쿂튻늽볬퇩뷓쫜H(r=1)뛸뻜뻸쇋01H(r>1)ꎬ퓲뇭쏷쯹볬퇩뗄뇤솿횮볤듦퓚튻룶킭헻맘쾵ꎻ죴볬퇩뻜뻸H(r=1)뛸뷓A01쫜쇋H(r>1)ꎬ퓲뇭쏷헢킩뇤솿횮볤훁짙듦퓚솽룶킭헻맘쾵ꆣ틔듋샠췆ꎬ뿉틔ퟮ훕A좷뚨킭헻쿲솿뗄룶쫽ꆣ 뛔폚ퟮ듳쳘헷횵볬퇩춳볆솿ꎬ웤쇣볙짨뫍놸퓱볙짨캪ꎺ Hꎺrank(Π)=r⇔λ=λ="=λ=0 0r+1r+2n Hꎺrank(Π)=r+1⇔λ=λ="=λ=0 Ar+2r+3nퟮ듳쳘헷룹볬퇩튲쫇튻룶훰듎볬퇩맽돌ꎬ볬퇩맽돌춬폚짏쫶벣춳볆솿뗄볬퇩맽돌ꆣ쯤좻짏쫶Johansen킭헻볬퇩뿉틔볬퇩뛠룶뇤솿횮볤뗄뛠룶킭헻맘쾵ꎬ늢쓜릻맀볆돶킭헻쿲솿뫍뗷헻닎쫽ꎬ듓뛸뗃돶뗄컳닮탞헽쒣탍튲쓜릻춬쪱뷢쫍뇤솿횮볤뗄뎤웚뻹뫢맘쾵뫍뛌웚뗄뚯첬뗷헻맽돌ꆣퟔ룃랽램쳡돶틔살ꎬ듳솿쪵횤퇐뺿뚼닉폃헢튻랽램뷸탐럖컶ꆣ떫쫇ꎬ뛔폚쪵횤퇐뺿뛸퇔ꎬ뷡싛쫇럱헽좷좡뻶폚ꎺ웤튻ꎬ쒣탍뗄짨뚨ꆣ짏쫶57
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뇭쏷ꎬ룃랽램훷튪쫇믹폚쿟탔짨뚨뗄컳닮탞헽쒣탍살뷸탐볬퇩ꎬ뛸퓚듭ퟛ뢴퓓뗄쿖쪵뺭볃훐ꎬ뺭볃뇤솿횮볤뗄맘쾵뿉쓜믡듦퓚럇쿟탔맘쾵ꎬ횱뷓뫶싔헢늿럖럇쿟탔틲쯘뗄펰쿬ꎬ뿉쓜믡떼훂볬퇩뫍맀볆뗄뷡싛뛔쿖쪵뺭볃뗄뷢쫍솦붵뗍ꎬ믲쫇횱뷓캥놳ꆣ웤뛾ꎬ훍뫳뷗뗄톡퓱ꆣ듓짏쫶뿉틔뾴돶ꎬ퓚뷸탐킭헻볬퇩쪱ꎬ쫗쿈튪짨뚨뫏쫊뗄볬퇩쒣탍ꎬ뛸VAR쒣탍훐뗄훍뫳뷗뗄톡퓱붫짦벰떽헽좷쒣탍뗄짨뚨ꆣ춨뎣닉폃Akaike탅쾢ힼ퓲(AIC)뫍Schwarz놴튶쮹탅쾢ힼ퓲(BIC)살톡퓱훍뫳뷗쫽ꎬ떫쫇헢킩톡퓱랽램튲폐탭뛠늻ퟣ횮뒦ꎬ쒿잰뮹쎻폐튻룶췪놸뗄랽램살좷뚨헦헽뗄훍뫳뷗p뗄횵ꆣ뛸Johansen킭헻볬퇩랽램뛔훍뫳뷗p뗄늻잡떱짨뚨폖럇뎣쏴룐ꎬ틲뛸뿉쓜믡평폚훍뫳뷗뗄듭컳톡퓱뛸떼훂듭컳믲쎬뛜뗄볬퇩뷡싛ꆣ웤죽ꎬ킭헻쿲솿뗄쪶뇰ꆣ평폚킭헻쿲솿뗄쿟탔ퟩ뫏죔쫇킭헻뗄ꎬ떱뛠룶뇤솿횮볤듦퓚뛠룶킭헻맘쾵쪱ꎬ쓄튻룶닅쫇뿌뮭뎤웚뻹뫢뗄킭헻맘쾵ꎬ헢튻컊쳢쎻폐뗃떽뷢뻶ꆣ웤쯄ꎬ탩볙킭헻ꆣGonzalo뫍Lee(1995)뗄퇐뺿뇭쏷Johansen킭헻볬퇩뗃돶뗄뷡싛뿉쓜쫇탩볙킭헻ꆣ틲듋ꎬ헽쫇평폚틑폐뗄킭헻볬퇩랽램뮹폐늻ퟣ횮뒦ꎬ뫳살뗄탭뛠퇐뺿헟믲뛔듋뷸탐늻뛏늹돤뫍췪짆ꎬ믲쳡돶탂뗄킭헻볬퇩랽램ꎬ쳘뇰쫇럇쿟탔킭헻볬퇩뫍럇닎쫽킭헻볬퇩ꆣ놾컄뷓쿂살붫튪뷩짜럇닎쫽킭헻볬퇩뗄풭샭틔벰뛔컒맺럑톩킧펦뗄쪵횤볬퇩ꆣ 럇닎쫽킭헻볬퇩랽램 Engle뫍Granger(1987)쳡돶뗄EG솽늽램킭헻볬퇩뫍Johansen뫍Juselius(1988, 1991, 1992)쳡돶뗄킭헻볬퇩랽램뚼쫇믹폚쿟탔짨뚨뗄볬퇩쒣탍살뷸탐ꎬ뛸쟒짦벰떽좱쪡닎쫽뗄맀볆ꎬ틲뛸뿉쓜믡평폚볬퇩쒣탍뗄듭컳짨뚨뫍닎쫽뗄맀볆욫컳뛸붵뗍헢킩킭헻볬퇩랽램뗄볬퇩쫆ꎬ짵훁뿉쓜믡뗃돶쎬뛜믲듭컳뗄뷡싛ꎬ컞램뛔쿖쪵뺭볃룸폨헽좷뗄뷢쫍뫍움볛ꎬ뷸뛸펰쿬떽쪵횤퇐뺿뷡싛뛔쿖쪵뺭볃뗄횸떼틔벰헾뢮뗄뻶닟ꆣ좻뛸ꎬ쿖쪵뺭볃듭ퟛ뢴퓓ꎬ뺭볃뇤솿횮볤뗄맘쾵쫜훮뛠틲쯘뗄펰쿬ꎬ죧헾뢮뗄뻶닟ꆢ룷룶뺭볃죋뚼폐룷늻쿠춬뗄샭탔믲럇샭탔톡퓱탐캪ꆢ샺쪷컄뮯믲뗘샭뮷뺳뗈랽쏦뗄틲쯘뚼믡쪹뗃룷룶맺볒뗄뺭볃퇐뺿놳뺰뫍쳵볾폐쯹닮틬ꆣ틲듋ꎬ뺭볃뇤솿횮볤뗄맘쾵뿉쓜늻뷶듦퓚쿟탔맘쾵ꎬ뮹듦퓚럇쿟탔뗄맘쾵ꎬ뛸폖뫜쓑뛔헢킩뢴퓓뗄럇쿟탔맘쾵룸폨ힼ좷뗄뿌뮭ꎬ58
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쓇쎴ꎬ쫇럱뿉틔뾼싇헢퇹튻훖랽램ꎬ룃랽램늢늻믹폚뻟쳥뗄쿟탔믲럇쿟탔짨뚨뗄볬퇩쒣탍살뷸탐ꎬ뺡솿뇜쏢평쒣탍뗄듭컳짨뚨뛸떼훂볬퇩뷡싛뗄얤쟺ꎬ뛸쟒뺡솿늻짦벰믲짙짦벰떽좱쪡닎쫽뗄맀볆ꎬ복짙평폚닎쫽뗄맀볆욫컳뛸붵뗍웤볬퇩쫆ꎬ뛸헢뻍쫇럇닎쫽쒣탍뗄쮼쿫ꆣBierens(1997b)쫗쿈붫럇닎쫽쒣탍뗄쮼쿫틽죫킭헻볬퇩ꎬ쳡돶쇋럇닎쫽킭헻볬퇩랽램ꆣ쿂쏦뛔룃랽램볓틔뷩짜ꆣ Bierens뗄럇닎쫽킭헻볬퇩 EG솽늽램뫍Johansen킭헻볬퇩램뚼탨튪믱뗃좱쪡닎쫽믲뷡릹닎쫽뗄튻훂맀볆ꎬ뛸Bierens(1997b)쳡돶뗄랽램돽쇋튻킩맦퓲탔쳵볾췢ꎬ룃랽램늢늻탨튪짨뚨뻟쳥뗄쫽뻝짺돉맽돌뫍맀볆좱쪡뗄닎쫽ꎬ틲듋돆횮캪럇닎쫽킭헻볬퇩랽램ꆣBierens릹퓬뗄킭헻볬퇩랽램샠쯆폚Johansen킭헻볬퇩ꎬ죧뛔킭헻쿲솿뗄닎쫽풼쫸볬퇩ꎬ벴믹폚맣틥쳘헷횵컊쳢뗄뷢뗄업탲살뷸탐ꆣ뛸쟒ꎬ닉폃맣틥쳘헷횵쯹뛔펦뗄쳘헷쿲솿살믱뗃쳘헷쿲솿뗄튻훂맀볆ꎬ헢튻뗣튲폫Johansen뗄랽램쿠쯆ꆣ좻뛸ꎬ쯹늻춬뗄쫇ꎬBierens쯹릹퓬뗄뻘헳뛀솢폚쫽뻝짺돉맽돌ꎬ늢늻틀삵폚쒳룶짨뚨뗄뻟쳥쒣탍뗄맀볆살뷸탐ꆣ쿂쏦붫쿪쾸뷩짜Bierens랽램뗄볬퇩풭샭ꆣ 뾼싇q캬떥캻룹맽돌ꎺz=µ+z+uꎬ웤훐u쫇튻룶쇣뻹횵뗄욽컈맽돌ꎬµ쫇tt−1tt뷘뻠닎쫽쿲솿ꎬt=0,1,2,",nꆣ룹뻝Wold럖뷢뚨샭ꎺ ∞ uCv=C(L)v () ∑tjt−jtj=0웤훐v쫇q캬욽컈뗄냗퓫짹맽돌ꎬC(L)쫇훍뫳쯣ퟓL훐뗄훍뫳뛠쿮쪽뗄q×q뻘t헳ꆣ캪쇋랽뇣ꎬ볙뚨C(L)쫇튻룶폐샭쫽뛠쿮쪽ꎬ쟒v쫇룟쮹냗퓫짹맽돌ꎬ폚쫇u뻍tt쫇튻룶룟쮹VARMA맽돌ꎺ −1볙짨1ꎺ맽돌u뿉틔뇭쪾죧()쪽ꎬv∼i..(0,I)ꎬC(L)=C(L)C(L)ꎬttqq12웤훐C(L)뫍C(L)뚼쫇폐쿞뷗뗄훍뫳뛠쿮쪽ꎬC(L)뗄쯹폐룹뚼퓚뢴떥캻풲횮췢ꆣ 121뷸튻늽ꎬ죧맻볙짨u쫇욽컈쟒뇩샺맽돌ꎬ폚쫇폐ꎺu=ε+w−wꎬ웤훐ε쫇튻ttttt−1t59
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 T룶닮럖맽돌쟒랽닮뻘헳뿉뗈춬폚C(1)C(1)ꆣ춨맽릹퓬뿉틔쪹L=1쪱ꎬ훍뫳뛠쿮쪽C(L)−C(1)캪쇣ꎬ뿉틔뗃돶ꎺ u=C(L)v=C(1)v+(C(L)−C(1))v=C(1)v+(1−L)D(L)C(1)v=C(1)v+w−w () ttttttttt−1∞k웤훐w=D(L)vꎬD(L)=(C(L)−C(1))(1−L)=DLꆣ폚쫇폐ꎺ ∑ttkk=0t z=z−w+µt+w+C(1)v () ∑t00tjj=1죴rank(C(1)=q−r<qꎬ퓲맽돌z쫇킭헻뗄쟒뻟폐r룶뛀솢뗄킭헻쿲솿ξꎬtjTTTj=1,2,"rꆣ뛸쟒ξC(1)=0ꎬj=1,2,"rꎬ틲듋듓()쪽훐뿉틔뗃돶ξz쫇쟷쫆욽jjtTT컈뗄ꎬ웤쟷쫆몯쫽캪ꎺξ(z−w)+ξµtꆣ j00jTT볙짨1놣횤쇋C(L)v뫍D(L)v뚼쫇욽컈맽돌ꎬ쟒CꎬCCꎬDꎬDD∑k∑kk∑∑ttkkk뚼쫇쫕솲뗄ꆣ캪쇋랽뇣ꎬ볇캪ꎺ ∞TT DD=DD () ∑kk∗∗k=0TTT볙짨2ꎺ쇮R쫇C(1)C(1)뛔펦폚r룶쇣쳘헷횵뗄쳘헷쿲솿뻘헳ꎬ쟒RD(1)D(1)Rrrr쫇럇웦틬헳ꆣ T뷸튻늽ꎬ컒쏇퓝쟒볙짨킭헻맘쾵Rz쫇욽컈뗄ꎬ쟒횻뾼싇쇋뷘뻠쿮뛸쎻폐뾼싇쪱rt볤쟷쫆쿮ꎬ틲듋ꎺ T볙짨3ꎺRµ=0 rBierens뗄럇닎쫽킭헻볬퇩붫믹폚쿂쇐쯦믺뻘헳살뷸탐ꎺ mTˆ A=aa () m∑n,kn,kk=1mTˆB=bb () m∑n,kn,kk=160
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 m캪ퟔ좻쫽ꎬ쟒m≥qꎬ웤훐ꎺ z∆zM(F(⋅)nnM(F(⋅)nknka=ꎬ b= n,kn,k2F(x)F(y)min(x,y)dxdyF(x)dxkkk∫∫∫뛸쟒ꎺ n1z M(F)=F(tn)z () nk∑ktnt=1n1∆zM(F)=F(tn)∆z () nk∑ktnt=1웤훐{F}쫇퓚1쟸볤[0,1]짏뗄튻샠뿉캢뗄쪵몯쫽ꆣ몯쫽F뗄톡퓱튪싺ퟣ쿂쇐쫕kk솲쳵볾ꎺ mDT12TT12ˆ A→(C(1)C(1))(X)(C(1)C(1)) () m∑kk=1D웤훐X뫍Y쫇q캬뛀솢뗄뇪ힼ헽첬쯦믺쿲솿ꎬ쟒→뇭쪾틀럖늼쫕솲ꆣ룹뻝kkAndersen,Brons뫍Jensen(1983)뗄싛쫶ꎺ죴뛔폚튻뛔쯦믺뻘헳P뫍Qꎬ(P,Q)틀럖늼nnnn쫕솲폚(P,Q)ꎬ웤훐Q쫇럇웦틬뗄ꎬ쓇쎴P−λQ=0뗄맣틥쳘헷횵뗄폐탲뷢뻍틀럖nn늼쫕솲폚P−λQ=0뗄맣틥쳘헷횵뗄폐탲뷢ꆣ캪쇋짺돉뫏쫊뗄튻ퟩ(P,Q)ꎬ컒쏇쇮nn−2−1TˆˆˆP=AꎬQ=B+nAꎬ틲듋죴훈r(C(1)C(1))=q−rꎬ쓇쎴q−r룶P−λQ=0뗄nmnmmퟮ듳뷢뚼쫇헽뗄쟒늻몬좱쪡닎쫽ꎬ뛸r룶ퟮ킡뷢뚼쫇쇣ꆣ 톡퓱F쪹뗃ꎺ kn1 F(tn)=o(1) () ∑knt=1n1tF(tn)=o(1) () ∑knnt=1쟒뛔폚i≠jꎬ폐ꎺ 61
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 F(x)F(y)min(x,y)dxdy=0 () ij∫∫x F(x)F(y)dydx=0 () ji∫∫0 F(x)F(x)dx=0 () ij∫죴쎻폐쳘뇰쮵쏷ꎬ퓲헢킩믽럖뚼쫇퓚1쟸볤[0,1]짏뷸탐ꆣ룹뻝캬쓉닢뛈캢믽럖(볻Billingsleyꎬ1968ꎻPhillipsꎬ1987ꎻBierensꎬ1994)ꎬ뛔폚죎틢k,폐ꎺ zC(1)F(x)W(x)dxM(F)nk∫nkDT () →∼N(0,(C(1)C(1))⊗Σ)2qk∆zM(F)nC(1)(F(1)W(1)−f(x)W(x)dx)nkkk∫웤훐W쫇튻룶q캬뗄뇪ힼ캬쓉맽돌ꎬf쫇F뗄떼쫽ꎬ쟒ꎺ kkF(x)F(y)min(x,y)dxdy0kk∫∫ Σ= () k20F(x)dxk∫평폚쳵볾()뫍()ꎬ퓚()쪽뗄폒뇟쎻폐몬뷘뻠닎쫽µꆣ틲캪()쪽훐뗄뻘헳Σ쪽뛔뷇뻘헳ꎬ평폚쳵볾()ꎬ쪹뗃()쪽폒뇟뗄솽룶풪쯘쫇캬쓉맽돌뗄쿟탔k랺몯ꎬ틲듋럾듓뛀솢헽첬럖늼ꆣ평폚쳵볾()ꆢ()뫍()ꎬ쯼쏇맘폚k튲쫇뛀솢뗄ꆣ틲듋폐ꎺ 틽샭1ꎺ퓚볙짨1뫍쳵볾()-()쿂ꎬ폐ꎺ zC(1)XF(x)F(y)min(x,y)dxdyMFkkk()n∫∫nkD → () ∆z2M(F)nnkC(1)YF(x)dxkk∫k=1,2,"mꎬm쫇튻룶만뚨뗄ퟔ좻쫽ꎬ웤훐X뫍Y뚼쫇좡뻶폚F뗄q캬뛀솢뗄뇪ힼkkk헽첬럖늼뗄쯦믺쿲솿ꎬ죧쿂ꎺ F(x)W(x)dxk∫ X= () kF(x)F(y)min(x,y)dxdykk∫∫62
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 F(1)W(1)−F(x)W(x)dxkk∫Y= () k2F(x)dxk∫늻맜쫇럱듦퓚킭헻맘쾵ꎬ헢룶뷡싛뚼쫇돉솢뗄ꆣ틲듋틽샭횤쏷쇋()쪽훐뗄T12T12C(1)X뿉틔평[C(1)C(1)]X살쳦듺ꎬC(1)Y뿉틔평[C(1)C(1)]Y살쳦듺ꆣ kkkk쿂튻늽ꎬ볙짨듦퓚r룶쿟탔뛀솢뗄킭헻쿲솿ꆣ쓇쎴뻍폐죧쿂뇭쪾ꎺ TRΛoq−rTTq−r C(1)C(1)=RΛR=(R,R) () q−rrTooRr웤훐Λ쫇q−r룶헽뗄쳘헷횵릹돉뗄뛔뷇뻘헳ꎬR쫇뛔펦폚헽뗄쳘헷횵뗄헽붻q−rq−r뗄쳘헷쿲솿뻘헳ꎬR쫇뛔펦폚r룶쇣쳘헷횵뗄헽붻뗄쳘헷쿲솿뻘헳ꆣ r틽샭2ꎺ퓚볙짨3뫍틽샭1뗄쳵볾쿂ꎬ폐ꎺ TzT2RMFnRD(1)YF(x)dx()rkkrnkD∫ → () T∆zTRM(F)nrnkF(1)RDZkr∗웤훐k=1,2,"mꎬY쫇평()쪽뚨틥뗄ꎬY뫍Z쫇q캬뛀솢뗄뇪ힼ헽첬럖늼뗄kk쯦믺쿲솿ꎬ쟒Z늢늻틀삵폚Fꆣ k틲듋좷쪵듦퓚좨몯쫽Fꎬ쳘뇰뗘ꎬ폐ꎺ k틽샭3ꎺ죴F(x)=cos(2kπx)ꎬ쓇쎴쳵볾()-()뚼믡돉솢ꆣ뛸쟒폐ꎺF(1)=1ꎬkk11−22F(x)F(y)min(x,y)dxdy=(kπ)ꎬF(x)dx=ꆣ kk∫∫∫82떱좻ꎬ듦퓚뛠훖톡퓱좨몯쫽F뗄랽램ꎬ헢횻쫇웤훐뗄튻훖톡퓱횮튻ꆣ컒쏇볇ꎺ k2F(x)dxF(1)∫k γ= δ= () kk2F(x)F(y)min(x,y)dxdyF(x)dxkk∫∫∫쓇쎴듓틽샭1뫍틽샭2뿉틔뗃돶ꎺ 63
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 틽샭4ꎺ쇮rankC(1)=q−rꎬ쓇쎴ꎺ TTˆˆRARnRARIoIoq−rmq−rq−rmrq−rTq−rˆ RAR= m2onIonInRARnRARrmq−rrmrmTTTTTTRC(1)XXC(1)RRC(1)γXYD(1)Rq−r∑kkqrqr∑kkkrD=1=1 → () mTTTT2TTRD(1)γYXC(1)RRD(1)YD(1)Rrkkq−rrkkr뫍ꎺ TTˆˆIoIoRBRnRBRq−rq−rq−rmq−rq−rmrTˆRBR= monIonInRBRnRBRrrrmq−rrmrmTTTTTRC(1)YC(1)RRC(1)δYZDRq−r∑kkqrqr∑kk∗rD=1=1 → () mTTTT2TRDδZYC(1)RRDZZDRr∗kkq−rr∗k∗r웤훐쯦믺쿲솿XꆢY뫍Z춬폚틽샭1뫍틽샭2훐뗄뚨틥ꆣ뛸쟒ꎺ ijT−1ˆooRARDm → () −12oVnr,m웤훐ꎺ mmT2TTTTT V=RD(1)γYD(1)R−RD(1)γYXC(1)R r∑∑,mrkkkrrkkkq−r=1=1−1mTTTTTT ×RC(1)XXC(1)RRC(1)γXYD(1)R () q−rkkqrqr∑kkkr=1힢틢ꎬ잰쏦뗄볙짨2놣횤쇋뻘헳V쫇럇웦틬뻘헳ꆣ r,m볇ꎺ 1−∗TTT2X=RC(1)C(1)RRC(1)X () ()kq−rqrq−rk1−∗TTT2Y=RC(1)C(1)RRC(1)Y () ()kq−rqrq−rk64
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 샻폃AndersenꎬBrons뫍Jensen(1983)뗄퇐뺿뷡싛ꎬ뿉틔횱뷓듓틽샭4뗃돶ꎺ ˆˆ뚨샭1ꎺ쇮λ≥"≥λ쫇쿂쇐탐쇐쪽뗄맣틥쳘헷횵뗄폐탲뷢ꎺ 1,mq,m−2−1ˆˆˆ A−λB+nA=0 () ()mmm늢쟒쇮λ≥"≥λ쫇쿂쇐탐쇐쪽뗄맣틥쳘헷횵뗄폐탲뷢ꎺ 1,mq−r,mmm∗∗T∗∗T XX−λYY=0 () ∑kk∑kkk=1=1웤훐X뫍Y뚼쫇(0,I)ꆣ죴z쫇킭헻뗄ꎬ쟒듦퓚r룶쿟탔뛀솢뗄킭헻쿲ijq−rq−rtˆˆ솿ꎬ쓇쎴퓚볙짨1-3쳵볾쿂ꎬ(λ,",λ)틀럖늼쫕솲폚(λ,",λ,0,",0)ꆣ 1,mq,m1,mq−r,mˆˆ캪쇋뇭쏷(λ",λ)쫕솲폚(0,",0)뗄쫕솲쯙뛈ꎬ듓틽샭4뿉틔뗃돶ꎺ q−r+1,mq,m1−−2TT−21T22ˆˆˆˆ nRARRB+nARRAR ()()()mmmmooT−2−1T−2−1T−2−1Dˆˆˆˆ=RnARRB+nARRnAR→ () ()()()mmmm−2oVr,mˆ뛸쟒ꎬ죝틗뗃돶φ쫇쿂쇐탐쇐쪽뗄맣틥쳘헷횵뗄뷢ꎺ j,m11−−1TT−2−1T22ˆˆˆˆ RARRB+nARRAR−φI=0 () ()()()nmmnq2n2ˆˆ뛸φ잡뫃뻍쫇nλ뗄떹쫽ꆣ틲듋ꎬ퓙듎룹뻝AndersenꎬBrons뫍Jensen(1983)j,mj,m22ˆˆ뗄뷡싛ꎬn(λ",λ)틀럖늼쫕솲폚뻘헳V뗄폐탲쳘헷횵ꆣퟮ뫳ꎬ잰쏦()q−r+1,mq,mr,m∗쪽뚨틥쇋Xꎬ틔벰ꎺ k1−∗∗TTT2 Y=RD(1)D(1)RRD(1)Y ∼N[0,I] () ()()krrrkrr뻘헳V캪ꎺ r,m11TT∗TT22 V=RD(1)D(1)RVRD(1)D(1)R () ()()rmrrr,mrr웤훐ꎺ 65
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 −1mmmm∗2∗∗T∗∗T∗∗T∗∗T VγY−γYXXγXY () r∑∑∑∑,mkkkkkkkkkkk=1=1=1=평짏쫶뿉틔뗃돶ꎺ 2∗2∗2ˆˆˆˆ뚨샭2ꎺ퓚뚨샭1뗄쳵볾쿂ꎬn(λ",λ)틀럖늼쫕솲폚(λ,",λ)ꎬ웤q−r+1,mq,m1,mr,m∗∗훐ꎬλ≥"≥λ쫇쿂쇐탐쇐쪽뗄맣틥쳘헷횵뗄폐탲뷢ꎺ 1,mr,m−1∗TT V−λRD(1)D(1)R=0 () ()r,mrr∗∗∗∗웤훐V퓚()쪽훐놻뚨틥ꎬ뛸X뫍Y럖뇰캪q−r캬뫍r캬뗄뇪ힼ뛀솢춬럖늼r,mij쯦믺쿲솿ꆣ 짏쫶럖컶뻍쫇Bierens(1997)뗄럇닎쫽킭헻볬퇩랽램뗄믹놾쮼쿫ꎬ벴믹폚퓚튻뚨볙짨쳵볾쿂뗄쯦믺뻘헳살쟳돶맣틥쳘헷횵뗄폐탲뷢ꎬ좻뫳믹폚헢킩쳘헷횵살볬퇩킭헻훈ꎬ헢튻뗣폫Johansen킭헻볬퇩랽램샠쯆ꎬ쯹늻춬뗄쫇ꎬJohansen킭헻볬퇩쫇믹폚ퟮ듳쳘헷횵살뷸탐ꎬ뛸Bierens뗄럇닎쫽킭헻볬퇩퓲쫇믹폚ퟮ킡쳘헷횵살뷸탐ꎬ벴돆캪ퟮ킡쳘헷횵볬퇩ꎬ볬퇩춳볆솿뻍쫇λꎬ늢룸돶쇋쿠펦뗄쇙뷧횵ꆣ쇣볙짨뫍놸퓱볙짨min죧쿂ꎺ 쇣볙짨ꎺ Hꎺr=rꎬ벴듦퓚r룶킭헻쿲솿ꎻ 000놸퓱볙짨ꎺHꎺr=r+1ꎬ벴듦퓚r+1룶킭헻쿲솿ꆣ A00웤훐r=0,1,",q−1ꎬ춬폚Johansen킭헻볬퇩ꎬ뷸탐훰듎볬퇩ꎬퟮ뫳좷뚨킭헻쿲0솿뗄룶쫽ꆣ죴볆쯣뗃돶뗄볬퇩춳볆횵킡폚웤뛔펦뗄쇙뷧횵ꎬ퓲뻜뻸쇣볙짨ꎬ뷓쫜놸퓱볙짨ꎻ죴볆쯣뗄볬퇩춳볆횵듳폚웤뛔펦뗄쇙뷧횵ꎬ퓲뷓쫜쇣볙짨ꎬ뻜뻸놸퓱볙짨ꆣ Bierens뗄랽램늻뷶볬퇩쇋킭헻쿲솿뗄룶쫽ꎬ뮹룸돶쇋킭헻훈뗄튻훂맀볆ꎬ벴ꎺ 66
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 −1qˆλ r=0,∏k,mk=1−1q−rq2rˆˆˆ g(r)=λnλ r=1,", q−1, () m∏k,m∏k,m=1k=q−+1q2qˆnλ = ∏k,mk=1죴r=rꎬ퓲ˆg(r)=O(1)ꎬ죴r≠rꎬ퓲ˆg(r)틀룅싊쫕솲폚컞쟮ꆣ틲듋ꎬ쇮0mp0mˆˆr=argming(r)ꎬ퓲폐ˆlimP(r=r)=1ꆣ mr≤qmn→∞m0퓚Bierens뗄럇닎쫽킭헻볬퇩맽돌훐ꎬ붫믡짦벰떽m뫍좨몯쫽F뗄톡퓱ꎬ웤톡퓱k랽램볻Bierens(1997b)뗄퇐뺿싛컄ꎬ헢샯늻퓙쿪쫶ꆣ늢쟒Bierens(1997b)뮹퓚쯻뗄퇐뺿싛컄훐샻폃Monte Carlo쒣쓢랽램살뇈뷏쇋쯻쳡돶뗄럇닎쫽킭헻볬퇩뫍Johansen뗄쿟탔닎쫽킭헻볬퇩랽램ꆣ웤쒣쓢뷡맻뇭쏷ꎬ뛔폚짨뚨뗄쫽뻝짺돉맽돌ꎬ뛔폚킭헻쿲솿룶쫽뗄볬퇩ꎬ럇닎쫽킭헻볬퇩튪폅폚Johansen뗄ퟮ듳쳘헷횵볬퇩ꎬ퓚Johansen킭헻볬퇩맽돌훐ꎬECM훐뗄훍뫳뷗뗄톡퓱뛔볬퇩뷡맻뗄펰쿬뫜듳ꎻ쟒퓚볬퇩킭헻쿲솿뗄쿟탔풼쫸쪱ꎬJohansen볬퇩믡폐룼퇏훘뗄쿔훸탔쮮욽얤쟺ꆣ떱좻ꎬ헢퇹뗄뷡맻늢늻쓜횤쏷Bierens뗄럇닎쫽킭헻볬퇩튻뚨뇈Johansen뗄킭헻볬퇩튪뫃ꆣBierens횸돶ꎬ쯻쳡돶뗄럇닎쫽킭헻랽램늢늻쓜췪좫좡듺Johansen킭헻볬퇩ꎬ뛸횻쫇킭헻볬퇩훐뗄튻룶폐폃늹돤ꎬ뛠쇋튻룶톡퓱뛸튲ꆣ늢쟒ꎬ죴탨튪풤닢킭헻맽돌믲쿫튪ퟶ헾닟럖컶쪱ꎬJohansen볬퇩쯆뫵쫇캨튻뗄냬램ꎬ틲캪웤쳡릩쇋룼뛠뗄탅쾢ꎬ쳘뇰쫇뾼싇떽욯틆닎쫽뗄킭헻풼쫸ꎬ틔벰킭헻맘쾵훐뗄쿟탔쟷쫆뗄돶쿖뗈ꆣ ퟛ짏ꎬ컒쏇쿪쾸뷩짜쇋Bierens뗄럇닎쫽킭헻볬퇩랽램ꆣ뿉틔뾴돶ꎬ룃랽램뺡솿뇜쏢쇋볬퇩쒣탍뗄뻟쳥짨뚨뫍좱쪡닎쫽뗄돶쿖ꎬ쳘뇰쫇ꎬ떱쫽뻝짺돉맽돌훐듦퓚럇쿟탔맘쾵뛸폖뫜쓑뛔웤볓틔ힼ좷뿌뮭쪱ꎬ룃랽램횻쫇믹폚솽룶쯦믺뻘헳ꎬ퓚튻뚨뗄볙짨쳵볾쿂쟳돶쳘헷횵뗄뷢ꎬ샻폃ퟮ킡쳘헷횵볬퇩살볬퇩킭헻쿲솿뗄룶쫽늢룸돶쇋킭헻쿲솿룶쫽뗄맀볆랽램ꎬ뷸뛸에뛏킭헻맘쾵뗄듦퓚탔ꆣ떫쫇ꎬBierens랽램볬퇩짨볆떽좨몯쫽뗄톡퓱ꎬ뛸늻춬뗄퇐뺿헟붫믡폐늻춬뗄톡퓱욫뫃ꎬ싺ퟣ쳵볾뗄좨몯쫽늻횻튻룶ꎬ67
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 튲뻍쫇쎻폐캨튻뗄쟒ퟮ폅뗄좨몯쫽톡퓱ꎬ헢붫믡떼훂늻춬뗄좨몯쫽붫믡떼훂늻춬뗄뷡싛짵훁쫇쎬뛜뗄뷡싛ꎬ뛸쟒늻떱뗄좨몯쫽톡퓱붫뿉쓜믡붵뗍룃랽램뗄볬퇩쫆ꆣ틲듋ꎬ떱뺭볃뇤솿횮볤뿉쓜듦퓚럇쿟탔맘쾵쪱ꎬ늻쫊틋닉폃Johansen볬퇩랽램ꎬ뛸닉폃Bierens랽램뷸탐킭헻볬퇩쪱ꎬ튪쳘뇰떱탄좨몯쫽뗄톡퓱ꎬ뺡솿톡퓱ퟮ뫏쫊뗄좨몯쫽뛸쳡룟룃랽램뗄볬퇩쫆ꆣ Breitung뗄럇닎쫽킭헻볬퇩 Breitung(2002)횸돶ꎬ평폚좨몯쫽뗄톡퓱믡펰쿬떽Bierens뗄럇닎쫽킭헻볬퇩뗄볬퇩쫆뫍볬퇩뷡싛ꎬ캪쇋뇜쏢좨몯쫽뛔볬퇩뷡싛뗄펰쿬ꎬ쯻쳡돶쇋쇭튻훖늻짦벰떽좨몯쫽톡퓱뗄럇닎쫽킭헻볬퇩랽램ꆣBreitung뗄럇닎쫽킭헻볬퇩랽램쫇평잰쏦뷩짜뗄럇닎쫽떥캻룹볬퇩뗄랽닮뇈춳볆솿뷸탐뗄췆맣ꎬ룃볬퇩맽돌뇈뷏볲떥ꎬ늻짦벰떽볬퇩쒣탍뗄뻟쳥짨뚨뫍좱쪡닎쫽뗄맀볆ꎬ튲늻짦벰떽좨몯쫽뗄톡퓱ꎬ횻쫇믹폚릹퓬뗄뻘헳살쟳웤쳘헷횵뗄뷢ꎬ뷸뛸볬퇩킭헻맘쾵뗄듦퓚탔ꆣ Breitung볙짨쫽뻝짺돉맽돌뿉틔놻럖뷢캪q캬쯦믺쟷쫆쿲솿ξ뫍(n−q)캬뛌웚돥t믷쿲솿vꆣ벴ꎺ t볙짨2ꎺ듦퓚튻룶뿉쓦뻘헳Q=[γ,β]ꎬ웤훐γ뫍β럖뇰쫇(n×q)뫍n×(n−q)캬뗄쿟탔뛀솢뻘헳ꎬ쟒0<q<nꎬ틲듋ꎺ ′γ(y−µ)ξttt′ Q(y−µ)=≡=z () ttt′β(−µ)vttt−12Tξ⇒W(a) () [aT]qT−2′Tv=o(1) () ∑ttpt=1웤훐µ=E(y)ꎬW(a)쫇튻룶뻟폐떥캻킭랽닮뻘헳뗄q캬늼샊퓋뚯ꆣ ttq탨튪힢틢뗄쫇ꎬ헢샯늢늻탨튪횪뗀볙짨2훐뗄뻘헳Qꎬ틲듋ꎬ뛔폚쾵춳뗄탽∗y=Ayꎬ헢룶볬퇩죔좻쫇늻뇤뗄ꆣ뛸쟒ꎬ룃랽램늢늻탨튪볙짨쿟탔ퟩ뫏′v=β(y−µ)ttttt68
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쪽욽컈뗄ꆣ쿠랴뗄쫇ꎬBreitung볙뚨쇋쯦믺쟷쫆쿲솿ξ쫇평랽닮횧엤뗄쟒ξ뗄랽닮뗄tt쫕솲쯙뛈뿬폚v뗄랽닮쫕솲쯙뛈ꆣ틲듋ꎬ뛌웚돥믷돉럖뿉틔평죎뫎뻟폐뛌웚볇틤탔훊t뗄럇쿟탔맽돌살짺돉ꆣ 쯦믺쟷쫆쿲솿ξ뗄캬뛈폫쿟탔쾵춳뗄킭헻훈쫇쿠맘뗄ꎬ쟒q=n−rꎬ웤훐r쫇쿂t쇐쿲솿컳닮탞헽쒣탍훐뻘헳Π뗄훈ꎺ ∆y=Πy+ε () tt−1tε쫇욽컈뗄컳닮쿲솿ꆣ퓚쿟탔쾵춳훐ꎬ뛔폚쯦믺쟷쫆룶쫽뗄볙짨뻍뗈볛폚tJohansen킭헻볬퇩랽램훐뗄킭헻훈뗄볙짨ꆣ좻뛸ꎬ평폚늢쎻폐볙짨룃쫽뻝짺돉맽돌뻍쫇쿟탔뗄ꎬ틲듋짏쫶쿟탔뇭쪾뗄컳닮탞헽쒣탍늢늻듦퓚ꆣ 쇮ˆu쫇y뛔좷뚨탔d쿲솿뷸탐OLS믘맩쯹뗃돶뗄닐닮쿲솿ꎬ벴췋뮯쇋y훐뗄좷tttt뚨탔쟷쫆ꆣBreitung쳡돶뗄럇닎쫽킭헻볬퇩벴쫇믹폚쿂쇐탐쇐쪽뗄쳘헷횵살뷸탐ꎺ λB−A=0 () jTTTTtˆ′웤훐Aˆˆ=uꎬBUU′=ꎬ쟒U=uˆꎬ벴캪n캬뗄닐닮ˆu뗄늿럖뫍ꆣT∑tT∑t∑tjtj=1t=1t=1−1−1쟳()쪽뗄쳘헷횵뗈볛폚쟳뻘헳R=ABꎬ떱n=1쪱ꎬ쳘헷횵뻍뗈폚ˆ(Tρ)ꆣ틲TTTT듋ꎬ룃럇닎쫽킭헻볬퇩뿉틔뾴캪쫇잰쏦뷩짜뗄랽닮뇈춳볆솿뛔뛠뇤솿맽돌뗄튻룶췆맣ꎬ벴냑럇닎쫽떥캻룹볬퇩췆맣캪럇닎쫽킭헻볬퇩뗄맽돌ꆣ ()쪽뗄쳘헷횵뿉틔뇭쪾캪ꎺ ′ηAηjTj λ= () j′ηBηjTj웤훐η쫇쳘헷횵λ뛔펦뗄쳘헷쿲솿ꆣBreitung쳡돶뗄럇닎쫽킭헻볬퇩춳볆솿캪ꎺ jjq2 Λ=Tλ () q∑jj=169
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 웤훐λ≤λ≤"≤λ캪뻘헳R뗄폐탲쳘헷횵ꆣ쿂쇐쏼쳢룸돶쇋룃춳볆솿뗄벫쿞럖12nT늼ꎺ 쏼쳢ꎺ볙짨y럾듓볙짨2훐뗄럖뷢ꎬ쟒0<q≤nꎬ쓇쎴ꎬ쯦ퟅn→∞ꎺ t−111qqqq Λ⇒trW(a)W(a′′)daV(a)V(a)da () qjjjj∫∫00aqqq 웤훐W(a)쫇q캬W(a)ꎬ잰쏦뗄쏼쳢3뚨틥쇋W(a)ꎬ쟒V(a)=W(s)dsꆣ jjjjj∫0믹폚Breitung뗄럇닎쫽킭헻볬퇩춳볆솿ꎬ웤볬퇩맽돌뫍에뛏맦퓲춬폚Bierens뗄볬퇩맽돌ꎬ벴쇣볙짨뫍놸퓱볙짨죧쿂ꎺ 쇣볙짨ꎺ Hꎺr=rꎬ벴듦퓚r룶킭헻쿲솿ꎻ 000놸퓱볙짨ꎺHꎺr=r+1ꎬ벴듦퓚r+1룶킭헻쿲솿ꆣ A00웤훐r=0,1,",q−1ꎬ춬폚Johansen킭헻볬퇩뫍Bierens뗄럇닎쫽킭헻볬퇩ꎬ뷸0탐훰듎볬퇩ꎬퟮ뫳좷뚨킭헻쿲솿뗄룶쫽ꆣ죴볆쯣뗃돶뗄볬퇩춳볆횵듳폚웤뛔펦뗄쇙뷧횵ꎬ퓲뻜뻸쇣볙짨ꎬ뷓쫜놸퓱볙짨ꎻ죴볆쯣뗄볬퇩춳볆횵킡폚웤뛔펦뗄쇙뷧횵ꎬ퓲뷓쫜쇣볙짨ꎬ뻜뻸놸퓱볙짨ꆣ Breitung춨맽Monte Carlo쒣쓢살뇈뷏쇋쯻쳡돶럇닎쫽킭헻볬퇩뫍Johansen킭헻볬퇩뗄킡퇹놾탔훊ꎬ웤쒣쓢뷡맻뇭쏷ꎬBreitung볬퇩랽램뻟폐뷏룟뗄볬퇩쫆뫍뷏킡뗄쿔훸탔쮮욽얤쟺ꎬ뻟폐룼뫃뗄킡퇹놾쿞훆ꆣBreitung잿뗷ꎬ평폚뛌웚뚯첬뇤뮯늢늻믡펰쿬룃볬퇩춳볆솿뗄붥뷸럖늼ꎬ쯹틔뛔폚쿟탔뛌웚뚯첬돥믷뗄튻냣볙짨뗄욫샫ꎬ룃볬퇩죔좻놣돖웤볬퇩뗄컈붡탔ꆣ헢룶탔훊퓚듳퇹놾훐튲쫇뫜훘튪뗄ꎬ뛔폚닎쫽탍볬퇩춳볆솿ꎬ뛔잱퓚볙짨뗄뷏킡욫샫붫믡뛔볬퇩뷡맻닺짺뷏듳뗄펰쿬ꆣ ퟛ짏쯹쫶ꎬ컒쏇웊컶쇋벸훖볬퇩킭헻뗄랽램ꎬ벴쿟탔닎쫽탍뗄EG솽늽램뫍Johansen킭헻볬퇩랽램ꎬ틔벰럇닎쫽킭헻볬퇩뗄Bierens랽램뫍Breitung랽램ꆣ컒쏇틑뺭쳡벰떽ꎬEG솽늽램뗄볬퇩풭샭쯤좻쿠뛔볲떥ꎬ떫쫇뗬뚨쇋킭헻샭싛뗄퇐뺿믹뒡ꎬ틲듋뻟폐훘튪뗄톧쫵볛횵ꆣ헫뛔폚EG랽램횻쓜볬퇩돶튻룶킭헻맘쾵뗄좱쿝ꎬJohansen쳡돶뗄랽램뿉틔볬퇩늢맀볆뛠룶뇤솿횮볤뗄뛠룶킭헻맘쾵ꎬ떫쫇믹폚쿟탔쾵춳짨뚨컳70
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 닮탞헽볬퇩쒣탍뫍훍뫳뷗뗄톡퓱컊쳢ꎬ떱볬퇩뗄뺭볃쾵춳훐듦퓚럇쿟탔믲훍뫳뷗뗄듭컳톡퓱ꎬ뚼믡떼훂Johansen킭헻볬퇩뗄볬퇩쫆뇈뷏뗍ꎬ쟒뻟폐뷏듳뗄쿔훸탔쮮욽얤쟺ꆣ틲듋ꎬ캪쇋뇜쏢뻟쳥닎쫽짨뚨볬퇩쒣탍뫍닎쫽뗄욫컳맀볆틔벰훍뫳뷗뗄톡퓱ꎬBierens뫍Breitung믹폚늻춬뗄퇐뺿랽램쳡돶쇋럇닎쫽킭헻볬퇩ꆣ헢솽훖럇닎쫽킭헻볬퇩뗄볬퇩쮼쿫뫍Johansen킭헻볬퇩쿠춬ꎬ뚼쫇믹폚릹퓬뗄뻘헳ꎬ믹폚쒳룶탐쇐쪽뗄쳘헷횵뗄뷢살릹퓬웤춳볆솿ꆣ쯹늻춬뗄쫇ꎬ릹퓬뻘헳뗄랽램늻춬ꎬBierens랽램쿠뛔뢴퓓ꎬ믹폚쒳훖볙짨쳵볾쿂뗄쯦믺뻘헳ꎬ쟳돶쳘헷횵뗄폐탲뷢ꎬ믹폚ퟮ킡쳘헷횵살뷸탐볬퇩ꎬ늢룸돶쇋뻟쳥뗄킭헻쿲솿룶쫽뗄맀볆ꆣ뛸Breitung뗄럇닎쫽킭헻볬퇩퓲쿠뛔볲떥ꎬ믹폚췋뮯쟷쫆뫳뗄닐닮탲쇐살릹퓬뻘헳ꎬ룹뻝쟳돶뗄쳘헷횵뗄폐탲뷢살릹퓬웤볬퇩춳볆솿ꆣ떱좻ꎬ쯤좻럇닎쫽킭헻볬퇩랽램뇜쏢쇋쒣탍듭컳짨뚨뫍닎쫽욫컳맀볆쯹떼훂뗄컊쳢ꎬ컒쏇늢늻쓜뻝듋죏캪럇닎쫽킭헻볬퇩퓚죎뫎쟩뿶쿂뚼튪폅폚Johansen킭헻볬퇩ꆣ헢벸훖볬퇩횮볤펦룃쫇튻훖쿠뮥늹돤뛸늻쫇쿠뮥쳦듺뗄맘쾵ꎬ떱볬퇩뗄뺭볃뇤솿횮볤듦퓚뗄쫇튻훖쿟탔맘쾵쪱ꎬ퓲믹폚Johansen킭헻볬퇩살뷸탐럖컶뻍튪폅폚뫳솽훖럇닎쫽킭헻볬퇩ꎬ틲캪Johansen킭헻볬퇩퓚볬퇩킭헻맘쾵쫇럱듦퓚뗄춬쪱ꎬ룸돶쇋뻟쳥뗄쿟탔컳닮탞헽쒣탍ꎬ뿉틔뗃돶헢킩볬퇩뇤솿횮볤듦퓚뗄뎤웚맘쾵틔벰뛌웚뚯첬뗷헻맽돌ꎬ뷸뛸뿉틔룹뻝헢킩볬퇩뷡싛ퟶ룼캪쿪쾸뗄헾닟럖컶ꆣ횻폐떱볬퇩뗄뺭볃뇤솿횮볤듦퓚럇쿟탔맘쾵쪱ꎬ샻폃럇닎쫽킭헻볬퇩뻍튪폅폚Johansen킭헻볬퇩ꎬ틲캪뇜쏢쇋쒣탍뗄듭컳쿟탔짨뚨컊쳢ꎬ헢쪱ꎬ럇닎쫽킭헻쓜릻뇈뷏ힼ좷뗘볬퇩돶헢킩뇤솿횮볤뗄킭헻맘쾵룶쫽ꎬ떫쫇늢늻쓜룸돶룼캪쿪쾸뗄럇쿟탔탐캪맽돌ꆣ 컒맺럑톩킧펦뗄킭헻볬퇩뷡맻벰웤뷢쫍 죧춼쯹쪾ꎬ퇹놾웚볤컒맺춨헍싊폫쏻틥샻싊횮볤돊쿖돶쿔훸뗄럇뛔돆럇쿟탔뗷헻맘쾵ꎬ튲쿔좻쎻폐튻튻뛔펦맘쾵ꆣퟜ쳥뛸퇔ꎬ퓚2000쓪틔잰ꎬ컒맺샺뺭뻧쇒뗄춨헍, 캪틖훆춨헍뫍듙뷸뺭볃퓶뎤ꎬ퇫탐훷튪닉폃뷴쯵믲삩헅뗄믵뇒헾닟ꎬ떼훂춨믵엲헍쿔훸늨뚯ꆣ떫컒맺샻싊뗄럇쫐뎡뮯떼훂샻싊뇤뚯쿠뛔뷏킡, 쪹뗃쏻틥샻싊뺡맜쯦횮뇤뮯ꎬ떫뇤뚯뗄럹뛈뻟폐쪵훊탔닮틬ꎬ웤뇤뚯쒣쪽튲폫춨헍늻뛔돆ꎬ죧퓚1993쓪71
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 1퓂떽1994쓪10퓂웚볤ꎬ춨믵엲헍싊듓ꎥ튻횱돖탸뗘짏짽떽ꎥꎬ뛸헢웚볤뗄쏻틥샻싊횻쫇듓%짏짽훁ꎥꆣ뛸퓚1994쓪10퓂떽1995쓪7퓂웚볤ꎬ춨믵엲헍싊듓ꎥ쿂붵떽ꎥꎬ쏻틥샻싊좴듓%짏짽떽ꎥꎬ웤뛾헟뗄뇤뮯랽쿲뫍럹뛈듳킡뚼늻쿠춬ꎻ2000쓪틔뫳ꎬ쯦ퟅ컒맺뺭볃룱뻖뗄뇤뮯뫍믵뇒헾닟평훷튪쪹폃벱뻧삩헅뫍뷴쯵쿲폚쫊뛈뗷헻믵뇒릩룸솿ꎬ쳘뇰쫇폫샻싊뗈믵뇒헾닟뗄솪뫏쪹폃ꎬ쪹컒맺뗄춨헍믹놾컈뚨ꎬ릫훚뛔춨헍튲놣돖ퟅ믹놾컈뚨뗄풤웚ꆣ듓2002쓪뾪쪼ꎬ춨믵엲헍싊뺭샺쇋튻룶쿠뛔킡럹뗄짏짽뫍쿂붵맽돌ꎺ 평2002쓪12퓂뗄ꎥ짏짽훁2004쓪7퓂뗄%ꎬ듋뫳돖탸쿂붵훁2006쓪3퓂뗄%ꎬ좻뫳폖돖탸짏짽훁2007쓪5퓂뗄ꎥꎬ헢튻쪱웚퇫탐욵랱킡럹뗷헻쏻틥샻싊ꆣퟔ2007쓪6퓂훁뷱ꎬ컒맺춨믵엲헍싊늻뛏짏짽ꎬ평2007쓪6퓂뗄%짏짽훁2008쓪2퓂뗄%ꎬ캪듋ꎬ쏻틥샻싊틑뺭뷸탐쇋뛠듎뗷헻ꎬ믵뇒헾닟틑폐쫊뛈뇤캪듓뷴ꎬ틔뿘훆춨믵엲헍뗄뷸튻늽짏짽ꆣ헽쫇본폚컒맺쏻틥샻싊폫춨헍횮볤헢훖럇쿟탔럇뛔돆뗄뗷헻ꎬ놾컄펦폃럇닎쫽킭헻볬퇩 (Breitungꎬ2002)ꎬ볬퇩컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚럇쿟탔킭헻ꎬ죴듦퓚럇쿟탔킭헻맘쾵ꎬ퓲틢캶ퟅ컒맺듦퓚죵뗄럑톩킧펦ꆣ Breitung춨맽Monte Carlo럂헦쪵퇩횤쏷ꎬ럇닎쫽킭헻볬퇩늻뷶뇈Johansen 킭헻볬퇩뻟폐룼뫃뗄킡퇹놾탔훊ꎬ뛸쟒뻟폐룼룟뗄볬퇩쫆(test power)뫍룼킡뗄쮮욽얤쟺(size distortions)ꆣ쳘뇰뗘ꎬ헢훖럇닎쫽킭헻볬퇩쫊폃폚뇤솿볤뿉쓜듦퓚뗄럇쿟탔(떫럇쿟탔탎쪽캴횪뗄)킭헻맘쾵ꎬ뛔폚놾컄뛸퇔ꎬ평폚컒맺뗄쏻틥샻싊뫍춨헍싊퓚횱맛짏돊쿖돶쿔훸뗄럇쿟탔럇뛔돆뗄뗷헻ꎬ틲듋놾컄훷튪펦폃럇닎쫽킭헻볬퇩ꆣBreitung쯹쳡돶뗄럇닎쫽킭헻볬퇩ꎬ횼퓚붨솢튻룶늻틀삵폚닎쫽튲늻틀삵폚쒣탍짨뚨뗄볬퇩춳볆솿ꎬ컒쏇뛔폚뛾캬쿲솿′Z=(R,π)ꎬ볇췋뮯좷뚨탔돉럝뗄닐닮럖뇰캪ꎺ tttˆˆˆ u=(u,u)' () tRtπt웤훐ˆˆu뫍u럖뇰캪뇤솿R뫍π췋뮯쟷쫆(폃Z뛔뷘뻠쿮뫍쪱볤쟷쫆쿮벴Rtπtttt′d=1,t뷸탐OLS믘맩)뛸뗃떽뛾캬뗄닐닮쿲솿ꆣ뷸튻늽ꎬ믹폚닐닮쿲솿릹돉닐닮볤[]t뗄쿠맘헳A뫍늿럖뫍횮볤뗄쿠맘헳B뻘헳 TT72
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 Tˆˆ′A=u () T∑tt=1Tˆˆ′B=SS () T∑tt=1늻쓑뾴돶ꎬA뫍B뚼쫇2×2캬뗄뻘헳ꎬ벴 TTTT2ˆˆuu∑Rt∑Rtπtt=1t=1A= () TTT2ˆˆˆuuu∑∑πtRtπtt=1t=1tt2ˆˆuu∑Rj∑RjπjTj=1j=1B= () T∑ttt=12ˆˆˆuuu∑π∑jRjπjj=1j=1−1뚨틥M=ABꎬBreitung(2002)쳡돶뗄럇닎쫽킭헻볬퇩춳볆솿헽쫇M뗄쳘헷룹TTTT횮뫍ꎬ쟳뷢M뗄쳘헷룹뗈볛폚쟳뷢랽돌()뗄뷢ꎺ T λB−A=0 () jTT볇랽돌′()뗄뷢캪′λ=(ηAη)(ηBη)ꎬ웤훐η쫇쳘헷횵λ쯹뛔펦뗄쳘헷쿲jjTjjTjjj솿ꆣBreitung믹폚짏쫶쯹쳡돶뗄럇닎쫽킭헻볬퇩춳볆솿캪ꎺ q2Λ=Tλ () q∑jj=1웤훐λ≤λ≤⋅⋅λ쫇내듳킡쮳탲업쇐뗄M뗄q(q=n−rꎬn(=2)캪뇤솿뗄룶쫽ꎬ12qTr캪럇쇣뗄쳘헷룹벴킭헻룶쫽ꆣ헢튻볬퇩뗝맩뗘볬퇩풭볙짨ꎺr=0ꎬr=1,…,r=n−1ꆣ춬쪱ꎬ늢뢨횮틔닎쫽탍Johansen쿟탔킭헻볬퇩ꎬ웤볬퇩뷡맻쇐죫뇭ꆣ 73
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뇭 킭헻볬퇩뷡맻 탩쓢볙짨 럇닎쫽킭헻볬퇩 Johansen킭헻볬퇩 ퟮ듳쳘헷횵 벣춳볆솿 5%쿔훸탔쮮욽쿂뗄쇙뷧횵 HΛ q0r=0 ** r≤1 힢ꎺr뇭쪾킭헻맘쾵뗄룶쫽ꎬr=0뇭쪾늻듦퓚킭헻맘쾵ꎬr≤1뇭쪾훁짙듦퓚튻룶킭헻맘쾵ꆣ**쫇횸퓚5%뗄쿔훸탔쮮욽짏뻜뻸풭볙짨ꆣ떱럇닎쫽킭헻볬퇩횵Λ듳폚쿠펦뗄쇙뷧횵(볻Breitungꎬq2002)쪱ꎬ퓲뻜뻸풭볙짨ꆣ 뇭훐ꎬ뛔폚풭볙짨r=0ꎬ볆쯣뗄Λ=ꎬ룸뚨쿔훸탔쮮욽5%ꎬ뛔펦뗄q쇙뷧횵캪(Breitungꎬ2002ꎬ쿂춬)ꎬ평폚Λ=>ꎬ틲듋컒쏇뻜뻸r=0ꆣq뷸튻늽ꎬ뛔폚풭볙짨Hꎺr≤1ꎬ볆쯣뗄Λꎽꎬ킡폚웤뛔펦뗄쇙뷧횵ꎬ틲0q듋뷓쫜풭볙짨r≤1ꆣ평듋닺짺놾컄ퟮ캪훘튪뗄뷡싛ꎺ 컒맺쏻틥샻싊폫춨헍횮볤듦퓚럇쿟탔킭헻맘쾵ꎬ튲뻍쫇쮵ꎬ컒맺쏻틥샻싊폫춨헍싊횮볤훁짙듦퓚죵뗄럑톩킧펦ꆣ헢튻뷡싛쮵쏷ꎬ2007쓪퇫탐캪컈뚨춨헍풤웚쯹닉좡뗄뗷쾢헾닟ꎬ늻뷶뻟폐샭싛틀뻝ꎬ튲붫닺짺쿠펦뗄킧펦ꆣ 듓뇭뮹뿉틔뾴돶ꎬ믹폚Johansen쿟탔닎쫽탍킭헻볬퇩뗄뷡싛쫇늻듦퓚킭헻맘쾵ꎬ틠벴늻듦퓚럑톩킧펦ꆣ헢샠뷡싛듓룹놾짏업돽쇋컒맺춨헍폫쏻틥샻싊뗄뺭볃맘쾵ꎬ튲럱뚨쇋퇫탐캪컈뚨춨헍풤웚뛸뗷헻샻싊쯹닺짺뗄킧펦ꎬ틲듋헢퇹뗄뷡싛컞싛듓샭싛짏뮹쫇컒맺뗄쪵볹짏뾴ꎬ뚼쫇늻헽좷ꆣ 탨튪쮵쏷뗄쫇ꎬ짏쫶뷩짜쇋솽훖럇닎쫽킭헻볬퇩랽램ꎬ뛸놾컄횻놨룦쇋Breitung뗄럇닎쫽킭헻볬퇩ꎬ쎻폐놨룦돶Bierens뗄럇닎쫽킭헻볬퇩뷡싛ꆣ헢훷튪쫇평폚Bierens뗄럇닎쫽킭헻랽램짨볆떽좨몯쫽뗄톡퓱ꎬ헽죧Bierens횸돶ꎬ좨몯쫽뗄톡퓱쎻폐캨튻탔ꎬ틲듋룃랽램뗄볬퇩뷡싛뿉쓜믡평폚좨몯쫽뗄톡퓱늻떱뛸쪹볬퇩뷡싛늻컈붡ꆣ틲듋ꎬ놾컄캪쇋뇜쏢좨몯쫽뗄톡퓱ꎬ뛸닉폃쇋Breitung뗄럇닎쫽킭헻볬퇩랽램살뛔놾컄뗄쫽뻝뷸탐쇋쪵횤볬퇩ꎬ늢뢨횮틔닎쫽탍뗄Johansen킭헻볬퇩ퟷ캪뇈뷏ꆣ 74
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 킡뷡 본폚뾼달컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦ꎬ쫗쿈튪볬퇩헢솽룶럇욽컈뇤솿횮볤쫇럱듦퓚킭헻맘쾵ꆣ틲듋놾헂퓚뷩짜쇋킭헻뗄룅쓮뫳ꎬퟅ훘뷩짜쇋뒫춳뗄닎쫽탍킭헻볬퇩랽램ꎬ벴EG솽늽램뫍Johansen킭헻볬퇩랽램ꆣ평폚닎쫽탍킭헻볬퇩듦퓚뗄늻ퟣ횮뒦ꎬ죧EG솽늽램평폚닎쫽맀볆뗄욫컳뫍킭헻맘쾵뗄캨튻탔볬퇩뗄뻖쿞ꎬJohansen킭헻볬퇩랽램듦퓚볬퇩쒣탍뗄듭컳짨뚨컊쳢ꆢ훍뫳뷗뗄톡퓱컊쳢ꆢ킭헻쿲솿뗄쪶뇰틔벰탩볙킭헻뗈컊쳢ꆣ폚쫇ꎬ놾컄믹폚짏쫶닎쫽탍킭헻볬퇩랽램듦퓚뗄좱쿝ꎬ틽죫쇋럇닎쫽킭헻볬퇩랽램ꎬ벴Bierens뗄럇닎쫽킭헻볬퇩뫍Breitung뗄럇닎쫽킭헻볬퇩ꆣ캪쇋뇜쏢뻟쳥닎쫽짨뚨볬퇩쒣탍뫍닎쫽뗄욫컳맀볆틔벰훍뫳뷗뗄톡퓱ꎬBierens뫍Breitung믹폚늻춬뗄퇐뺿랽램쳡돶쇋럇닎쫽킭헻볬퇩ꆣ헢솽훖럇닎쫽킭헻볬퇩뗄볬퇩쮼쿫뫍Johansen킭헻볬퇩쿠춬ꎬ뚼쫇믹폚릹퓬뗄뻘헳ꎬ믹폚쒳룶탐쇐쪽뗄쳘헷횵뗄뷢살릹퓬웤춳볆솿ꆣ쯹늻춬뗄쫇ꎬ릹퓬뻘헳뗄랽램늻춬ꎬBierens랽램쿠뛔뢴퓓ꎬ믹폚쒳훖볙짨쳵볾쿂뗄쯦믺뻘헳ꎬ쟳돶쳘헷횵뗄폐탲뷢ꎬ믹폚ퟮ킡쳘헷횵살뷸탐볬퇩ꎬ늢룸돶쇋뻟쳥뗄킭헻쿲솿룶쫽뗄맀볆ꆣ뛸Breitung뗄럇닎쫽킭헻볬퇩퓲쿠뛔볲떥ꎬ믹폚췋뮯쟷쫆뫳뗄닐닮탲쇐살릹퓬뻘헳ꎬ룹뻝쟳돶뗄쳘헷횵뗄폐탲뷢살릹퓬웤볬퇩춳볆솿ꆣퟮ뫳ꎬ놾컄믹폚컒맺쏻틥샻싊뫍춨믵엲헍싊뗄쫽뻝쳘헷ꎬ놨룦쇋Breitung뗄럇닎쫽킭헻볬퇩뫍Johansen뗄닎쫽탍킭헻볬퇩뗄볬퇩뷡맻ꆣ볬퇩뷡맻뇭쏷ꎬ컒맺쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄킭헻맘쾵ꆣ 75
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 5 컒맺럑톩킧펦뗄럇닎쫽맀볆 퓚잰튻헂ꎬ놾컄뛔컒맺쏻틥샻싊뫍춨믵엲헍싊뗄퇹놾쫽뻝ꎬ뷸탐럇닎쫽킭헻볬퇩뫍Johansen뗄닎쫽킭헻볬퇩ꎬ뷡맻뇭쏷ꎬ컒맺쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄킭헻맘쾵ꆣ헢틢캶ퟅ컒맺쏻틥샻싊폫춨믵엲헍싊횮볤늢늻듦퓚볲떥뗄쿟탔뗄튻튻뛔펦뗄뗷헻맘쾵ꎬ뛸듦퓚럇쿟탔뗄뗷헻믺훆ꎬ헢튲뷸튻늽춨맽쪵횤볬퇩횤쪵쇋죧춼쯹쪾뗄럇쿟탔쳘헷ꆣ떫믹폚쿟탔짨뚨뗄볬퇩쒣탍뫍맀볆뿉쓜믡평폚뛔럇쿟탔틲쯘뗄뫶쫓뛸닺짺욫컳ꎬ떼훂웤볬퇩뷡싛뗄늻컈붡탔뫍듭컳뗄뷢쫍ꆣ 본폚뫜쓑짨뚨뻟쳥쟒뺫좷뗄럇쿟탔쒣탍살뿌뮭쏻틥샻싊폫춨믵엲헍싊횮볤뗄헢훖럇쿟탔뗷헻맘쾵ꎬ폚쫇놾헂붫뷸튻늽뛔컒맺쏻틥샻싊뫍춨믵엲헍싊붨솢럇닎쫽쒣탍ꆣ붨솢럇닎쫽쒣탍살맀볆럑톩킧펦쾵쫽ꎬ훷튪쫇믹폚벸뗣뾼싇ꎬ웤튻ꎬ짏쫶뗄닎쫽킭헻볬퇩뫍럇닎쫽킭헻볬퇩뗄뷡맻뷸튻늽횤쪵쇋죧춼쯹쿔쪾뗄뿉쓜듦퓚뗄럇쿟탔맘쾵ꎬ컒맺쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵쫇뢴퓓뗄ꎬ늢늻쫇볲떥뗄쿟탔뗷헻맘쾵ꆣ웤뛾ꎬ쿖쪵뺭볃쫇튻룶뢴퓓뗄쾵춳ꎬ뛔폚쏻틥샻싊뫍춨믵엲헍싊헢솽룶훘튪뗄뫪맛뺭볃뇤솿횮볤뗄맘쾵ꎬ뫜쓑폃뻟쳥쟒뺫좷뗄쿟탔믲럇쿟탔쒣탍살볓틔뿌뮭ꎬ뛸쟒죋캪듭컳짨뚨뗄닎쫽쒣탍붫믡떼훂듭컳뗄뷢쫍ꆣ웤죽ꎬ벴쪹뿉틔헽좷짨뚨쿟탔믲럇쿟탔뗄닎쫽쒣탍ꎬ뮹튪쏦쇙뺫좷맀볆쒣탍훐뗄닎쫽컊쳢ꎬ닎쫽뗄맀볆맽돌훐뿉쓜믡떼훂퇏훘뗄욫컳ꎬ듓뛸떼훂듭컳뗄뷡싛ꆣ틲듋ꎬ캪쇋뇜쏢평폚쒣탍뗄듭컳짨뚨뫍닎쫽뗄맀볆욫컳컊쳢ꎬ놾헂붫붨솢럇닎쫽쒣탍살뛔럑톩랽돌뷸탐맀볆ꆣ럇닎쫽믘맩쒣탍볙뚨뺭볃뇤솿횮볤뗄맘쾵캴횪ꎬ탨튪뛔헻룶믘맩몯쫽볓틔맀볆ꎬ뛸늻쫇죧닎쫽쒣탍쓇퇹쫗쿈짨뚨뇤솿횮볤뗄쿟탔믲럇쿟탔탎쪽ꎬ좻뫳퓙뛔웤뷸탐닎쫽맀볆ꎬ헢퇹뻍뿉틔뇜쏢평폚죋캪뗄쒣탍듭컳짨뚨뛸닺짺듭컳뗄뷡싛ꆣ뛸쟒웤믘맩몯쫽맘폚룷뷢쫍뇤솿뗄떼쫽퓚늻춬쪱웚뗄뇤뮯뿉랴펳뺭볃뷡릹뗄뗷헻맽돌ꎬ뮹뿉폃폚돋쫽럖컶뫍떯탔럖컶뗈ꆣ헽쫇평폚럇닎쫽쒣탍폐훮뛠폅뗣ꎬ뷼쓪살뗃떽쇋맣랺뗄펦폃ꆣ 76
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 럇닎쫽쒣탍뗄맀볆랽램 죴놻뷢쫍뇤솿Y뫍뷢쫍뇤솿X횮볤뗄맘쾵뢴퓓ꎬ뫜쓑폃뻟쳥짨뚨뗄쿟탔믲럇쿟탔닎쫽쒣탍살맀볆헢뛾헟횮볤뗄맘쾵쪱ꎬ뿉틔붨솢럇닎쫽쒣탍살뷸탐뾼달ꆣ룸뚨퇹놾맛닢횵(Y,X),(Y,X),",(Y,X)ꎬ뿉붨솢럇닎쫽쒣탍ꎺ 1122nn Y=m(X)+u i=1,",n () iii웤훐m(i)쫇캴횪몯쫽ꎬ럇닎쫽랽램뛔헢튻몯쫽탎쪽m(i) (쿟탔믲럇쿟탔탎쪽)늢늻ퟶ돶죎뫎볙짨ꎬ뛸쫇춨맽퇹놾쫽뻝놾짭살맀볆헢룶몯쫽ꎬ헢뿉틔퓚튻뚨돌뛈짏뇜쏢쒣탍뗄듭컳짨뚨컊쳢ꎻu쫇쯦믺컳닮쿮ꎬ쯼뗄몬틥폫뺭뗤쒣탍훐뗄컳닮쿮쫇쿠춬뗄ꎬt벴냼몬쇋돽뷢쫍뇤솿췢웤쯻펰쿬놻뷢쫍뇤솿뗄뿉맛달믲늻뿉맛달뗄틲쯘뛔놻뷢쫍뇤솿뗄펰쿬틔벰쒣탍뗄짨뚨컳닮뗈ꆣ 뫋맀볆랽램 Nadaraya(1964)벰Watson (1964)쳡돶훸쏻뗄Nadaraya-Watson뫋맀볆ꆣ웤맀볆뗄쮼슷죧쿂ꎺ톡뚨풭뗣뛔돆뗄룅싊쏜뛈몯쫽K(⋅)ꎬ K(u)du=1 () ∫K(u)캪뫋몯쫽벰뒰뿭h>0ꎬ뚨틥뫋좨몯쫽캪ꎺ nK(X−x)hin W(x)= () ninK(X−x)∑hjnj=1−1−1웤훐K(u)=hK(uh)튲쫇튻룶룅싊쏜뛈몯쫽ꆣNadaraya-Watson 뫋맀볆뚨틥hnnn캪ꎺ n mˆ(x)=W(x)Y () n∑niii=1죝틗췆뗃ꎺ 77
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 nn22 minWˆ(x)(Y−θ)=W(x)(Y−m(x)) () ∑nii∑niinθi=1i=1 뿉볻ꎬ뫋맀볆뗈볛폚뻖늿볓좨ퟮ킡뛾돋맀볆ꎬ웤뫋탄쮼쿫훷튪쫇뛔뒰뿭랶캧쓚뗄Y뷸탐볓좨욽뻹ꆣ룹뻝맀볆뗄탨튪ꎬ뿉틔톡퓱늻춬뗄뫋몯쫽ꎬ떱좻ꎬ늻춬뗄뫋몯쫽틢i캶ퟅ룷Y쯹믱뗃뗄좨훘폐쯹늻춬ꎬ뎣볻뗄뫋몯쫽폐ꎺ뻹퓈뫋K(u)=(|u|≤1)ꆢ룟i01115222쮹뫋K(u)=exp(−u)ꆢ죽뷇탎뫋(1−u)I(u≤1)ꆢ쮫좨뫋(1−u)(u≤1)ꆢ11/2(2π)21635232죽좨뫋(1−u)I(u≤1)뫍Epanechnikov뫋믲엗컯쿟뫋K(u)=(1−u)ꆣ 2+ 뻖늿쿟탔맀볆랽램 뻖늿쿟탔맀볆쫇횸뛔실퓚[x−h,x+h]뗄X폫웤뛔펦뗄Y뷸탐볓좨ퟮ킡뛾돋맀nnii볆ꎬ떱X풽뷓뷼x쪱ꎬ뛔펦Y뗄좨쫽뻍풽듳ꎬ랴횮ꎬ퓲풽킡ꆣ폚쫇ꎬ뻖늿쿟탔맀볆캪iiퟮ킡뮯 n2′{Y−m(x)−m(x)(X−x)}K(X−x) () ∑iihini=1−1−1웤훐K(u)=hK(hu),K(⋅)캪룅싊쏜뛈몯쫽ꆣퟮ킡뮯()뿉틔쟳돶캴횪몯쫽뫍hnnn떯탔쾵쫽뗄뷢ꎬ벴m(x)뗄뻖늿쿟탔맀볆뗄뻘헳뇭쪾캪 TT−1Tmˆ(x,h)=e(XWX)XWY () nn1xxxxx TTT웤훐e=(1,0),X=(X,",X),X=(1,(X−x))ꎬ 1xx,1x,nx,iiTW=diag{K(X−x),",K(X−x)}ꎬY=[Y,",Y]ꆣ헢샯뷩짜뗄횻쫇튻훖볲떥쟩xh1hn1nnn탎ꎬ뿉틔퓚맀볆몯쫽뗄춬쪱ꎬ맀볆돶떯탔쾵쫽ꎬ틲듋뿉틔뷸탐뺭볃뷡릹럖컶뫍떯탔럖컶ꆣ쪵볊짏ꎬ뮹뿉틔룹뻝뛔캴횪몯쫽뗄룟뷗첩샕햹뾪ꎬ폃뻖늿쿟탔맀볆살뗃돶떼몯쫽뗄룟뷗맀볆ꎬ헢샯늻뷸탐쿪쫶ꆣ 78
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 떱뷢쫍뇤솿쫇럇뻹퓈럖늼쪱ꎬ닉폃뇤뒰뿭뻖늿쿟탔맀볆뿉룄뷸맀볆뗄킧싊ꆣm(x)뗄뻖늿쿟탔뇤뒰뿭맀볆캪ퟮ킡뮯 n2′{Y−m(x)−m(x)(X−x)}K(X−x) () ∑iih/α(X)inii=1웤훐α(X) 캪폫뷢쫍뇤솿뗄쏜뛈몯쫽폐맘뗄뇤뒰뿭몯쫽ꆣ i m(x)뗄뻖늿쿟탔맀볆뗄뻘헳뇭쪾캪 TT−1Tmˆ(x,h,α)=e(XWX)XWY () nn1xx,αxxx,α 웤훐W=diag{K(X−x),",K(X−x)}ꆣ춨뎣냑헢돆캪뇤뒰뿭맀x,αh/α(X)1h/α(X)nn1nn볆ꎬ튲뻍쫇쮵ꎬ뒰뿭믡쯦ퟅ뷢쫍뇤솿뗄쏜뛈몯쫽뛸룄뇤ꎬ듓뛸쓜릻퓶볓맀볆뗄뺫뛈ꆣ k-뷼쇚맀볆 짏쫶뗄뫋맀볆쫇뛔뒰뿭랶캧쓚뗄퇹놾뗣뷸탐볓좨욽뻹ꎬ룹뻝뫋좨몯쫽뗄늻춬톡퓱살뛔늻춬뗄퇹놾뗣룸폨늻춬뗄좨훘ꎻ뛸뻖늿쿟탔맀볆퓲쫇뛔뒰뿭랶캧쓚뗄퇹놾뗣뷸탐뻖늿볓좨ퟮ킡뛾돋맀볆ꆣk-뷼쇚맀볆(k-NN)튲쫇뛔x쇚뷼랶캧쓚뗄퇹놾뗣뷸탐볓좨욽뻹ꎬퟮ듳뗄늻춬뗣뻍쫇뷼쇚랶캧늢늻쿱뫋맀볆뫍뻖늿쿟탔맀볆쓇퇹쫇만뚨뗄톡퓱뒰뿭ꎬk-뷼쇚맀볆뗄뷼쇚랶캧쫇뇤뮯뗄ꆣ룼뻟쳥뗘쮵ꎬ뻍쫇폃샫xퟮ뷼뗄k룶맛닢횵X쯹뛔펦뗄Y살뷸탐볓좨욽뻹ꎬ헢뻍쫇k-뷼쇚맀볆뗄볲떥쮼쿫ꆣ iik-뷼쇚맀볆캪ꎺ n1ˆ m(x)=W(x)Y () k∑kiini=1n웤훐좨몯쫽W(x)볇캪ꎺ {}kii=1n/ki∈Jx W(x)= () ki0i∉Jx볇J={iꎺX쫇샫xퟮ뷼뗄k룶맛닢횵횮튻}ꆣ힢틢ꎬ헢샯뗄k뻍쫇k-뷼쇚맀볆뗄xi욽뮬닎쫽ꎬ죧춬뒰뿭튻퇹웰떽뗷뷚뫍뿘훆맀볆킧맻뗄ퟷ폃ꎬ헢횻쫇뫋몯쫽쫇뻹퓈뫋뗄79
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 ퟮ볲떥쟩탎ꆣ 뷼쇚뫋좨맀볆캪 nK((X−x)/R(x))Y∑iii=1mˆ (x)= () nnK((X−x)/R(x))∑ii=1웤훐R(x)=max{|X−x|:i∈J}ꆣ뿉볻ꎬk-뷼쇚뻹퓈좨맀볆쫇k-뷼쇚뫋좨맀볆ix뗄쳘샽ꆣ톡퓱늻춬뗄뫋좨몯쫽K(⋅)ꎬ퓲룹뻝뾿뷼x뗄k룶맛달횵뗄뻠샫룸폨늻춬뗄좨훘ꎬ뛔듋뷸탐볓좨욽뻹뛸뗃돶웤맀볆횵ꆣ 헽붻탲쇐맀볆 볙짨m(⋅)뿉틔놻뇭쪾캪뢵샯튶탲쇐ꎬ벴뇭쪾캪ꎺ ∞ m(x)=βϕ(x) () ∑jjj=0∞∞웤훐ϕ쫇튻룶틑횪뗄믹몯쫽ꎬβ쫇캴횪뗄뢵샯튶쾵쫽ꆣ튻떩믹몯쫽만{}{}jjj=0j=0∞뚨ꎬ퓲맀볆캴횪몯쫽m(⋅)뗄컊쳢뻍뿉틔춨맽맀볆뢵샯튶쾵쫽β살뷢뻶ꆣ믹몯쫽춨{}jj=0뎣톡퓱Laguerre뛠쿮쪽뫍Legendre뛠쿮쪽ꆣ쿔좻ꎬ늻뿉쓜룹뻝폐쿞퇹놾맛닢횵살맀볆컞쟮뗄쾵쫽ꎬ틲듋ꎬ룸뚨퇹놾듳킡캪nꎬ횻폐쾵쫽뗄튻룶ퟓ벯뿉틔놻폐킧맀볆ꆣ n캪쇋볲뮯뇭쫶ꎬ컒쏇볙뚨X뇤솿놻뚨틥퓚쟸볤−1,1짏쟒뷸탐n뗈럖좡횵Xꎬ[]{}ii=1nn맛닢횵Y뛔펦폚X뷸탐좡횵ꆣ짨믹몯쫽쾵춳ϕ퓚쟸볤−1,1짏릹돉튻룶헽{}{}{}[]iiji=1i=1붻믹ꎬ벴ꎺ 10,j≠k ϕ(x)ϕ(x)dx=δ= () jkjk∫−11,j=k쓇쎴뢵샯튶쾵쫽β뻍뿉틔춨맽쿂쪽살볆쯣ꎺ j80
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 ∞ β=βδ ∑jkjkk=0∞1 =βϕ(x)ϕ(x)dx ∑kjk∫−1k=01 =m(x)ϕ(x)dx () j∫−1n쇮A쫇쟸볤−1,1짏튻쾵쇐늻쿠붻뗄쟸볤ꎺ {}[]ii=1n A=−1,1 []∑ii=1쟒X∈Aꎬi=1,"nꎬ죴붫쟸볤A벯훐폚Xꎬ폚쫇뿉틔뗃돶ꎺ iiiin β=m(x)ϕ(x)dx ∑jj∫Aii=1n ≈m(X)ϕ(x)dx () ∑ij∫Aii=1춨맽뛔m(X)닥죫쿠펦뗄Yꎬ컒쏇뿉틔뗃돶β뗄맀볆ꎺ iijnˆ β=Yϕ(x)dx () ∑jij∫Aii=1틲듋ꎬ럇닎쫽믘맩몯쫽m(⋅)뗄헽붻탲쇐맀볆뻍뿉틔뷼쯆캪ꎺ N(n)ˆmˆ (x)=βϕ(x) () N∑ijjj=0헢튲쫇뛔뇤솿Y뷸탐볓좨욽뻹ꎬ좨몯쫽캪ꎺ N(n)mˆ (x)=nϕ(u)duϕ(x) () Ni∑jj∫Aij=0헢샯뗄욽뮬닎쫽뻍쫇N(n)ꎬ벴뢵샯튶쾵쫽뗄룶쫽ꆣ 춨뎣ꎬ뛔럇닎쫽믘맩몯쫽m(⋅)뷸탐헽붻탲쇐맀볆쪱ꎬ폐죽룶늽훨ꎺ 81
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 (1)톡퓱믹몯쫽ϕ(x)ꆣ j(2)톡퓱Nꎬ쟒N쫇킡폚n뗄헻쫽ꎬ벴튪맀볆뗄뢵샯튶쾵쫽β뗄룶쫽ꎬn쫇퇹놾j뗄듳킡ꆣ ˆ(3)맀볆돶N룶뢵샯튶쾵쫽βꎬ듓뛸믱뗃m(⋅)뗄맀볆ꆣ 퇹쳵맀볆 퓚맀볆럇닎쫽믘맩쒣탍쪱ꎬ뾼싇냑닐닮욽랽뫍(RSS)ퟷ캪믘맩몯쫽m(⋅)뛔쫽뻝뗄쓢뫏폅뛈뗄튻룶뇪ힼꎬ폚쫇닺짺쇋퇹쳵맀볆랽램ꆣ닐닮욽랽뫍뚨틥캪ꎺ n2 RSS=Y−m(X) () {}∑iii=1죴뚨틥몯쫽m(X)=Yꎬi=1,"nꎬ뷶뷶춨맽듺죫쫽뻝살ퟮ킡뮯닐닮욽랽뫍ꎬ뛸ii늢늻뾼싇떽쫽뻝훐뿉쓜돶쿖뗄죎뫎뷡릹ꆣ뛸퇹쳵맀볆춨맽볓죫튻룶컈뚨쿮살m(⋅)훐뗄럇욽뮬뷡릹뷸탐돍랣ꎬ뚨틥돍랣쿮ꎺ 22′′ m′′=m(x)dx () {}2∫폚쫇ꎺ mˆ =argminS(m) () λλm웤훐ꎺ n22′′ S(m)=Y−m(X)+λm () {}λ∑ii2i=12욽뮬닎쫽λ뿘훆쇋퓚ퟮ킡뮯맽돌훐룸폨돍랣쿮뗄좨훘ꎬλ풽듳ꎬ퓲룸폨m′′뗄2좨훘뻍풽듳ꎬ쓢뫏쿟풽맢뮬ꆣ죴λ→0ꎬmˆ(i)뷶뷶맛닢횵Y뗄튻훖닥죫ꎻ죴λ→∞ꎬλ퓲mˆ(i)뻍쟷쿲폚튻룶쿟탔몯쫽ꆣ λ닐닮욽랽뫍캪ꎺ 82
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 n2T RSSY−m(X=(Y−m)(Y−m) () {}∑(i)(i)i=1T웤훐Y=(Y,"YꎬY쫇뛔펦폚X뗄맛닢횵ꎬ뛸쟒ꎺ (1)(n)(i)(i)T m=(m(X,"m(X) () (1)(n)죴m(i)쫇쟸볤X,X짏뗄럖뛎솢랽뛠쿮쪽ꎬ쓇쎴돍랣쿮뿉틔뇭쪾캪ꎺ (i)(i+1)2T m′′(x)dx=mKm () {}∫웤훐뻘헳K뿉틔놻럖뷢캪ꎺ −1T K=QRQ () 헢샯뗄Q뫍R쫇뒰뿭릹돉뗄뻘헳ꎬh=X−XꆣQ쫇튻룶n×(n−1)뻘헳ꎬ쟒i(i+1)(i)뻘헳풪쯘캪ꎺ 1111 q=−ꎬ q=−−ꎬ q=− j−1,jjjj+1,jhhhhj−1j−1j−1j떱i−j>1ꎬq=0ꆣR쫇튻룶뛔돆뗄(n−1)×(n−1)뻘헳ꎬ뻘헳풪쯘캪ꎺ ij11 r=(h+h)ꎬ r=r=h jjj−1jj,j+1j+1,jj36떱i−j>1ꎬr=0ꆣ틲듋뿉틔뗃돶ꎺ ij−1ˆ m=(I+λK)Y () λ웤훐I쫇n캬뗄떥캻헳ꆣ컒쏇뿉틔뾴돶ꎬ퇹쳵맀볆쫇Y뗄쿟탔맀볆ꎬ듦퓚좨몯쫽iW(x)ꎬ틲듋ꎺ λin1 mˆ (x)=W(x)Y () λ∑λiini=1퓚퇹쳵맀볆뗄맽돌훐ꎬ욽뮬닎쫽λ뿘훆쇋럇닎쫽믘맩쒣탍뗄맀볆킧맻ꆣ퓚쪵볊펦폃훐뇘탫늻뛏뗄뗷헻λꎬ횱떽헒떽싺틢뗄뷢캪횹ꆣ쯹틔ꎬ듦퓚튻룶컊쳢ꎺퟮ병뗄욽뮬닎쫽λ죧뫎톡퓱ꎿ뛔폚룃컊쳢뿉닉폃죧쿂뗄맣틥붻듭본뚨램톡퓱ퟮ병λꆣ쫗쿈ꎬ평뷢83
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 mˆ(⋅)뗃떽뻘헳H: λλTmˆXˆ((),",m(X))=HY () λ1λnλ웤듎ꎬ쟳λꎬ쪹뗃 n−22ˆ[tr(I−H)][Y−m(X)] () λ∑iλii=1듯떽ퟮ킡ꆣ 퓚짏쫶뷩짜뗄벸훖럇닎쫽맀볆훐ꎬ뫋맀볆ꆢ뻖늿쿟탔맀볆뫍뷼쇚맀볆뚼쫇뻖늿맀볆랽램ꎬ뛸헽붻탲쇐맀볆뫍퇹쳵맀볆뚼쫇좫뻖맀볆랽램ꆣ헢샯횻쫇볲떥뷩짜쇋벸훖럇닎쫽믘맩쒣탍뗄맀볆랽램ꎬ퓚뻟쳥맀볆맽돌훐ꎬ튪룹뻝퇹놾쫽뻝뗄쳘헷뫍맀볆뗄탨튪ꎬ톡퓱늻춬뗄맀볆랽램ꆣ쳘뇰쫇ꎬ룷훖맀볆랽램뚼짦벰떽욽뮬닎쫽뗄톡퓱ꎬ죧뒰뿭뫍좨몯쫽뗄톡퓱뗈ꆣ 컒맺럑톩킧펦뗄럇닎쫽맀볆 본폚놾컄훷튪쫇튪맀볆럑톩킧펦쾵쫽뗄쒿뗄ꎬ쯹틔톡퓱퓋폃뇤뒰뿭뻖늿쿟탔맀볆ˆ살쟳돶럇닎쫽몯쫽횵뫍죧잰쯹쫶뗄β(벴쎿튻웚쏻틥샻싊뛔춨믵엲헍뇤뮯뗄뗷헻쾵ˆ쫽)ꆣퟮ훘튪뗄쫇ꎬ헢샯쟳돶뗄뗷헻쾵쫽β퓚쎿튻웚뚼쫇늻춬뗄ꎬ튲뻍쫇쮵ꎬ쏻틥샻싊퓚쎿튻웚뛔폚춨믵엲헍뗄뇤뮯뗄뗷헻쾵쫽뚼쫇늻쿠춬뗄ꆣ헽쫇믹폚헢튻훘튪쳘헷ꎬˆ컒쏇뿉틔룹뻝맀볆뗄β살뾼달컒맺쫇럱듦퓚럑톩킧펦ꎿ죴듦퓚뗄뮰ꎬ쓇쎴쫇췪좫뗄럑톩킧펦뮹쫇죵뗄뗄럑톩킧펦ꎿ 럑톩랽돌뛔펦뗄럇닎쫽믘맩쒣탍죧쿂ꎺ R=m(π)+u t=1,2,…,218 () ttt웤훐ꎬR캪쏻틥샻싊ꎬπ캪춨믵엲헍싊ꆣ놾컄닉폃뇤뒰뿭뻖늿쿟탔맀볆살맀볆짏tt쫶뗄럇닎쫽쒣탍ꎬ헢쫇평폚룃맀볆랽램늻뷶쓜맀볆돶캴횪뗄몯쫽횵mˆ(i)ꎬ뛸쟒뮹춬쪱84
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 ˆ맀볆돶캴횪몯쫽맘폚뷢쫍뇤솿뗄떼몯쫽mˆ′(i)ꎬ헢헽쫇컒쏇튪맀볆뗄뗷헻쾵쫽βꆣ뻖늿쿟탔맀볆뗄훷튪쮼쿫쫇뻖늿볓좨욽뻹ꎬ퓚맀볆뗄맽돌훐ꎬ짦벰떽뒰뿭뫍뫋좨몯쫽뗄2톡퓱ꎬ쪹뻹랽컳닮MSEmˆi=Varmˆi+Biasmˆ{()}{()}[{(i)}]듯떽ퟮ킡ꆣ웤훐뒰뿭뗄ퟷ폃훷튪쫇뿘훆닎볓뻖늿맀볆뗄퇹놾뗣뗄뛠짙ꎬ첫듳뗄뒰뿭믡쪹뗃맀볆뗄쟺쿟맽폚맢뮬ꎬ뷓뷼폚튻쳵횱쿟ꎬ헢퇹뗄맀볆쎻폐틢틥ꎻ첫킡뗄뒰뿭믡쪹뗃쯦믺컳닮쿮닺짺뗄퓫틴쎻폐놻업돽ꎬ뗃돶튻쳵맽폚듖닚뗄쟺쿟ꎬ춬퇹튲믡떼훂컞틢틥뗄맀볆ꆣ좨몯쫽뗄ퟷ폃훷튪쫇뛔폚뒰뿭랶캧뗄퇹놾쫽뻝뗣뷸탐볓좨ꎬ톡퓱늻춬뗄좨몯쫽ꎬ퓲늻춬뗄퇹놾뗣믱뗃늻춬뗄좨훘ꎬ웤맀볆뗄뷡맻튲믡늻춬ꆣ틲듋ꎬ컒쏇퓚맀볆뗄쪱뫲ꎬ튪톡퓱뫏쫊뗄뒰뿭뫍좨몯쫽ꎬ뺡솿쪹뻹랽컳닮듯떽ퟮ킡ꎬ쪹럇닎쫽맀볆뺫좷쟒폐틢틥ꆣ 뾼달춼늻쓑랢쿖ꎬ퓚늻춬뗄쟸볤(믲ퟓ퇹놾ꎬ틔쿂볲돆캪뻖늿)ꎬ쏻틥샻싊폫춨헍싊돊쿖돶늻춬뗄럇쿟탔맘쾵ꎬ틲뛸늻뿉쓜폃튻룶럇쿟탔몯쫽살뿌뮭헢훖맘쾵ꆣ믹폚듋ꎬ럇닎쫽뻖늿쿟탔맀볆쫗쿈쫇붫m(i)쪹폃첩샕튻뷗햹뾪뛸뷸탐뻖늿쿟탔뮯ꎬ벴뛔뒰뿭랶캧쓚(뻖늿)뗄퇹놾쫽뻝뷸탐볓좨ퟮ킡뛾돋맀볆(볇β=m′(π)ꎬβ=m(π))ꎬ벴ꎺ 0t1tn2 minR−β−β(π−π)K(π−π) () {}∑i01ith/α(π)tniβi=1웤훐K(i)쫇뫋몯쫽ꎬ놾컄톡폃뗄쫇Epanechnikov 뫋ꎬ벴2−1−1K(u)=(1−u)I(|u|≤1)ꎬ뫋좨몯쫽캪K(π−π)=hK(π−π)h)ꎬ웤훐htivtivvh=h/α(π)캪뿉뇤뒰뿭ꎬα(π)캪뷢쫍뇤솿뫋쏜뛈몯쫽맀볆ꎬh쫇퓚맀볆돌탲훐톡좡vii뗄뒰뿭ꆣ뫜쏷쿔ꎬ뇤뒰뿭(h)쫇횸뒰뿭믡쯦ퟅ뷢쫍뇤솿뗄뫋쏜뛈몯쫽α(π)뛸뇤뮯ꆣ vi 믹폚쪽()뿉틔뾴돶ꎬ뻖늿쿟탔맀볆뻍쫇뛔뒰뿭랶캧쓚뗄퇹놾쫽뻝뷸탐뻖늿볓좨ퟮ킡뛾돋맀볆ꎬ죧ꎬ튪맀볆뗚t뗣뗄m(π)ꎬ퓲룹뻝뒰뿭랶캧쓚((π−h,π+h))뗄ttvtv퇹놾ꎬ내웤폫π뗣뗄뻠샫늻춬뛸뢳폨늻춬좨훘ꎬ듓듋닺짺뻖늿볓좨ퟮ킡뛾돋맀볆ꆣ쪵t쿖짏쫶맀볆쫗쿈펦쟳돶뷢쫍뇤솿뗄쏜뛈몯쫽α(π)ꎬ좻뫳믹폚쪹뻹랽컳닮i85
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 2MSEmˆˆˆ{(i)}=Var{m(i)}+[Bias{m(i)}]ퟮ킡뗄풭퓲뛸늻뛏뗷헻뒰뿭hꎬ퓚MSEퟮ킡뒦믱뗃뛔펦뗄뇤뒰뿭몯쫽h=h/α(π)ꆣ믹폚듋볆쯣돶룷퇹놾뗣뛔펦뗄β뫍β뗄뇤뒰뿭vi01뻖늿쿟탔맀볆횵캪ꎺ ˆβ0''−1' =e(ΠWΠ)ΠWR () 1ππ,απππ,αtttttˆβ1'''웤훐e=(1,0,""0)ꎬΠ=(Π""Π)ꎬΠ=(1,(π−π))ꎬ1ππ,1π,nπ,iittttt'W=diag{Kπ−),""K(−)}ꎬR=(R,R,""R)ꆣ늻쓑뾴돶, π,αh/α(π)t1h/α(π)tn12ntninˆˆ퓚()쪽훐, β벴캪뗚t룶퇹놾뗣쯹뛔펦뗄몯쫽맀볆횵, β캪뛔펦뗄떼몯쫽횵ꎬ벴캪01놾컄럖컶쯹탨뗄럑톩킧펦횵ꆣ쿔좻ꎬ짏쫶맀볆폫웕춨ퟮ킡뛾돋맀볆(OLS)뻟폐쿔훸쟸뇰ꎬ벴뇤뒰뿭뻖늿쿟탔맀볆닺짺뗄맀볆횵믡쯦ퟅ뷢쫍뇤솿π뗄뇤뮯뛸랢짺뇤뮯ꎻ뛸tOLS뷶맀볆돶튻룶닎쫽횵ꆣ믹폚컒맺쫽뻝뗄럇쿟탔쳘헷ꎬ놾컄닉폃뇤뒰뿭뻖늿쿟탔맀볆뿉틔닺짺룼볓뫏샭뗄뷡싛ꆣ뛔폚컒맺샻싊뗷헻뗄퇹놾ꎬ평()쯹볆쯣뗄럑톩킧펦쇐죫뇭 뇭 럑톩킧펦쾵쫽뗄럇닎쫽맀볆 쓪 퓂 쓪 퓂 ˆˆβ β 111990M01 1998M04 1991M04 1998M07 1993M05 1998M12 1993M07 1999M06 1995M07 2002M02 1996M05 2004M10 1996M09 2006M04 1997M11 2006M09 힢ꎺ뇭훐횻놨룦쇋샻싊뗷헻웚뛔펦뗄맀볆뷡맻ꆣ 86
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 짏쫶맀볆뷡맻뇭쏷쯹맀볆뗄럑톩쾵쫽뻹킡폚1ꎬ헢튻뷡맻뇭쏷컒맺쏻틥샻싊폫춨믵엲헍싊횮볤뗄맘쾵늢늻뻟폐럑톩볙뚨뗄튻튻뛔펦뗄췪좫뗷헻맽돌ꎬ뛸횻쫇늿럖뗷헻ꎬ뿉틔죏캪듦퓚뷏ꆰ죵ꆱ틢틥짏뗄럑톩킧펦ꎬ룃뷡싛폫듳뛠쫽맺쓚췢뺭퇩퇐뺿뗄뷡싛쫇튻훂뗄ꆣ컒맺듦퓚죵뗄럑톩킧펦ꎬ춨헍뫍풤웚뇤뮯횱뷓믲잱퓚뗄펰쿬쏻틥샻싊ꎬ튲뻍쫇쮵ꎬ컒맺춨헍싊뗄뇤뮯뛔쏻틥샻싊뗄뇤뮯뷶폐뷏죵뗄펰쿬ꆣ욽뻹뛸퇔ꎬ컒맺춨헍뇤뚯튻룶냙럖뗣ꎬ뛔쏻틥샻싊뗄욽뻹펰쿬캪룶냙럖뗣ꎬ헢튻뷡싛틾몬뗄틢틥캪ꎺ뛔폚컒맺늻뛏짏짽뗄춨믵엲헍쮮욽ꎬ퇫탐캪컈뚨춨헍풤웚쯹닉좡뗄볓쾢헾닟쫇쫊쪱뗄ꎬ펦쓜닺짺풤웚킧펦ꆣ쇭튻랽쏦ꎬ 믹폚춨헍뗄뇤뮯뗈틲쯘쫊쪱쫊뛈볓쾢ꎬ컒맺뗄믵뇒헾닟뿉틔쫊쪱뗘쿲폚틔펦폃샻싊뗷헻캪훷ꎬ틔듙뷸뺭볃컈붡뗄퓶뎤ꆣ 컒맺럑톩킧펦뗄맺볊뇈뷏 놾컄펦폃럇닎쫽떥캻룹뫍럇닎쫽킭헻볬퇩뗄뷡맻캪ꎬ컒맺듦퓚죵뗄럑톩킧펦ꎬ뷸뛸퓋폃럇닎쫽맀볆ꎬ뗃돶컒맺뗄럑톩쾵쫽뗄욽뻹횵캪ꎬ헢튻뷡맻뇭쏷컒맺쏻틥샻싊폫춨헍횮볤듦퓚럇쿟탔뎤웚컈뚨맘쾵ꎬ웤붻뮥ퟷ폃뗄킧펦욫죵ꆣ헢튻뷡맻죔폫맺볊컄쿗뻟폐뿉뇈탔ꎺPanopoulou (2005)믹폚14룶맺볒뗄벾뛈쫽뻝닉폃늻춬뗄맀볆랽램ꎬ웤뷡싛쫇듦퓚럑톩킧펦ꎬ웤훐쏀맺뗄럑톩쾵쫽캪ꎬ펢맺캪ꎬ뗂맺캪 ꎬ램맺캪ꎬ볓쓃듳캪ꎬ냄듳샻퇇캪ꎬ틢듳샻캪ꆣAtkins뫍Sun(2003)뗄뷡싛쫇쏀맺뫍볓쓃듳뻹듦퓚죵뗄럑톩킧펦ꎬ럑톩쾵쫽럖뇰캪뫍ꆣBalfoussia 뫍Wickens(2005)믹폚쏀맺뗄퓂뛈쫽뻝닺짺뗄럑톩킧펦횵캪ꆣAtkins 뫍Coe(2002)믹폚쏀맺뫍볓쓃듳뗄7훖늻춬뗄샻싊볬퇩럑톩킧펦ꎬ웤뷡싛캪ꎺ샻싊늻춬ꎬ웤뛔펦뗄럑톩킧펦횵튲늻춬ꎬ쏀맺뗄럑톩킧펦횵퓚횮볤ꎬ볓듳쓃퓚횮볤ꆣ늻쓑뾴돶ꎬ짏쫶늻춬맺볒뗄늻춬샻싊(늻춬뗄쫽뻝)뫍늻춬뗄볬퇩뫍맀볆랽램ꎬ닺짺뗄뷡싛믹놾뻟폐튻훂탔ꎬ짏쫶뷡싛폫놾컄뛔컒맺럑톩킧펦볬퇩뗄훷튪뷡싛튻훂(벴뻹듦퓚럑톩킧펦)ꎬ떫맀볆뗄럑톩쾵쫽좴늻뺡튻훂ꆣ욽뻹뛸퇔ꎬ짏쫶맺볒뗄럑톩쾵쫽횵듳폚놾컄맀볆뗄럑톩쾵쫽횵풼캪튻놶ퟳ폒ꆣ헢튻뷡87
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 맻틾몬쇋컒맺뿉틔볓듳펦폃샻싊릤뻟뗄솦뛈ꎬ쪹믵뇒헾닟뗄닙ퟷ훷튪틔쪹폃샻싊릤뻟캪훷ꎬ틔듙뷸뷰죚뫍놾쫐뎡뗄컈뚨뫍랢햹ꎬ췆뚯뺭볃돖탸퓶뎤ꆣ평듋뮹쮵쏷ꎬ뺡맜컒맺뗄샻싊죔뒦퓚쫐뎡뮯룄룯뗄뷸돌훐ꎬ떫풤웚춨헍뗄뇤뮯ꎬ웈쪹샻싊뇤뚯ꎬ쪹뗃춨헍뫍풤웚뗄춨헍틑돉캪퇫탐뗷헻샻싊뗄훘튪틲쯘, 듓헢룶틢틥짏쮵, 떱잰캪컈뚨춨헍풤웚뗄볓쾢, 붫뛔춨헍뗄컈뚨닺짺헽쏦킧펦, 죧맻볌탸쫊쪱쫊뛈뗷헻샻싊ꎬ떱잰뷏룟뗄CPI뮹늻뿉쓜뮯캪룟춨헍ꆣ뛔폚컒맺뷼웚늻뛏짏짽뗄춨믵엲헍벰웤룟춨헍풤웚ꎬ컒맺믵뇒헾닟틑뺭평컈붡뇤캪쫊뛈듓뷴뗄믵뇒헾닟ꎬ늢뢨틔쿠펦컈붡뗄닆헾헾닟ꎬ틔웚쓜릻뷢뻶떱잰뗄춨믵엲헍뫍쇷뚯탔맽쪣뗈컊쳢ꆣ 킡뷡 본폚럇닎쫽킭헻볬퇩뇭쏷뗄컒맺쏻틥샻싊폫춨믵엲헍싊횮볤뻟폐럇쿟탔뗷헻맘쾵ꎬ놾헂붨솢럇닎쫽쒣탍살늢닉폃뇤뒰뿭뻖늿쿟탔맀볆살맀볆쎿튻웚뛔펦뗄럑톩킧펦쾵쫽ꆣ웤맀볆뗄럑톩킧펦쾵쫽뻹킡폚1ꎬ욽뻹횵캪ꎬ헢틢캶ퟅ컒맺쏻틥샻싊폫춨믵엲헍싊횮볤늢늻듦퓚췪좫뗄럑톩킧펦ꎬ떫쫇듦퓚죵뗄럑톩킧펦ꎬ쟒헢뛾헟횮볤듦퓚럇쿟탔뗄뗷헻맘쾵ꆣ럑톩킧펦퇐뺿뗄맺볊뇈뷏뇭쏷ꎬ컒맺뗄럑톩킧펦쾵쫽뻹뇈랢듯맺볒뗄럑톩킧펦맀볆쾵쫽킡ꆣ헢쮵쏷컒맺믵뇒헾닟뮹펦룃볓잿쏻틥샻싊뛔폚컒맺춨믵엲헍싊벰웤풤웚뗄뇤뮯뗄뗷헻ꎬ헫뛔뷼웚늻뛏짏짽뗄춨믵엲헍쮮욽벰웤룟춨믵엲헍풤웚ꎬ퇫탐틑뺭뛠듎욵랱뗷헻쏻틥샻싊ꎬ늢쟒평컈붡뗄믵뇒헾닟쿲쇋쫊뛈듓뷴뗄믵뇒헾닟ꎬ틔놣횤컒맺뺭볃쓜릻쪵쿖컈뚨돖탸뗄퓶뎤ꆣ 88
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 6 컒맺막욱쫐뎡뗄럑톩킧펦퇐뺿 잰쏦뗄헂뷚훷튪쫇듓뫪맛뺭볃뗄뷇뛈ꎬ믹폚컒맺쏻틥샻싊뫍춨믵엲헍싊뗄퓂뛈퇹놾쫽뻝ꎬ샻폃럇닎쫽떥캻룹뫍럇닎쫽킭헻볬퇩틔벰럇닎쫽쒣탍뗄맀볆살뾼달컒맺뫪맛뺭볃훐쫇럱듦퓚럑톩킧펦ꆣ뷡싛뇭쏷ꎬ컒맺쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄뎤웚뗷헻믺훆ꎬ쟒뫪맛뺭볃훐횻쫇죵뗄럑톩킧펦ꎬ헢틢캶ퟅ컒맺쏻틥샻싊뛔춨믵엲헍믲춨믵엲헍풤웚횻쓜ퟶ돶늿럖뗄뗷헻ꎬ틲듋ꎬ뷼쓪살퇫탐뛠듎뗷헻샻싊횻쓜닺짺늿럖뗄풤웚킧펦ꆣ쓇쎴ꎬ놾헂튪첽쳖뗄컊쳢뻍쫇ꎬ듓컒맺캢맛쫐뎡뗄뷇뛈돶랢ꎬ뾼달컒맺막욱쫐뎡훐뗄막욱쫕틦폫춨믵엲헍횮볤뗄맘쾵죧뫎ꎿ컒맺막욱쫐뎡훐듦퓚럑톩킧펦ꎿ뮹쫇튲듦퓚맺볊퇐뺿컄쿗훐돶쿖뗄ꆰ막욱쫕틦ꆪ춨믵엲헍싛ꆱ쓘ꎿ쟒막욱쫕틦폫춨믵엲헍횮볤뗄맘쾵쫇쿟탔뮹쫇럇쿟탔ꎿ헢뻍쫇놾헂쫔춼믘듰뫍뷢뻶뗄컊쳢ꆣ 막욱쫐뎡뗄ꆰ럑톩킧펦ꆱ 럑톩(1930)횸돶ꎬ퓚튻룶탅쾢돤럖쟒죋쏇쓜릻돤럖풤볻뗄쫐뎡훐ꎬ쏻틥샻싊믡쯦ퟅ풤웚춨믵엲헍싊뗄뇤뚯ퟷ돶튻뛔튻뗄뗷헻ꎬ뛸쪵볊샻싊퓲폫춨믵엲헍싊컞맘ꎬ쪵볊샻싊훷튪쫇평뺭볃훐뗄쪵볊틲쯘살뻶뚨ꎬ죧놾짺닺싊ꆢ쪱볤욫뫃뫍럧쿕욫뫃뗈ꎬ쟒쪵볊샻싊뿉쫓캪놣돖늻뇤ꎬ헢뻍쫇쯹캽뗄ꆰ럑톩킧펦ꆱꆣ룹뻝럑톩뗄싛쫶ꎬ컒쏇뿉틔냑럑톩킧펦뇭쪾캪ꎺ쏻틥샻싊=쪵볊샻싊+풤웚뗄춨믵엲헍싊ꎬ벴쏻틥샻싊폫풤웚춨믵엲헍싊횮볤듦퓚튻튻뛔펦뗄뗷헻맘쾵ꆣ 붫럑톩킧펦삩햹떽막욱쫐뎡ꎬ퓲뿉틔뇭쪾캪ꎺ막욱뗄쏻틥쫕틦싊=쪵볊쫕틦싊+풤웚춨믵엲헍싊ꆣ헢뻍틢캶ퟅꎬ떱풤웚춨믵엲헍싊랢짺뇤뮯쪱ꎬ막욱뗄쏻틥쫕틦싊믡쯦ퟅ풤웚춨믵엲헍싊뗄뇤뮯뛸ퟶ돶튻뛔튻뗄뗷헻ꎬ벴풤웚춨믵엲헍싊뗄퓶볓믲복짙췪좫쓜릻춨맽닺뗄쏻틥쫕틦싊쳥쿖돶살ꎬ듓뛸떼훂닺뗄쪵볊쫕틦놣돖늻뇤ꎬ헢뻍쫇막욱쫐뎡훐럑톩킧펦뗄몬틥ꆣ 볙뚨쒳막욱퓚뗚t웚웚돵뗄쏻틥볛룱캪NPꎬ컯볛쮮욽캪Pꎬ쟒뗚t웚훁뗚t+1웚tt89
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뗄춨믵엲헍싊캪πꎬ쏻틥막쾢캪NDꎬ뗚t+1웚쪱뗄컯볛쮮욽캪Pꎬ쟒막욱퓚t+1웚ttt+1웚돵뗄쏻틥볛룱캪NPꎬ쓇쎴막욱퓚뗚t웚뗄쏻틥쫕틦싊뻍뿉틔뇭쪾캪ꎺ t+1 R=(NP−NP+ND)NP () tt+1ttt뛸막욱퓚뗚t웚뗄쪵볊쫕틦싊퓲뿉틔뇭쪾캪ꎺ r=[(NPP)−(NPP)+(NDP)](NPP) () tt+1ttttttt룹뻝P=P1+πꎬ평()뫍()솪솢뿉틔뗃돶ꎺ ()t+1tt (1+R)=(1+r)(1+π) () ttt평듋뿉틔뗃돶막욱쫐뎡훐뗄럑톩킧펦뇭쪾ꎺR=r+πꆣ ttt뛔폚막욱쫐뎡럑톩킧펦뗄퇐뺿ꎬ튲쫇믹폚샭탔풤웚뗄볙짨ꎬ웤막욱쫐뎡훐뗄럑톩킧펦볬퇩랽돌캪ꎺ R=r+βπ+u () ttt듳솿뗄쪵횤퇐뺿컄쿗벴쫇믹폚헢튻쒣탍ꎬ쫗쿈볬퇩뇤솿쫇럱캪떥캻룹맽돌(볲볇캪′I(1))ꎬ죴뇤솿뻹캪I(1)ꎬ뷸뛸볬퇩(R,π)쫇럱킭헻ꆣ킭헻돉솢벴뇭쏷럑톩킧펦돉솢ꎬtt퓚듋믹뒡짏맀볆β횵ꎬ죴뷓쫜Hꎺβ=1ꎬ틢캶ퟅ쏻틥샻싊폫춨믵엲헍횮볤듦퓚췪좫0ˆˆ뗄럑톩킧펦ꎬ죴0<β<1ꎬ퓲뇭쏷듦퓚죵뗄믲늿럖뗄럑톩킧펦ꎬ죴β<0ꎬ퓲죏캪늻듦퓚럑톩킧펦ꆣ 뛔폚막욱쫐뎡뗄럑톩킧펦쪵횤볬퇩ꎬ튲폐톧헟쳡돶듓쇭튻룶뷇뛈살뷸탐볬퇩ꎬ벴룹뻝럑톩킧펦뗄몬틥ꎬ막욱쏻틥쫕틦싊믡뛔춨믵엲헍싊닺짺튻튻뛔펦뗄뗷헻맘쾵ꎬ헢틢캶ퟅ막욱쏻틥쫕틦싊폫춨믵엲헍싊횮볤펦룃듦퓚헽쿲뗄맘쾵ꎬ뛸막욱뗄쪵볊쫕틦싊놣돖늻뇤ꎬ헢틢캶ퟅ막욱쪵볊쫕틦싊폫춨믵엲헍싊컞맘ꆣ본폚헢퇹뗄럖컶ꎬ뿉틔볬퇩쪵볊막욱쫕틦싊폫춨믵엲헍싊횮볤뗄맘쾵살에뛏막욱쫐뎡럑톩킧펦뗄듦퓚탔컊쳢ꆣ벴ˆ볬퇩랽돌캪ꎺr=α+θπ+εꎬ죴맀볆뗄θ캪쇣ꎬ퓲틢캶ퟅ막욱쫐뎡뗄럑톩킧펦돉솢ꎬttt90
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 ˆ벴막욱쫐뎡뗄쪵볊쫕틦싊뿉틔늻쫜춨믵엲헍싊뗄펰쿬ꎻ죴θ늻뗈폚쇣쪱ꎬ퓲틢캶ퟅ막욱쫐뎡훐뗄럑톩킧펦늻돉솢ꆣ 본폚헢솽훖볬퇩랽돌뗄뗈볛탔ꎬ놾컄붫믹폚뗚튻훖볬퇩랽돌살뾼달컒맺막욱쏻틥쫕틦싊폫춨믵엲헍싊횮볤뗄맘쾵ꎬ평듋살에뛏컒맺막욱쫐뎡뗄럑톩킧펦쫇럱돉솢ꆣ 맺쓚췢컄쿗뛔막욱쫐뎡럑톩킧펦뗄퇐뺿 맺췢컄쿗뛔막욱쫐뎡럑톩킧펦뗄퇐뺿 잰쏦뗄싛쫶뇭쏷ꎬ뿉틔붫럑톩킧펦삩햹떽막욱쫐뎡훐퇐뺿막욱쫕틦폫춨믵엲헍싊횮볤뗄맘쾵ꎬ벴죴막욱쫐뎡훐듦퓚럑톩킧펦ꎬ퓲막욱쫕틦믡쯦춨믵엲헍싊뗄뇤뮯뛸돶쿖쿠펦뗄뗷헻ꎬ헢뛾헟횮볤듦퓚헽쿠맘맘쾵ꎬ헢퓚샭싛짏튲뗃떽쇋뷰죚뺭볃톧볒뗄웕뇩죏뿉ꆣ떫쫇ퟔ20쫀볍70쓪듺틔살ꎬ듳솿뗄퇐뺿컄쿗뛔막욱쫕틦폫춨믵엲헍싊횮볤뗄맘쾵뷸탐쇋쪵횤볬퇩ꎬ볬퇩뗄뷡맻좴뇭쏷막욱뗄쏻틥쫕틦폫춨믵엲헍싊횮볤듦퓚뢺쿠맘맘쾵ꆣ믹폚쏀맺햽뫳뗄퇹놾쫽쫽뻝ꎬLintner(1975)ꎬBodie(1975)ꎬJaffe뫍Mandelker(1976)ꎬNelson(1976)ꎬFama뫍Schwert (1977)ꎬSchwert(1981)뗈죋뗄퇐뺿뚼뇭쏷막욱뗄쏻틥쫕틦폫춨믵엲헍싊횮볤듦퓚뢺쿠맘ꆣCohn뫍Lessard(1981)ꎬSolnik(1983)ꎬGultekin(1983)ꎬGeske뫍Roll(1983)뗄퇐뺿뗃돶쇋쿠춬뗄뷡싛ꆣJamesꎬKoreish뫍Partch(1985)뗄퇐뺿뇭쏷막욱뗄쫕틦뿉틔풤닢믵뇒헾닟뫍쪵볊뺭볃뗄뇤뮯ꆣ쿠쯆뗘ꎬKaul(1987)죏캪믵뇒탨쟳뫍랴훜웚뗄믵뇒릩룸킧펦떼훂쇋햽뫳뗄막욱쫕틦폫춨믵엲헍횮볤듦퓚뢺쿠맘ꆣKaul(1990)믹폚쏀맺ꆢ볓쓃듳ꆢ뗂맺뫍펢맺햽뫳뗄퇹놾쫽뻝ꎬ퓚솽훖믵뇒헾닟믺훆쿂뾼달막욱쫕틦폫캴풤웚떽뗄춨믵엲헍뇤뮯횮볤뗄맘쾵ꎬ쯻뗄퇐뺿랢쿖ꎬ퓚믵뇒헾닟쎻폐뇤뮯뗄맺볒ꎬ막욱쫕틦폫풤웚춨믵엲헍싊뗄뇤뮯횮볤듦퓚뢺쿠맘맘쾵ꆣEly뫍Robinson (1992)퓚뿘훆믵뇒뫍쪵볊닺돶펰쿬뗄쳵볾쿂ꎬ볬퇩쇋막욱쫕틦폫럇풤웚뗄춨믵엲헍횮볤뗄맘쾵ꎬ쯻쏇뗃돶뗄뷡싛쫇막욱쫕틦늻쓜폃살풤닢춨믵엲헍믲믹뒡믵뇒뗄퓶뎤싊ꆣMarshall (1992)죏캪쪵볊뺭볃늨뚯ꆢ믵뇒늨뚯믲헟쪵볊뇤솿뫍믵뇒뇤솿뗄뇤뮯뚼뿉쓜떼훂춨믵엲헍폫막욱쫕틦듦퓚뢺쿠맘맘쾵ꆣ 폫짏쫶퇐뺿쿠랴뗄쫇ꎬLee(1992) 믹폚뛠뇤솿뗄쿲솿ퟔ믘맩랽램(VAR)ꎬ듋랽돌91
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 냼몬튻룶뛀솢웰ퟷ폃뗄샻싊뇤솿ꎬ쯻랢쿖막욱쫕틦횻쓜뷢쫍춨믵엲헍뗄킡늿럖뇤뚯ꎬ뛸샻싊좴뷢쫍쇋춨믵엲헍뗄듳늿럖뇤뚯ꆣ폫Fama(1981)튻퇹ꎬLee(1992)랢쿖막욱쫕틦폫쪵볊뺭볃뗄훍뫳웚듦퓚헽쿠맘맘쾵ꆣ믹폚랢듯맺볒뗄퇹놾쫽뻝ꎬHess뫍Lee(1999)랢쿖막욱쫕틦폫춨믵엲헍횮볤뗄맘쾵믡쯦ퟅ쪱볤믲늻춬뗄맺볒뛸폐쯹늻춬ꎬ헢훷튪좡뻶폚릩룸돥믷뫍탨쟳돥믷뗄쿠뛔돌뛈ꎬ릩룸돥믷믡뛔쪵볊닺돶닺짺돥믷ꎬ틲뛸막욱쫕틦폫춨믵엲헍횮볤듦퓚뢺쿠맘ꎻ뛸떱탨쟳돥믷훷튪쫇믵뇒돥믷쪱ꎬ퓲막욱쫕틦폫춨믵엲헍횮볤뻍믡돶쿖헽쿠맘맘쾵ꆣ 뷼쓪살ꎬ듳솿뗄맺볊컄쿗믹폚늻춬맺볒뗄퇹놾뫍늻춬쪱웚뗄퇹놾쫽뻝살뾼달춨믵엲헍폫쪵볊막욱쫕틦횮볤뗄춳볆맘쾵ꆣChatrathꎬRamchanderꎬ뫍Song(1997)ꎬAdrangiꎬChatrath뫍Raffiee(1999)ꎬChoudhry(2001)ꎬCrosby(2001)ꎬApergis뫍Eleftjeriou(2002)ꎬEngsted뫍Tanggaard(2002)ꎬGallagher뫍Taylor(2002)ꎬHondroyiannis 뫍Papapetrou(2001)ꎬNajand뫍Noronha(1998)ꎬOmran뫍Pointon(2001)ꎬRapach(2002)ꎬSharpe(2002)ꎬSpyrou(2001)ꎬSpyrou(2004)뫍Zhao(1999)뗈퇐뺿헟샻폃쪱볤탲쇐랽램살볬퇩ꆰ막욱쫕틦ꆪ춨믵엲헍횮쏕ꆱꆣ Gallagher뫍Taylor(2002)믹폚쏀맺1957쓪1퓂떽1997쓪4퓂뗄퇹놾쫽뻝ꎬ샻폃뛠풪뗄돥믷럖뷢살뾼달쪵볊막욱쫕틦ꆢ춨믵엲헍뫍쪵볊닺돶퓶뎤횮볤뗄맘쾵ꎬ뷡맻랢쿖쪵볊막욱쫕틦폫춨믵엲헍쎻폐쿔훸뗄맘쾵ꎬ헢쫇평폚탨쟳돥믷뗄펰쿬ꎻ떫쫇평폚릩룸돥믷뗄펰쿬ꎬ쪵볊막욱쫕틦폫춨믵엲헍횮볤듦퓚쿔훸뗄뢺쿠맘맘쾵ꆣEngsted뫍Tanggaard(2002) 퇐뺿랢쿖ꎬ퓚쏀맺ꎬ풤웚춨믵엲헍뫍풤웚막욱쫕틦횮볤듦퓚죵뗄헽쿠맘맘쾵ꎬ뛸떤싳뗄풤웚춨믵엲헍뫍풤웚막욱쫕틦횮볤퓲듦퓚뷏잿뗄헽쿠맘맘쾵ꆣ좻뛸Sharpe(2002)뗄뺭퇩퇐뺿뇭쏷풤웚춨믵엲헍뗄짏짽복짙쇋쏀맺닺뗄볛룱ꆣRapach(2002)믹폚16룶릤튵뮯맺볒뗄퇹놾퇐뺿랢쿖뎤웚쪵볊막욱볛룱뛔폚튻룶폀뻃탔뗄춨믵엲헍돥믷뗄랴펦캪쇣믲캪헽ꆣChatrath et al.(1997)ꎬNajand뫍Noronha(1998), Zhao(1999)뫍Crosby(2001) 럖뇰믹폚펡뛈ꆢ죕놾ꆢ훐맺뫍냄듳샻퇇뷸탐퇐뺿ꎬ쯻쏇튲횧돖춨믵엲헍뫍막욱쫕틦캪뢺쿠맘ꆣAdrangi et al.(1999)퇐뺿쇋몫맺뫍쒫컷룧뗄뫪맛뺭볃뇤솿뛔막욱쫕틦뗄펰쿬ꎬ쯻쏇랢쿖쪵볊막욱쫕틦폫캴풤웚떽뗄춨믵엲헍횮볤듦퓚뢺쿠맘맘쾵ꆣChoudhry(2001)랢쿖룟춨믵엲헍맺볒(죧낢룹춢ꆢ훇샻ꆢ쒫컷룧뫍캯쓚죰삭)92
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뗄쿖웚춨믵엲헍뫍쿖웚막욱쫕틦돊헽쿠맘맘쾵ꆣSpyrou (2004)뛔20쫀볍90쓪듺뗄쪮룶탂탋막욱쫐뎡(훇샻ꆢ쒫컷룧ꆢ냍컷ꆢ낢룹춢ꆢ첩맺ꆢ몫맺ꆢ십살컷퇇ꆢ쿣룛ꆢ럆싉뇶뫍췁뛺웤)뷸탐퇐뺿ꎬ랢쿖춨믵엲헍뫍막욱쫕틦튲돊헽쿠맘뗄맘쾵ꆣOmran뫍Pointon(2001)믹폚낣벰뗄쫽뻝뷸탐퇐뺿좴랢쿖헢뛾헟횮볤듦퓚뗄쫇뢺쿠맘맘쾵ꆣApergis뫍Eleftheriou(2002)믹폚쾣산뗄쫽뻝퇐뺿튲뗃돶쇋폫횮쿠춬뗄뷡싛ꎬ벴헢솽헟횮볤뗄맘쾵캪뢺ꆣ좻뛸ꎬSpyrou(2001)퇐뺿랢쿖횻폐퓚1995쓪틔잰ꎬ춨믵엲헍뫍막욱쫕틦닅쫇뢺쿠맘뗄ꎬ뛸퓚1996-2000쓪웚볤ꎬ쯻랢쿖솽룶뇤솿횮볤늢늻듦퓚쿔훸뗄춳볆맘쾵ꆣHondroyiannis뫍Papapetrou(2001)뗄퇐뺿뇭쏷헢솽룶뇤솿횮볤횻듦퓚죵뗄뢺쿠맘ꆣSangbae Kim(2005)믹폚쏀맺1926-2000쓪뗄퓂뛈쫽뻝ꎬ춨맽킡늨뇤뮻뷸탐퇐뺿ꎬ랢쿖퓚뛌웚(1룶퓂)막욱쫕틦뫍춨믵엲헍쫇헽쿠맘뗄ꎬ뛸퓚뎤웚막욱쫕틦뫍춨믵엲헍좴돊쿖캪뢺쿠맘맘쾵ꆣퟛ짏뇭쏷ꎬ뷼쓪살뗄듳솿뺭퇩퇐뺿컄쿗뗄퇐뺿뷡싛쫇늻튻훂뗄ꎬ틲듋ꆰ춨믵엲헍ꆪ막욱쫕틦횮쏕ꆱ죔좻듦퓚ꆣ 맺췢컄쿗맘폚ꆰ춨믵엲헍ꆪ막욱쫕틦횮쏕ꆱ뗄룷훖뷢쫍 쯤좻죋쏇퓚샭싛짏웕뇩뷓쫜막욱쫕틦폫춨믵엲헍횮볤뗄맘쾵캪헽ꎬ떫쫇듳솿뗄맺볊퇐뺿컄쿗좴뇭쏷막욱쫕틦폫춨믵엲헍횮볤뗄맘쾵캪뢺ꎬ헢잡뫃폫샭싛볙짨쿠랴ꆣ폚쫇ꎬ죋쏇냑헢돆횮캪막욱쫐뎡훐뗄ꆰ춨믵엲헍ꆪ막욱쫕틦횮쏕ꆱꎬ튲뿉틔돆횮캪막욱쫐뎡훐뗄ꆰ럑톩킧펦횮쏕ꆱꆣ틲듋ꎬ탭뛠톧헟쫔춼듓늻춬뗄뷇뛈살뛔듋뷸탐뷢쫍ꎬ틲뛸닺짺쇋쿂쇐벸훖늻춬뗄볙쮵ꆣ (1)쮰쫕킧펦볙쮵 Feldstein뫍Summers(1979)죏캪쏀맺뗄쮰쫕헾닟쓜릻뷢쫍쪵볊막욱쫕틦폫춨믵엲헍횮볤듦퓚뗄뢺쿠맘맘쾵ꆣ떱춨믵엲헍싊짏짽쪱ꎬ짌욷뗄쿺쫛쫕죫믡쯦횮퓶볓ꎬ쟒퓶볓뗄쯙뛈믡뎬맽짌욷돉놾뗄퓶볓쯙뛈ꎬ헢쫇평폚듦믵내헕샺쪷돉놾살뷸탐볆쯣ꎬ틲듋춨믵엲헍뗄짏짽믡닺짺탩볙뗄놾쫕틦ꎬ듓뛸쪹뗃릫쮾뗄뿉헷쮰쫕죫튲쯦횮퓶볓쇋ꆣ평폚쮰쫕쫇내헕쏻틥놾쫕틦폫막쾢헷쮰뗄ꎬ틲듋쪵볊쮰뛮믡쯦ퟅ춨믵엲헍뗄짏짽뛸쿠펦복짙ꎬ듓뛸쪹뗃춶헟뗄쪵볊쫕틦복짙ꆣ쓇쎴ꎬ샭탔뗄춶헟뻍믡뾼싇떽헢튻ꆰ쮰쫕킧펦ꆱꎬ듓뛸쪹뗃막욱볛룱쿂뗸ꆣFeldstein(1980)ꎬVanderHoff(1986)뫍Bemard(1986)93
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뗄퇐뺿횧돖쇋ꆰ쮰쫕킧펦볙쮵ꆱꎬ떫쫇ꎬHooks(1993)뫍Ammer(1994) 뗄퇐뺿좴뻹늻횧돖헢튻볙쮵ꆣ (2) 믵뇒믃뻵볙쮵 Modigliani뫍Cohn(1979)죏캪막욱쫕틦폫춨믵엲헍횮볤뗄뢺쿠맘뿉쓜쫇평폚춶헟퓚춨믵엲헍쪱웚듦퓚믵뇒믃뻵ꎬ듓뛸떼훂쇋춶뗄럇샭탔탐캪ꆣ쯻쏇죏캪퓚샭싛짏릫쮾볛횵늢늻쫜춨믵엲헍뗄펰쿬ꎬ벴릫쮾뗄쪵볊볛횵늢늻믡틲춨믵엲헍뛸랢짺뇤뚯ꆣ떫쫇평폚퓚춨믵엲헍쪱웚ꎬ춶헟믡닺짺믵뇒믃뻵ꎬ쪹뗃춶헟컞램달뻵릫쮾뗄쪵볊볛횵늢늻쫜춨믵엲헍뇤뚯뗄펰쿬ꎬ듓뛸쪹뗃춶헟쾵춳뗘뗍맀쇋춨믵엲헍쪱웚뗄릫쮾볛횵ꎬ퓬돉쇋막욱쫕틦폫춨믵엲헍횮볤듦퓚뢺쿠맘맘쾵ꆣ떫쫇ꎬYaanasah 뫍Peasnell(1994)ꎬ쇖풷틋(1995)뗄퇐뺿뻹죏캪믵뇒믃뻵컞램폐킧뷢쫍막욱쫕틦폫춨믵엲헍횮볤뗄뢺쿠맘맘쾵ꆣ (3)듺샭볙쮵 뛔폚춨믵엲헍폫막욱쫕틦횮볤듦퓚뗄뢺쿠맘맘쾵ꎬ벴막욱쫐뎡훐듦퓚뗄ꆰ럑톩킧펦횮쏕ꆱꆣ Fama (1981)믹폚샭탔풤웚뗄믵뇒탨쟳샭싛뫍믵뇒쫽솿싛ꎬ죏캪떱풤웚캴살뗄쪵볊뺭볃믡퓶뎤쪱ꎬ평폚퓚뺭볃퓶뎤뗄맽돌훐ꎬ뺭볃짧믡훐뗄짌욷붻틗믡쯦횮퓶볓ꎬ퓲쪵볊믵뇒탨쟳튲믡쿠뛔퓶볓ꎬ죴듋쪱뗄믵뇒릩펦늻쯦풤웚쪵볊뺭볃뗄퓶뎤뛸랢짺뇤뚯ꎬ쓇쎴뻍믡닺짺믵뇒뷴쯵뗄쿖쿳ꎬ헢뻍믡떼훂컯볛쮮욽쟷폚쿂붵ꎬ춨믵엲헍뻍믡붵뗍ꆣ쿠랴ꎬ떱풤웚캴살뗄쪵볊뺭볃퓶뎤믡복뮺쪱ꎬ뺭볃짧믡훐뗄짌욷붻틗뗄복짙믡쪹뗃쪵볊믵뇒탨쟳쯦횮복짙ꎬ퓲퓚믵뇒릩룸만뚨늻뇤뗄볙짨쳵볾쿂ꎬ믡닺짺뎬뛮믵뇒릩룸뗄쿖쿳ꎬ늢쪹뗃컯볛쮮욽짏짽ꎬ춨믵엲헍싊튲뻍짏헇ꆣ틲듋ꎬ춨믵엲헍싊폫풤웚뗄캴살쪵볊뺭볃퓶뎤듦퓚튻훖랴쿲뗄맘쾵ꆣ튲뻍쫇쮵ꎬ룟춨믵엲헍싊틢캶ퟅ뗍쪵볊퓶뎤싊ꎬ떱뺭볃퓶뎤쯙뛈뇤싽쪱ꎬ죋쏇뛔쪵볊믵뇒폠뛮탨쟳뗄퓶뎤쯙뛈튲믡붵뗍ꎬ헢퇹뻍떼훂쿖퓚뫍붫살풤웚뗄춨믵엲헍뗄짏짽ꆣ듋췢ꎬ룟뗄쪵볊막욱쫕틦뇭쏷룟뗄뺭볃퓶뎤싊ꆣ헢퇹ꎬ춨믵엲헍뫍막욱쫕틦놻풤웚뗄뺭볃늨뚯틽쿲쇋쿠랴뗄랽쿲ꆣ Fama죏캪막욱쫐뎡뛔폚폐맘풤웚쪵볊뺭볃믮뚯뗄탅쾢톯뗄랴펳쫇뻟폐킧싊뗄ꆣ떱쪵볊뺭볃믮뚯쪵쿖퓶뎤쪱ꎬ쿖듦막욱뗄욽뻹쪵볊놨돪싊튲믡쯦횮쳡룟ꎬ폚쫇풤웚쪵볊뺭볃믮뚯폫막욱뗄쪵볊쫕틦싊횮볤듦퓚튻훖헽쿲뗄맘쾵ꆣ틲듋ꎬꆰ풤웚쪵볊뺭94
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 볃믮뚯폫막욱쪵볊쫕틦싊횮볤뗄헽쿲맘쾵ꆱ폫ꆰ풤웚쪵볊뺭볃믮뚯폫춨믵엲헍싊횮볤듦퓚뗄뢺쿲맘쾵ꆱ헢솽훖맘쾵뗄뷡뫏벴뷢쫍쇋막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뗄뢺쿲맘쾵ꎬ헢뻍쫇ꆰ듺샭볙쮵ꆱ뗄훷튪몬틥ꆣ Kaul(1987)뷸튻늽늹돤뫍탞헽쇋ꆰ듺샭볙쮵ꆱꆣKaul럅쯉쇋뛔만뚨믵뇒릩펦뗄볙짨ꎬ쯻볙짨믵뇒탨쟳뫍믵뇒릩룸뚼쫇뿉틔뇤뚯뗄ꎬ쟒믵뇒릩룸뗄뇤뚯좡뻶폚믵뇒떱뻖쯹닉좡뗄믵뇒헾닟ꆣ퓚풤웚쪵볊벰믮뚯폫막욱쪵볊쫕틦뗄헽쿲맘쾵돉솢뗄쳵볾쿂ꎬ믵뇒떱뻖죴닉좡랴훜웚뗄믵뇒헾닟ꎬ퓲춨믵엲헍싊폫막욱쪵볊쫕틦횮볤뗄맘쾵캪뢺ꎻ죴닉좡뗄쫇쮳훜웚뗄믵뇒헾닟ꎬ퓲춨믵엲헍싊폫막욱쪵볊쫕틦횮볤뗄맘쾵늢늻쿔훸캪뢺ꆣ헢훷튪쫇평폚죴횴탐떫훜웚뗄믵뇒헾닟쪱ꎬ믵뇒릩룸믡쯦ퟅ풤웚뗄쪵볊뺭볃믮뚯뗄퓶뎤믲쮥췋뛸랴쿲뇤뚯ꎬ뛸믵뇒릩룸폫컯볛쮮욽죴듦퓚헽쿲뗄맘쾵ꎬ쓇쎴춨믵엲헍뇘좻폫쪵볊뺭볃돊쿖랴쿲뗄뇤뚯맘쾵ꆣ퓚막욱쪵볊쫕틦폫풤웚쪵볊뺭볃믮뚯캪헽쿠맘뗄잰쳡쳵볾쿂ꎬ퓲춨믵엲헍폫막욱쪵볊쫕틦횮볤뻍믡돶쿖랴쿲뗄맘쾵ꆣ틲듋ꎬ믹폚Kaul뗄럖컶ꎬ막욱쫕틦폫춨믵엲헍싊횮볤뗄맘쾵좡뻶폚믵뇒떱뻖뛔믵뇒헾닟뗄좡쿲컊쳢ꆣ떱닉좡랴훜웚뗄믵뇒헾닟쪱ꎬFama쳡돶뗄ꆰ듺샭볙쮵ꆱ뻍뗃떽쇋뷸튻늽뗄횤쪵ꆣ 폐맘ꆰ듺샭볙쮵ꆱ뗄뺭퇩퇐뺿뫜뛠ꎬ떫쫇뷡싛좴늻튻훂ꆣFama(1981)ꎬ Kaul(1987)ꎬBenderly뫍Zwick(1985)ꎬKaul뫍Seynun(1990)ꎬLee(1992)ꎬBoudoukh뫍Richardson(1993)ꎬSolnik(1997)ꎬSchotman뫍Schweitzer(2000)틔벰Gallagher뫍Taylor(2002)뗈뚼횧돖ꆰ듺샭볙쮵ꆱꆣ뛸폫횮늻춬뗄쫇ꎬWahlroos뫍Berglund(1986)믹폚럒삼뗄퇹놾뛔듺샭볙쮵뷸탐쇋볬퇩ꎬ뷡맻좴쫇헢튻볙쮵늢늻돉솢ꆣMsCarthyꎬNajand뫍Seifert(1990)믹폚뗂맺뫍펢맺뗄퇹놾뷸탐쇋퇐뺿ꎬ튲뻜뻸쇋듺샭볙쮵ꆣLiuꎬHsueh뫍Clayton(1993)믹폚쏀맺ꆢ펢맺ꆢ뗂맺뫍볓쓃듳뗄퇹놾뷸탐쇋볬퇩ꎬ뷡맻뇭쏷춨믵엲헍싊좷쪵폫쪵볊뺭볃믮뚯듦퓚뢺쿠맘맘쾵ꎬ떫쫇쯻쏇늢늻횧돖쪵볊막욱쫕틦폫쪵볊뺭볃믮뚯횮볤듦퓚헽쿠맘ꎬ틲듋ퟜ쳥짏쯻쏇뗄퇐뺿뷡싛늢늻횧돖듺샭볙쮵ꆣLee(1998)믹폚탂탋쫐뎡맺볒(믲뗘쟸)뗄퇹놾뷸탐퇐뺿ꎬ랢쿖쿣룛ꆢ첨췥ꆢ몫맺뫍탂볓웂뗄뷡맻뚼늻횧돖듺샭볙쮵ꆣAdrangiꎬChatrath뫍Raffiee(1999)믹폚몫맺뫍쒫컷룧뗄퇹놾뷸탐볬퇩ꎬ뷡맻뇭쏷튲늻횧돖듺샭볙쮵ꆣ (4) 뇤틬탔볙쮵(the Variability Hypothesis) 95
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 Malkiel(1979)뫍Hendershott(1981)쳡돶쇋ꆰ뇤틬탔볙쮵ꆱ살뷢쫍막욱쫕틦폫춨믵엲헍싊횮볤뗄맘쾵ꆣ쯻쏇죏캪ꎬ룟뗄춨믵엲헍믡떼훂춨믵엲헍뗄늻좷뚨탔퓶볓ꎬ쟒웤늨뚯뗄뇤틬탔뫜듳ꎬ뛸헢킩뷏듳뗄늨뚯탔뫍늻좷뚨탔붫믡퓶볓춶쫕틦뗄늻좷뚨탔ꎬ듓뛸믡틖훆뺭볃믮뚯ꎬ펰쿬웳튵뗄춶탐캪뫍뺭펪믮뚯ꎬ떼훂춶뗄풤웚쫕틦믡쿂붵ꎬ틽웰막욱뗄쪵볊쫕틦쯦횮붵뗍ꆣ뛸쟒룟춨믵엲헍틽웰뗄늻좷뚨탔뮹믡떼훂럧쿕틧볛뗄퓶볓ꎬ뛸럧쿕틧볛뗄퓶볓폖믡퓶볓헛쿖싊ꎬ듓뛸떼훂캴살풤웚쿖뷰쇷쿖횵뗄쿠펦복짙ꎬ퓲막욱쫕틦뗄쿖횵뻍믡복짙ꎬ쪹뗃막욱뗄쪵볊쫕틦싊쿠펦붵뗍ꆣ틲듋ꎬ춨믵엲헍뗄뇤틬탔뿉틔뷢쫍막욱쫕틦폫춨믵엲헍싊횮볤듦퓚뢺쿲뗄쿠맘맘쾵ꆣ Buono(1989)믹폚쏀맺1956쓪1퓂떽1983쓪12퓂뗄퇹놾쫽뻝ꎬ샻폃ퟔ믘맩쳵볾틬랽닮쒣탍(ARCH)살볬퇩춨믵엲헍싊뗄뇤틬탔쳘헷ꎬ뷸뛸볬퇩ꆰ뇤틬탔볙쮵ꆱꆣ룃퇐뺿랢쿖춨믵엲헍싊폫춨믵엲헍뇤틬탔횮볤듦퓚헽쿠맘ꎬ떫쫇막욱쫕틦폫춨믵엲헍뇤틬탔횮볤좴듦퓚쿔훸뗄뢺쿠맘ꆣ틲듋ꎬ쯻죏캪뇤틬탔볙쮵늢늻쓜뷢쫍막욱쫕틦폫춨믵엲헍싊횮볤뗄뢺쿲맘쾵ꆣCorchran뫍Defina(1993)믹폚쏀맺1947-1989쓪뗄벾뛈쫽뻝뷸탐퇐뺿ꎬ뷡싛횧돖뇤틬탔볙쮵ꆣCorkish뫍Miles(1994)믹폚펢맺1950쓪7퓂떽1993쓪10퓂뗄퇹놾ꎬ샻폃ퟔ믘맩쳵볾틬랽닮쒣탍(ARCH)ꎬ뾼달쇋막욱쪵볊쫕틦폫춨믵엲헍뇤틬탔횮볤쫇럱듦퓚쿟탔맘쾵ꎬ뷡맻랢쿖헢뛾헟횮볤늢늻듦퓚쿔훸뗄춳볆맘쾵ꆣLee뫍Ni(1996)붫춨믵엲헍싊럖뷢캪퓝쪱탔뗄춨믵엲헍뫍돖탸탔뗄춨믵엲헍ꎬ럖뇰첽쳖웤폫막욱쪵볊쫕틦횮볤뗄맘쾵ꎬ웤뷡맻뇭쏷ꎬ퓝쪱탔춨믵엲헍폫돖탸탔춨믵엲헍폫막욱쪵볊쫕틦횮볤뻹돊쿖뢺쿲맘쾵ꎬ횻쫇웤ퟷ폃뗄믺훆늻춬ꆣHu뫍Willett(2000)믹폚쏀맺1954쓪1퓂떽1995쓪12퓂뗄퇹놾ꎬ볬퇩막욱쪵볊쫕틦폫춨믵엲헍뇤틬탔횮볤뗄맘쾵ꎬ뷡맻랢쿖ꎬ퓚룟춨믵엲헍쪱웚뗄춨믵엲헍뇤틬탔믡퓶볓ꎬ듓뛸퓶볓쇋쫕틦뗄늻좷뚨탔ꎬ펰쿬웳튵믲룶죋뗄춶탐캪뛸떼훂뺭볃쟷뮺ꎬ쪹뗃막욱쫕틦붵뗍ꆣ틲듋룃퇐뺿횧돖쇋뇤틬탔볙쮵ꆣArin뫍Manun(2004)믹폚쏀맺1988쓪1퓂떽2002쓪12퓂뗄퓂뛈쫽뻝ꎬ붨솢GARCH쒣탍살뷸탐퇐뺿ꎬ웤뷡맻횧돖뇤틬탔볙쮵ꆣ (5)쓦쿲틲맻맘쾵볙쮵 Geske 뫍Roll(1983)쳡돶쇋ꆰ쓦쿲틲맻맘쾵볙쮵ꆱ살뷢쫍막욱쫕틦폫춨믵엲헍싊횮볤뗄뢺쿲맘쾵ꆣ쯻쏇죏캪ꎬ듺샭볙쮵훐뗄믵뇒탨쟳샭싛늻ퟣ틔뷢쫍헢뛾헟횮볤뗄뢺96
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쿲맘쾵ꎬ뛸믵뇒릩룸샭싛퓲뿉틔뛔듋뷸탐뷢쫍ꆣ쪵볊짏ꎬ막욱볛룱쓜릻뛔풤웚뗄쪵볊돥믷벰쪱ퟷ돶랴펦ꎬ벴막욱볛룱뗄뇤뮯풤쪾ퟅ캴살릫쮾쫕틦ꆢ쪧튵싊뫍뺭볃뗄ퟟ쫆뇤뮯ꆣ죴막욱뗄볛룱붵뗍ꎬ퓲춶헟뗄쫕틦믡쯦횮복짙ꎬ헢틢캶ퟅ릫쮾뗄쫕틦복짙ꎬ쪧튵싊믡쯦횮짏짽ꎬ뺭볃튲믡쯦횮쟷뮺ꎬ헢쪹뗃떼훂헾뢮뗄쫕죫복짙ꆣ죴헾뢮횧돶놣돖늻뇤ꎬ퓲믡퓶볓헾뢮뗄닆헾돠ퟖꆣ캪쇋쪹닆헾쫕횧욽뫢ꎬ닆헾늿붫믡춨맽훐퇫틸탐랢탐믵뇒믲뷨뿮ꎬ헢붫떼훂믹뒡믵뇒뗄돉놶퓶볓뫍춨믵엲헍싊뗄짏짽ꆣ샭탔춶헟붫믡듓막욱쫕틦뗄뇤뮯(복짙)훐풤웚떽헢튻쾵쇐뗄랴펦ꎬ듓뛸룄뇤뛔춨믵엲헍뗄풤웚(짏짽)ꎬ헢뻍쫇ꆰ쓦쿲틲맻맘쾵볙쮵ꆱ뛔막욱쫕틦폫춨믵엲헍싊횮볤뗄뢺쿲맘쾵뛠뷸탐뗄뷢쫍ꆣ Geske뫍Roll(1983)믹폚쏀맺1947-1980쓪뗄벾뛈쫽뻝뷸탐볬퇩ꎬ웤뷡싛횧돖쇋쓦쿲틲맻맘쾵볙쮵ꆣSolnik(1983)믹폚9룶맺볒1971-1980쓪뗄퓂뛈쫽뻝뛔막욱쫐뎡훐뗄럑톩킧펦뫍쓦쿲틲맻맘쾵뷸탐쇋볬퇩ꎬ뷡맻뇭쏷럑톩킧펦늻돉솢ꎬ뛸횧돖쇋쓦쿲틲맻맘쾵볙쮵ꆣJamesꎬKoreisha뫍Partch(1985)믹폚쏀맺1962-1981쓪뗄퇹놾ꎬ붨솢쿲솿ퟔ믘맩쒣탍(VAR)살뷸탐퇐뺿ꎬ웤뷡맻튲횧돖쇋쓦쿲틲맻맘쾵볙쮵ꆣLee(1992)믹폚쏀맺1947-1987쓪뗄퓂뛈쫽뻝ꎬ붨솢쇋냼몬4룶뇤솿뗄쿲솿ퟔ믘맩쒣탍(VAR)ꎬ늢뷸탐쇋랽닮럖뷢뫍싶돥랴펦럖컶ꎬ웤뷡맻룼볓횧돖듺샭볙쮵뛸럇쓦쿲틲맻맘쾵볙쮵ꆣPark뫍Ratti(2000)믹폚쏀맺1955-1998쓪뗄퓂뛈쫽뻝뷸탐뗄퇐뺿좴늻횧돖듺샭볙쮵ꎬ뛸횧돖쇋쓦쿲틲맻맘쾵볙쮵ꆣ ퟛ짏ꎬ뛔폚막욱쫐뎡훐듦퓚뗄ꆰ막욱쫕틦ꆪ춨믵엲헍싊횮쏕ꆱ믲ꆰ럑톩킧펦횮쏕ꆱꎬ탭뛠톧헟듓늻춬뗄뷇뛈살쫔춼뛔듋뷸탐뷢쫍ꎬ듓뛸닺짺쇋짏쫶늻춬뗄볙쮵ꎬ늢닺짺쇋듳솿뗄뺭퇩퇐뺿컄쿗살퇩횤헢킩볙쮵뗄듦퓚탔뫍뫏샭탔ꆣ떫쫇ꎬ뛔폚헢킩볙쮵뗄볬퇩ꎬ믹폚늻춬맺볒뗄퇹놾뫍늻춬뗄볬퇩랽램ꎬ죔좻쎻폐뗃돶튻훂뗄뷡싛뫍뷢쫍ꆣ틲듋ꎬ쯦ퟅ볆솿뺭볃톧랽램뫍뺭볃톧샭싛뗄랢햹ꎬ뛔폚막욱쫐뎡뗄ꆰ럑톩킧펦횮쏕ꆱ뗄퇐뺿죔좻퓚볌탸ꆣ 맺쓚컄쿗뛔막욱쫐뎡럑톩킧펦뗄퇐뺿 맘폚컒맺막욱쫐뎡훐막욱쫕틦싊뫍춨믵엲헍싊뗄퇐뺿퓲캪쫽늻뛠ꆣ뫲쫦뫍(1994)ꆢ97
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쳀맢뮪(1999)뫍샮뫣맢(1999)뗈죋듓샭싛짏첽쳖쇋컒맺막욱볛룱폫춨믵엲헍횮볤뗄맘쾵ꎬ쯻쏇죏캪컂뫍뗄춨믵엲헍믡듙쪹막욱볛룱짏헇ꎬ뛸뛱탔뗄춨믵엲헍퓲믡떼훂막욱볛룱뗄쿂뗸ꎬ떫쯻쏇뻹쎻폐믹폚컒맺뗄퇹놾쫽뻝살뛔듋뷸탐쪵횤볬퇩ꆣ뷹퓆믣(1998)믹폚컒맺1993쓪1퓂훁1996쓪8퓂뗄퓂뛈퇹놾쫽뻝뛔컒맺막욱볛룱뫍춨믵엲헍뷸탐쇋쪵횤볬퇩ꎬ뾼달쇋컒맺춨믵엲헍뛔막욱볛룱뗄펰쿬ꆣ쯻틔쿻럑컯볛짏헇싊PRIRퟷ캪춨믵엲헍싊뛔짏몣ꆢ짮?막볛횸쫽HZSMꆢSZSM럖뇰뷸탐쇋믘맩ꆣ뷡맻뇭쏷ꎬ짏몣뫍짮?뗄막볛횸쫽럖뇰폫춨믵엲헍싊뗄뢺믘맩쾵쫽ퟣ틔쮵쏷쯼쏇횮볤듦퓚랴쿲맘쾵ꆣ쯻뻝듋죏캪ꎬ춨믵엲헍뛔막쫐폐뫜듳뗄뢺쏦펰쿬ꆣ튻랽쏦뻓룟늻쿂뗄춨믵엲헍싊믡펰쿬웳튵뗄뺭볃킧틦ꎻ쇭튻랽쏦ꎬ돖탸뗄춨믵엲헍늻샻폚막쫐뗄랢햹ꎬ듓뛸볤뷓펰쿬웳튵뗄죚ꎬ뛔웳튵뗄랢햹늻샻ꎬ튲믡헻룶뺭볃뗄랢햹쯙뛈뫍뺭볃뷡릹뗄뗷헻ꆣ헔탋쟲(1999)믹폚컒맺1993쓪1퓂훁1998쓪3퓂뗄쫽뻝ꎬ뛔컒맺막욱뗄쏻틥쫕틦싊ꆢ쏻틥닺돶뫍춨믵엲헍뷸탐쇋쪵횤볬퇩ꆣ웤뷡맻뇭쏷ꎬ컒맺춨믵엲헍폫막욱쫕틦뗄맘쾵쿔훸캪뢺ꎬ쏻틥닺돶폫막욱쫕틦뗄맘쾵늢럇볲떥뗄헽맘쾵ꎬ풤웚떽뗄닺돶퓶뎤믡떼훂막욱쫕틦뎯쿠랴뗄랽쿲늨뚯ꎬ럇풤웚떽뗄닺돶퓶뎤퓲떼훂막욱볛룱뎯쿠춬뗄랽쿲늨뚯ꎬ헢뷏뫃뗘뿌뮭쇋훐맺막쫐늨뚯뗄춳볆쳘헷ꆣ떫퓚뿘훆쇋닺돶퓶뎤뗄펰쿬뫳ꎬ춨믵엲헍폫막욱쫕틦뗄헢훖맘쾵퓲쿻쪧ꎬ헢틢캶ퟅ춨헇뛔막욱쫕틦뗄펰쿬살풴폚닺돶뫍막욱쫕틦틔벰닺돶뫍춨믵엲헍뗄맘쾵ꎬ헢잡뫃폫Fama뗄맛뗣튻훂ꆣ 폫횮늻춬뗄쫇ꎬ샨뒺ꆢ싞붡쎷뫍퇮횾뇸(2001)럖컶쇋컒맺쓪뛈막욱횸쫽뫍쓪뛈쿻럑컯볛횸쫽ꎬ쯻쏇죏캪뎤웚춨믵엲헍폫막욱볛룱돊쿖헽쿲맘쾵ꆣ룕쏍ꆢ돂뷰쿍(2003)믹폚1995쓪1퓂훁2002쓪10퓂뗄쫽뻝ꎬ뛔컒맺춨믵엲헍ꆢ막욱쪵볊쫕틦뫍쪵볊뺭볃믮뚯뷸탐쇋쪵횤볬퇩ꎬ뷡맻랢쿖막욱쪵볊쫕틦폫춨믵엲헍싊횮볤듦퓚뢺쿠맘ꎬ쪵볊뺭볃믮뚯폫춨믵엲헍횮볤듦퓚뢺쿠맘ꎬ뛸막욱쪵볊쫕틦폫쪵볊뺭볃믮뚯횮볤퓲듦퓚헽쿠맘ꎬ헢횧돖쇋Fama뗄듺샭볙쮵ꆣ룕쏍죏캪ꎬ믵뇒헾닟훜웚뛔막욱쫕틦폫춨믵엲헍뗄뢺쿠맘폐펰쿬ꎬ믵뇒탔돥믷퓬돉춨믵엲헍폫막욱쫕틦횮볤뗄헽쿠맘ꎬ뛸쪵컯탔돥믷퓲퓬돉춨믵엲헍폫막욱쫕틦횮볤듦퓚뢺쿠맘ꎬ뷡릹탔돥믷뛔헢뛾헟뗄맘쾵튲폐훘튪펰쿬ꆣ샗쏷맺(2003)믹폚컒맺1990-2002쓪뗄퓂뛈쫽뻝ꎬ듓믵뇒헾닟뗄뷇뛈럖컶쇋춨믵엲헍폫막욱쫕틦횮볤뗄맘쾵ꎬ웤럖컶뗄뷡싛탭뛠잡뫃폫룕쏍쿠랴ꎬ쯻죏캪컒맺뗄듺샭98
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 볙쮵늢늻돉솢ꎬ쟒춨믵엲헍폫막욱쫕틦횮볤뗄뢺쿠맘훷튪쫇평믵뇒돥믷퓬돉뗄ꎬ닺돶돥믷뛔듋늢쎻폐펰쿬ꆣ쇵뷰좫ꆢ췵럧퓆(2004)춨맽믘맩뫍쾵쫽볬퇩횤쏷춨헍싊뫍춨헍싊뗄늨뚯탔횮볤듦퓚쿔훸뗄헽쿠맘맘쾵ꆣ좻뫳ꎬ폖춨맽틔짏몣막볛ퟛ뫏횸쫽뗄쪵볊쫕틦싊캪ퟔ뇤솿ꎬ틔춨헍싊뗄쳵볾틬랽닮뗄쮮욽횵뫍훍뫳6웚횵캪틲뇤솿뷸탐믘맩ꎬ뛸뫳뛔믘맩뗄쾵쫽뷸탐쿔훸탔볬퇩ꆣ쯻쏇뗄볬퇩뷡맻뇭쏷ꎬ춨헍싊뗄늨뚯탔뫍막욱뗄쪵볊쫕틦싊횮볤듦퓚쿔훸뗄뢺쿠맘맘쾵ꆣퟛ짏쯹쫶ꎬ룟춨믵엲헍쓜틽웰룟춨믵엲헍뗄늨뚯탔ꎬퟮ훕떼훂막욱쪵볊쫕틦싊뗄붵뗍ꆣ춨믵엲헍싊뗄늨뚯탔폫막욱쪵볊쫕틦싊횮볤캪뢺쿠맘맘쾵ꆣ 듋췢ꎬ맹붨뻼(2005)믹폚컒맺1991-2005쓪뗄퓂뛈쫽뻝뛔컒맺막욱쫐뎡뷸탐쇋쪵횤볬퇩ꎬ뷡맻랢쿖컒맺뗄(쪵볊뫍풤웚)춨믵엲헍싊폫막욱쫕틦횮볤듦퓚쿔훸뗄뢺쿠맘맘쾵ꎬ컒맺막욱쫐뎡훐뗄럑톩킧펦늢늻돉솢ꎬ쯻죏캪헢훖뢺쿲맘쾵훷튪쫇평믵뇒틲쯘퓬돉뗄ꎬ믵뇒릩펦솿뗄퓶뎤싊폫춨믵엲헍싊횮볤듦퓚뢺쿠맘맘쾵ꎬ뛸폫막욱쫕틦돊쿖헽쿠맘맘쾵ꆣ엋랽믜(2007)춨맽킭헻볬퇩랢쿖컒맺춨믵엲헍싊폫막욱쫕틦싊횮볤듦퓚뎤웚뗄뻹뫢맘쾵ꎬ쟒쫇헽쿠맘뗄ꎻ붨솢럖늼훍뫳쒣탍퇐뺿랢쿖막욱쫕틦폫닺돶퓶뎤싊횮볤컞싛퓚뎤웚뮹쫇퓚뛌웚뚼쫇뢺쿠맘맘쾵ꎬ쟒춨믵엲헍싊폫막욱쫕틦횮볤늢늻듦퓚ퟅ횱뷓뗄틲맻맘쾵ꆣ엋랽믜뗄퇐뺿죏캪듺샭볙쮵늢늻쓜뷢쫍컒맺막욱쫕틦폫춨믵엲헍싊횮볤뗄맘쾵싛ꎬ떫쫇좴횧돖쇋뇤틬탔볙쮵ꆣ춨맽뇤닎쫽쒣탍뗄맀볆랢쿖퓚1991쓪1퓂떽2006쓪12퓂웚볤ꎬ퓚%뗄쪱볤쓚막욱쫕틦싊폫춨믵싊횮볤듦퓚뢺쿠맘ꎬ뛸횻폐%뗄쪱볤쓚돶쿖돶헽쿠맘ꆣ ퟛ짏쯹쫶ꎬ뛔폚컒맺막욱쫕틦폫춨믵엲헍횮볤뗄맘쾵퇐뺿ꎬ웤뷡싛듳뛠죏캪헢뛾헟횮볤듦퓚뢺쿠맘ꆣ떫쫇뛔폚닺짺뢺쿠맘뗄풭틲뗄뷢쫍좴룷폐늻춬ꎬ뛸쟒뛔룷훖볙쮵뗄퇩횤뷡싛튲폐쯹늻춬ꆣ헢틢캶ퟅꎬ컒맺막욱쫐뎡훐튲돶쿖쇋ꆰ막욱쫕틦ꆪ춨믵엲헍싊횮쏕ꆱ믲ꆰ럑톩킧펦횮쏕ꆱꆣ 죧쿂춼쯹쪾ꎬ퇹놾웚볤컒맺춨믵엲헍싊폫막욱쫕틦싊횮볤돊쿖돶쿔훸뗄럇뛔돆럇쿟탔뗷헻맘쾵ꎬ튲쿔좻쎻폐튻튻뛔펦맘쾵ꆣ뇈죧ꎬ퓚2000쓪틔잰ꎬ컒맺샺뺭뻧쇒뗄춨헍ꎬ캪틖훆춨헍뫍듙뷸뺭볃퓶뎤ꎬ퇫탐훷튪닉폃뷴쯵믲삩헅뗄믵뇒헾닟ꎬ떼훂춨믵엲헍쿔훸늨뚯ꎬ웤훐1993쓪훁1997쓪탎돉튻룶쿔훸뗄떹U탎ꎬ쯦뫳뗄199899
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쓪훁2000쓪ꎬ컒맺뗄춨헍뇤뚯싊뇤뮯탎돉튻룶늻맦퓲뫍늻쿔훸뗄U탎뷡릹ꎬ2001쓪틔뫳ꎬ컒맺뗄춨헍싊퓚뗍캻퓋탐ꎬ웤볤뷏듳뗄늨뚯돶쿖퓚2004쓪4-8퓂ꆣ떫ퟔ2007쓪6퓂훁뷱ꎬ컒맺춨믵엲헍싊늻뛏짏짽ꎬ2008쓪2퓂틑뺭춻웆ꎬ늢쟒춨믵엲헍풤웚뮹폐늻뛏짏짽뗄쟷쫆ꎬ틲듋퇫탐캪쇋뿘훆춨믵엲헍ꎬ뫏샭틽떼춨믵엲헍풤웚ꎬ10쓪살쫗듎평컈붡뗄믵뇒헾닟뇤캪듓뷴뗄믵뇒헾닟ꆣ떫쫇헢튻웚볤뗄막욱쫕틦싊뗄뇤뮯쳘헷늢럇죧듋ꎬ평막욱쫕틦싊뗄쫽뻝춼탎뿉틔뾴돶ꎬ퓚1991쓪훁1995쓪웚볤ꎬ막욱쫕틦싊뻟폐뫜잿뗄늨뚯탔쳘헷ꎬ쳘뇰쫇1992쓪5퓂뫍1994쓪8퓂ꎬ막욱쫕틦싊럖뇰벱쯙짏짽듯떽쇋%뫍%ꆣퟔ1995훁뷱ꎬ막욱쫕틦뗄늨뚯럹뛈믹놾뿘훆퓚30%랶캧쓚ꎬ뛸쟒ꎬ막욱쫕틦싊퓚헽뢺횮볤뗄늨뚯뇈뷏쏷쿔ꎬ뒦폚컞맦퓲뗄늨뚯ힴ첬ꎬ쎻폐쏷쿔뗄뇤뮯맦싉ꎬ늻쿱춨믵엲헍싊믡퓚쒳튻쪱웚믹놾뒦폚짏짽믲쿂붵ힴ첬ꎬ짵훁뻟폐뛔돆믲U탎ힴ첬ꆣퟛ짏럖컶뇭쏷ꎬ컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뢴퓓뗄럇쿟탔뗄맘쾵ꎬ뛸늢럇죧럑톩킧펦쯹쏨쫶뗄볲떥뗄튻튻뛔펦뗄쿟탔뗷헻맘쾵ꎬ떫쫇폖뫜쓑폃튻룶뻟쳥짨뚨뗄럇쿟탔쒣탍살뛔헢뛾헟횮볤뗄맘쾵뷸탐뿌뮭ꆣ 믹폚컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤뻟폐뗄럇쿟탔맘쾵쳘헷ꎬ뛸컒맺틑폐뗄맘폚헢뛾헟횮볤뗄맘쾵퇐뺿믹놾짏뚼쫇믹폚쿟탔닎쫽짨뚨뗄쒣탍살뷸탐맀볆뫍볬퇩ꎬ틲듋ꎬ헢킩맀볆뫍볬퇩뿉쓜믡평폚뛔럇쿟탔틲쯘뗄뫶싔뛸닺짺듭컳뗄짨뚨쟒떼훂맀볆뗄욫컳ꎬ듓뛸컞램뗃돶컈붡뗄뷡싛뫍뫏샭뗄뷢쫍ꆣ본폚듋ꎬ놾컄붫훷튪쪹폃럇닎쫽떥캻룹뫍럇닎쫽킭헻볬퇩 ꎬ뢨횮틔닎쫽탍뗄킭헻볬퇩ꎬ틔뾼달컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦럑톩킧펦ꆣ뷸튻늽ꎬ죴럇닎쫽킭헻볬퇩뇭쏷컒맺막욱쫕틦싊폫춨믵엲헍횮볤듦퓚튻룶뎤웚뗄럇쿟탔킭헻맘쾵ꎬ컒쏇탨튪맀볆쿠펦뗄럑톩킧펦횵, 틲듋컒쏇탨튪펦폃럇닎쫽랽램맀볆쿠맘뗄럑톩쾵쫽ꎬ틔뾼달컒맺쏻틥샻싊폫춨헍횮볤쫇췪좫뗄뮹쫇죵뗄(믲늿럖뗄)럑톩킧펦믲룹놾뻍늻듦퓚럑톩킧펦ꎿ 컒맺막욱쫐뎡럑톩킧펦뗄럇닎쫽볬퇩 쫽뻝톡좡벰웤떥캻룹볬퇩 볬퇩막욱쫐뎡훐뗄럑톩킧펦ꎬ짦벰떽막욱쏻틥쫕틦싊폫춨믵엲헍싊뗄톡좡ꆣ춨믵100
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 엲헍싊뗄뚨틥춬폚잰쏦헂뷚ꎬ벴춨믵엲헍싊(π)쪹폃좫맺쿻럑헟볛룱횸쫽(CPI)뗄뇤뮯t싊ꆣ뛔폚막욱뗄쏻틥쫕틦싊ꎬ본폚듳솿뗄퇐뺿랢쿖컒맺뮦쫐폫짮쫐뗄쿠맘탔퓚90%틔짏ꎬ헢샯톡좡뮦쫐뗄쫕틦싊ퟷ캪놾컄뗄막욱쏻틥쫕틦싊(NR)ꎬ룃쫕틦싊쫇내헕쿠펦t횸쫽뗄볓좨랽쪽볆쯣뗄뾼싇럖뫬뗄믘놨싊ꆣ놾컄톡좡뗄쫇퓂뛈쫽뻝ꎬ퇹놾쟸볤캪1991쓪1퓂ꆪ2008쓪2퓂ꎬ릲206룶퇹놾쫽뻝ꆣ쫽뻝살풴ꎺCCER쫽뻝뿢ꆣ 춨믵엲헍싊302막욱쫕틦싊 춼 춨믵엲헍싊뫍막욱쫕틦싊쫽뻝 퓚뗚3헂컒쏇틑뺭횸돶ꎬ믹폚쿟탔닎쫽쒣탍뗄떥캻룹볬퇩뿉쓜믡평폚쒣탍뗄듭컳짨뚨뫍닎쫽뗄맀볆욫컳뛸떼훂볬퇩쫆뗄붵뗍ꎬ틲듋닉폃럇닎쫽떥캻룹볬퇩뛔뇤솿뷸탐볬퇩ꎬ늢춬쪱놨룦쇋ADF볬퇩뫍PP볬퇩뗄볬퇩뷡맻ꎬ뷡맻죧쿂ꎺ 뇭 뇤솿뗄떥캻룹볬퇩뷡맻 뇤솿쏻돆 BR ADF PP *** (***) (***) NR *** (***) (***) π t힢ꎺ퓚ADF뫍PP떥캻룹볬퇩훐ꎬ***쫇횸퓚1%뗄쿔훸탔쮮욽짏뻜뻸풭볙짨ꆣ퓚럇닎쫽떥캻룹볬퇩(BR)훐ꎬ***쫇횸퓚1%뗄쿔훸탔쮮욽짏뷓쫜풭볙짨ꆣ 듓뇭뿉횪ꎬ뛔폚R뫍πꎬ컒쏇쯹볆쯣뗄럇닎쫽떥캻룹볬퇩춳볆솿횵럖뇰캪tt101 1991M011991M101992M071993M041994M011994M101995M071996M041997M011997M101998M071999M042000M012000M102001M072002M042003M012003M102004M072005M042006M012006M102007M07
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 ˆρ=뫍ˆρ=ꎬ뻹듳폚뛔펦폚1ꎥ쿔훸탔쮮욽쿂뗄쇙뷧횵(Breitungꎬ2002)ꎬ쯹틔뷓쫜떥캻룹풭볙짨ꎬ평듋닺짺뗄뷡싛캪ꎬR뫍π뻹평떥캻룹맽돌쯹짺돉ꆣtt헢튻뷡싛폫닎쫽탍뗄ADF뫍PP떥캻룹볬퇩뗄뷡싛쿠춬ꆣ틲듋ꎬ놾컄뛔폚뇤솿R뫍πtt뗄떥캻룹볬퇩뗄뷡싛뻟폐컈붡탔ꆣ놾컄뷸튻늽붫펦폃럇닎쫽킭헻볬퇩(Breitungꎬ2002)ꎬ늢뢨틔닎쫽탍뗄Johansen 킭헻볬퇩ꎬ틔뾼달컒맺막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚뎤웚뗄킭헻맘쾵ꎬ뛸쟒죴듦퓚뗄뮰ꎬ헢뛾헟횮볤뗄맘쾵쫇쿟탔믲쫇럇쿟탔ꎿ 막욱쫕틦싊폫춨믵엲헍싊뗄럇닎쫽킭헻볬퇩 죧춼쯹쪾ꎬ컒맺막욱쫕틦싊폫춨믵엲헍싊뗄뇤뮯쳘헷폐ퟅ쿔훸뗄쟸뇰ꆣ쿠뛔폚춨믵엲헍싊뗄뇤뮯ꎬ막욱쫕틦싊늢쎻폐죧럑톩볙짨뗄뎯춬튻랽쿲뗈럹뇤뮯ꎬ뛸쟒웤뇤뚯뗄럹뛈뻟폐쪵훊탔닮틬ꎬ웤뇤뚯쒣쪽튲폫춨헍늻뛔돆ꆣ뇈죧퓚1991쓪훁1995쓪웚볤ꎬ막욱쫕틦싊뻟폐뫜잿뗄늨뚯탔쳘헷ꎬ쳘뇰쫇1992쓪5퓂뫍1994쓪8퓂ꎬ막욱쫕틦싊럖뇰평%뫍%벱쯙짏짽듯떽쇋%뫍%ꎬ떫쯦횮폖럖뇰벱쯙쿂붵떽%뫍%ꆣ뛸춨믵엲헍싊뗄뇤뮯쳘헷좴폫횮늻뺡쿠춬ꎬ춨믵엲헍싊평1992쓪4퓂뗄%쿂붵캪5퓂뗄%ꎬ6퓂뗄춨믵엲헍싊킡럹짏짽캪%ꆣ뛔펦폚1994쓪8퓂ꎬ춨믵엲헍싊평7퓂뗄24%짏짽훁8퓂뗄%ꎬ9퓂뗄춨믵엲헍싊짏짽캪%ꆣퟔ1995쓪훁뷱ꎬ막욱쫕틦싊쎻폐돶쿖맽죧듋뻧쇒뗄늨뚯ꎬ믹놾놣돖퓚30%뗄늨뚯랶캧ꆣ컒쏇퓙살뾴뷼웚뗄막욱쫕틦폫춨믵엲헍싊뗄뇤뚯쳘헷ꎬ죧2007쓪11퓂럝훁2008쓪2퓂럝뗄막욱쫕틦럖뇰캪ꎺ-18%ꆢ8%ꆢ%뫍%ꎬ뛸헢웚볤뗄춨믵엲헍싊럖뇰캪ꎺ%ꆢ%ꆢ%뫍%ꆣ평짏쫶쫽뻝럖컶뫍춼탎쯹쪾뿉틔뾴돶ꎬ막욱쫕틦싊폫춨믵엲헍싊횮볤뗄맘쾵늻뷶뷶쎻폐튻튻뛔펦뗄뗷헻맘쾵ꎬ뛸쟒튲쯆뫵늢늻쓜폃볲떥뗄쿟탔맘쾵살볓틔뿌뮭ꆣ쯤좻맺쓚탭뛠퇐뺿죏캪컒맺막욱쫕틦폫춨믵엲헍싊횮볤듦퓚뢺쿠맘맘쾵ꎬ헢튲뻍틢캶ퟅꎬ막욱쫕틦싊믡뎯ퟅ폫춨믵엲헍싊쿠랴뗄랽쿲뇤뮯ꆣ떫쫇짏쫶럖컶뇭쏷ꎬ컒맺막욱쫕틦폫춨믵엲헍싊횮볤뗄맘쾵쯆뫵늢늻횻쫇듦퓚볲떥뗄뢺쿲맘쾵ꆣ듓뇤뮯뗄랽쿲짏뾴ꎬ폐쪱쿠춬뛸폐쪱좴쿠랴ꎬ듓뇤뮯뗄럹뛈짏뾴ꎬ102
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 좴뻟폐뫜듳뗄늻춬ꆣ틲듋ꎬ뇊헟돵늽죏캪컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤뿉쓜듦퓚뢴퓓뗄럇쿟탔맘쾵ꎬ뛸쟒뫜쓑폃뻟쳥뗄럇쿟탔쒣탍살뛔듋볓틔뿌뮭ꆣ본폚듋ꎬ놾컄붫닉폃럇닎쫽킭헻볬퇩(Breitungꎬ2002)ꎬ볬퇩컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚럇쿟탔킭헻ꎬ죴듦퓚뗄뮰ꎬ퓲틢캶ퟅ헢뛾헟횮볤듦퓚ퟅ럇쿟탔뗄뗷헻믺훆ꆣ 춬폚뗚4헂맘폚컒맺쏻틥쫕틦싊폫춨믵엲헍싊뗄킭헻볬퇩ꎬ헢샯튲쫇닉폃Breitung(2002)쳡돶뗄럇닎쫽킭헻볬퇩ꎬ늢춬쪱놨룦Johansen(1998ꎬ1991)뗄쿟탔닎쫽탍킭헻볬퇩ꆣ믹폚헢뛾헟볬퇩뗄뷡싛ꎬ에뛏컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱뻟폐뎤웚뗄뻹뫢맘쾵ꎬ죴뻟폐뗄뮰ꎬ뷸튻늽쪶뇰헢뛾헟횮볤듦퓚뗄쫇쿟탔뗄뮹쫇럇쿟탔뗄맘쾵ꆣ킭헻볬퇩뗄뷡맻죧쿂ꎺ 뇭 킭헻볬퇩뷡맻 탩쓢볙짨 럇닎쫽킭헻볬퇩 Johansen킭헻볬퇩 ퟮ듳쳘헷횵 벣춳볆솿 5%쿔훸탔쮮욽쿂뗄쇙뷧횵 HΛ q0r=0 ** r≤1 힢ꎺr뇭쪾킭헻맘쾵뗄룶쫽ꎬr=0뇭쪾늻듦퓚킭헻맘쾵ꎬr≤1뇭쪾훁짙듦퓚튻룶킭헻맘쾵ꆣ**쫇횸퓚5%뗄쿔훸탔쮮욽짏뻜뻸풭볙짨ꆣ떱럇닎쫽킭헻볬퇩횵Λ듳폚쿠펦뗄쇙뷧횵(볻qBreitungꎬ2002)쪱ꎬ퓲뻜뻸풭볙짨ꆣ 뇭훐ꎬ럇닎쫽킭헻볬퇩뗄뷡맻뿉틔뾴돶ꎬ뛔폚풭볙짨r=0ꎬ볆쯣뗄Λ=ꎬ룸뚨쿔훸탔쮮욽5%ꎬ뛔펦뗄쇙뷧횵캪(Breitungꎬ2002)ꎬ평폚qΛ=>ꎬ틲듋컒쏇뻜뻸r=0ꆣ뷸튻늽ꎬ뛔폚풭볙짨Hꎺr≤1ꎬ볆쯣뗄Λq0qꎽꎬ킡폚웤뛔펦뗄쇙뷧횵ꎬ틲듋뷓쫜풭볙짨r≤1ꆣ평듋닺짺훘튪뗄뷡싛ꎺ 컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄킭헻맘쾵ꎬ뛸믹폚Johansen쿟탔닎쫽탍킭헻볬퇩뗄뷡싛쫇늻듦퓚킭헻맘쾵ꆣ헢뇭쏷ꎬ컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄펰쿬믺훆ꎬ뛸늢럇튻룶볲떥뗄쿟탔뢺쿲믲헽쿲맘쾵뻍뿉틔붫헢뛾헟횮볤뗄뢴퓓맘쾵폨틔헽좷뗄쏨쫶뫍뿌뮭ꆣJohansen킭헻볬퇩쫇믹폚쿟탔닎쫽쒣탍살뷸탐ꎬ뿉103
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쓜쫇평폚볬퇩쒣탍훐뫶싔쇋막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뗄럇쿟탔틲쯘뛸떼훂뻜뻸킭헻맘쾵뗄듦퓚ꆣ럇닎쫽킭헻볬퇩늢늻믹폚뻟쳥짨뚨뗄볬퇩쒣탍살뷸탐ꎬ쎻폐뫶싔헢웤훐뿉쓜듦퓚뗄쿟탔믲럇쿟탔뗄펰쿬틲쯘ꎬ틲듋볬퇩뗄뷡맻뇭쏷막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄펰쿬믺훆ꆣ 막욱쫕틦싊폫춨믵엲헍싊뗄럇닎쫽쒣탍맀볆 컒맺막욱쫐뎡쯤좻돉솢늻뎤ꎬ떫뺭샺쇋뢴퓓뛠뇤뗄쫐뎡뺭볃뮷뺳폫헾닟뮷뺳ꎬ춶헟뗄탄첬퓚늻춬뗄샺쪷뷗뛎튲폐뫜듳뗄뇤뮯ꎬ웤럇쿟탔쳘헷럇뎣쏷쿔ꎬ폃닎쫽쿟탔쒣탍살뿌뮭웤뇤솿횮볤뗄펰쿬맘쾵쿔좻쫇늻뫏쫊뗄ꎬ틲듋놾컄붫붨솢럇닎쫽쒣탍살맀볆막욱쫕틦싊폫춨믵엲헍싊횮볤뗄럇쿟탔펰쿬믺훆ꆣ뻟쳥뛸퇔ꎬ컒맺막욱쫐뎡쫕틦싊쫜냼삨춨믵엲헍퓚쓚뗄뛠훖틲쯘펰쿬ꎬ헢킩틲쯘뗄쿠뮥ퟷ폃뫍쿠뮥펰쿬맘쾵떼훂막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뢴퓓뗄럇쿟탔맘쾵ꆣ춨믵엲헍뛔막욱쫐뎡폐샻폐뇗ꎬ볈폐듌벤쫐뎡뗄ퟷ폃ꎬ폖폐톹틖쫐뎡뗄ퟷ폃ꎬ떫ퟜ뗄살뾴쫇뇗듳폚샻ꎬ쯼믡췆뚯막쫐뗄엝쒭돉럖볓듳ꆣ퓚춨믵엲헍돵웚ꎬ평폚믵뇒릩펦퓶볓믡듌벤짺닺뫍쿻럑ꎬ퓶볓웳튵뗄펯샻ꎬ듓뛸듙쪹막욱볛룱짏헇ꆣ떫춨믵엲헍떽쇋튻뚨돌뛈쪱ꎬ붫믡췆뚯샻싊짏퇯ꎬ듓뛸듙쪹막볛쿂뗸ꆣ퓚펰쿬막욱쫐뎡ퟟ쫆뗄훮뛠틲쯘훐ꎬ샻싊쫇튻룶뇈뷏쏴룐뗄틲쯘ꆣ튻냣살쮵ꎬ샻싊짏짽ꎬ뿉쓜믡붫튻늿럖뷰컼틽떽틸탐뒢탮쾵춳ꎬ듓뛸퇸믮쇋막욱쫐뎡뗄뷰솿ꎬ뛔막볛퓬돉튻뚨뗄펰쿬ꆣ춬쪱ꎬ평폚샻싊짏짽ꎬ웳튵뺭펪돉놾퓶볓ꎬ샻죳복짙ꎬ튲쿠펦뗘믡쪹막욱볛룱폐쯹쿂뗸ꆣ랴횮ꎬ샻싊붵뗍ꎬ죋쏇돶폚놣횵퓶횵뗄쓚퓚탨튪ꎬ뿉쓜믡붫룼뛠뗄뷰춶쿲막쫐ꎬ듓뛸듌벤막욱볛룱뗄짏헇ꆣ춬퇹ꎬ샻싊뗄붵뗍쪹웳튵뺭펪돉놾붵뗍ꎬ샻죳퓶볓ꎬ튲쿠펦뗘듙쪹막욱볛룱짏헇ꆣ뛔폚뻟쳥뗄룶막뛸퇔ꎬ펰쿬웤쫕틦뗄훷튪틲쯘퓚폚웳튵놾짭뗄쓚퓚쯘훊ꎬ냼삨닆컱ힴ뿶ꆢ뺭펪쟩뿶ꆢ맜샭쮮욽ꆢ벼쫵쓜솦ꆢ쫐뎡듳킡ꆢ탐튵쳘뗣ꆢ랢햹잱솦뗈튻쾵쇐틲쯘ꆣ뛔막욱쫐뎡닺짺횱뷓믲볤뷓펰쿬뗄헾훎랽쏦뗄풭틲ꎬ죧맺볊뗄헾훎탎쫆ꆢ헾훎쫂볾ꆢ맺볒횮볤뗄맘쾵틔벰탂헾닟뗄쪵쪩뗈ꎬ튲믡뛔막막욱쫐뎡닺짺뻞듳뗄ꆢ춻랢탔뗄펰쿬ꆣ떫듓뎤웚뫍룹놾짏뾴ꎬ막욱쫐뎡뗄ퟟ쫆뫍뇤뮯쫇평튻맺뺭볃랢햹쮮욽뫍뺭볃뺰웸ힴ뿶쯹뻶뚨뗄ꎬ막욱쫐뎡볛룱늨뚯튲퓚뫜듳돌뛈짏랴펳쇋뫪맛뺭볃ힴ뿶뗄뇤뮯ꆣ짏쫶틲쯘뗄ퟛ뫏ퟷ폃쪹104
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 막욱쫕틦싊폫춨믵엲헍횮볤듦퓚럇쿟탔뗄뗷헻맘쾵ꎬ뛸본폚뫜쓑짨뚨뻟쳥쟒헽좷뗄럇쿟탔쒣탍살뿌뮭컒맺막욱쫕틦싊폫춨믵엲헍싊횮볤뗄럇쿟탔뗷헻맘쾵ꎬ캪쇋뇜쏢평폚쒣탍뗄듭컳짨뚨뫍닎쫽뗄맀볆욫컳컊쳢ꎬ뇊헟붫붨솢럇닎쫽쒣탍살뛔막욱쫐뎡뗄럑톩랽돌뷸탐맀볆ꎬ늢룹뻝맀볆뗄럑톩킧펦쾵쫽듳킡살에뛏컒맺막욱쫐뎡쫇럱듦퓚럑톩킧펦ꆣ 잰쏦틑뺭쳡벰떽럇닎쫽쒣탍뗄맀볆랽램폐뛠훖ꎬ죧뫋맀볆ꆢ뻖늿쿟탔맀볆ꆢK-뷼쇚맀볆ꆢ헽붻탲쇐맀볆ꆢ퇹쳵맀볆뗈ꆣ본폚놾컄훷튪쫇튪맀볆럑톩킧펦쾵쫽뗄쒿뗄ꎬˆ쯹틔톡퓱퓋폃뇤뒰뿭뻖늿쿟탔맀볆살쟳돶럇닎쫽몯쫽횵뫍죧잰쯹쫶뗄β(벴쎿튻웚막ˆ욱쫕틦싊뛔춨믵엲헍뇤뮯뗄뗷헻쾵쫽)ꆣퟮ훘튪뗄쫇ꎬ헢샯쟳돶뗄뗷헻쾵쫽β퓚쎿튻웚뚼쫇늻춬뗄ꎬ튲뻍쫇쮵ꎬ막욱쫕틦싊퓚쎿튻웚뛔폚춨믵엲헍뗄뇤뮯뗄뗷헻쾵쫽뚼쫇ˆ늻쿠춬뗄ꆣ헽쫇믹폚헢튻훘튪쳘헷ꎬ컒쏇뿉틔룹뻝맀볆뗄β살뾼달컒맺쫇럱듦퓚럑톩킧펦ꎿ죴듦퓚뗄뮰ꎬ쓇쎴쫇췪좫뗄럑톩킧펦뮹쫇죵뗄뗄럑톩킧펦ꎿ 럑톩랽돌뛔펦뗄럇닎쫽믘맩쒣탍죧쿂ꎺ NR=m(π)+u t=1,2,…,207 () ttt웤훐ꎬNR캪막욱쫕틦싊ꎬπ캪춨믵엲헍싊ꎬm(i)쫇R뫍π횮볤뗄캴횪몯쫽ꎬtttt럇닎쫽랽램뛔헢튻몯쫽탎쪽m(i) (쿟탔믲럇쿟탔탎쪽)늢늻ퟶ돶죎뫎볙짨ꎬ뛸쫇춨맽퇹놾쫽뻝놾짭살맀볆헢룶몯쫽ꎬ헢뿉틔퓚튻뚨돌뛈짏뇜쏢쒣탍뗄듭컳짨뚨컊쳢ꎻu쫇t쯦믺컳닮쿮ꎬ쯼뗄몬틥폫뺭뗤쒣탍훐뗄컳닮쿮쫇쿠춬뗄ꎬ벴냼몬쇋돽뷢쫍뇤솿췢웤쯻펰쿬놻뷢쫍뇤솿뗄뿉맛달믲늻뿉맛달뗄틲쯘뛔놻뷢쫍뇤솿뗄펰쿬틔벰쒣탍뗄짨뚨컳닮뗈ꆣ 뇊헟닉폃뇤뒰뿭뻖늿쿟탔맀볆살맀볆짏쫶뗄럇닎쫽쒣탍ꎬ헢쫇평폚룃맀볆랽램늻뷶쓜맀볆돶캴횪뗄몯쫽횵mˆ(i)ꎬ뛸쟒뮹춬쪱맀볆돶캴횪몯쫽맘폚뷢쫍뇤솿뗄떼몯쫽ˆmˆ′(i)ꎬ헢헽쫇컒쏇튪맀볆뗄뗷헻쾵쫽βꆣ럇닎쫽뻖늿쿟탔맀볆쫗쿈쫇붫m(i)쪹폃첩샕튻뷗햹뾪뛸뷸탐뻖늿쿟탔뮯ꎬ벴뛔뒰뿭랶캧쓚(뻖늿)뗄퇹놾쫽뻝뷸탐볓좨ퟮ킡뛾돋105
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 맀볆′(볇β=m(π)ꎬβ=m(π))ꎬ벴ꎺ 0t1tn2 minNR−β−β(π−π)K(π−π) () {}∑i01ith/α(π)tniβi=1웤훐ꎬK(i)쫇뫋몯쫽ꎬ놾컄톡폃뗄쫇Epanechnikov 뫋ꎬ벴2−1−1K(u)=(1−u)I(|u|≤1)ꎬ뫋좨몯쫽캪K(π−π)=hK(π−π)h)ꎬ웤훐htivtivvh=h/α(π)캪뿉뇤뒰뿭ꎬα(π)캪뷢쫍뇤솿뫋쏜뛈몯쫽맀볆ꎬh쫇퓚맀볆돌탲훐톡좡vii뗄뒰뿭ꆣ뫜쏷쿔ꎬ뇤뒰뿭(h)쫇횸뒰뿭믡쯦ퟅ뷢쫍뇤솿뗄뫋쏜뛈몯쫽α(π)뛸뇤뮯ꆣvi믹폚듋볆쯣돶룷퇹놾뗣뛔펦뗄β뫍β뗄뇤뒰뿭뻖늿쿟탔맀볆횵캪ꎺ 01ˆβ0''−1' =e(ΠWΠ)ΠWNR () 1ππ,απππ,αtttttˆβ1'''웤훐e=(1,0,""0)ꎬΠ=(Π""Π)ꎬΠ=(1,(π−π))ꎬ1ππ,1π,nπ,iittttt'W=diag{Kπ−),""K(−)}ꎬNR=(NR,NR,""NR)ꆣ믹폚π,αh/α(π)t1h/α(π)tn12ntnin컒맺쫽뻝뗄럇쿟탔쳘헷ꎬ놾컄닉폃뇤뒰뿭뻖늿쿟탔맀볆뿉틔닺짺룼볓뫏샭뗄뷡싛ꆣ놾컄믹폚럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆쇋컒맺막욱쏻틥쫕틦싊폫춨믵엲헍싊뛔펦뗄럑톩킧펦쾵쫽ꆣ춬쪱ꎬ믹폚잰쏦쳡벰뗄막욱쫐뎡럑톩킧펦뮹뿉틔믹폚막욱쪵볊쫕틦싊폫춨믵엲헍싊살뷸탐볬퇩ꎬ틲듋ꎬ놾컄춬쪱놨룦쇋헢솽훖쟩탎쿂뗄럇닎쫽쒣탍맀볆ꎬ쏻틥쫕틦싊뫍쪵볊쫕틦싊폫춨믵엲헍싊럖뇰뛔펦뗄럑톩킧펦쾵쫽맀볆볻뇭뫍뇭ꎺ 106
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뇭 막욱쏻틥쫕틦싊뫍춨믵엲헍싊뛔펦뗄럑톩킧펦쾵쫽맀볆 쓪퓂 럑톩킧펦쾵쫽 쓪퓂 럑톩킧펦쾵쫽쓪퓂 럑톩킧펦쾵쫽1991M01 1997M03 2002M09 1991M02 1997M04 2002M10 1991M03 1997M05 2002M11 1991M04 1997M06 2002M12 1991M05 1997M07 2003M01 1991M06 1997M08 2003M02 1991M07 1997M09 2003M03 1991M08 1997M10 2003M04 1991M09 1997M11 2003M05 1991M10 1997M12 2003M06 1991M11 1998M01 2003M07 1991M12 1998M02 2003M08 1992M01 1998M03 2003M09 1992M02 1998M04 2003M10 1992M03 1998M05 2003M11 1992M04 1998M06 2003M12 1992M06 1998M07 2004M01 1992M07 1998M08 2004M02 1992M08 1998M09 2004M03 1992M09 1998M10 2004M04 1992M10 1998M11 2004M05 1992M11 1998M12 2004M06 1992M12 1999M01 2004M07 1993M01 1999M02 2004M08 107
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 탸뇭 1993M02 1999M03 2004M09 1993M03 1999M04 2004M10 1993M04 1999M05 2004M11 1993M05 1999M06 2004M12 1993M06 1999M07 2005M01 1993M07 1999M08 2005M02 1993M08 1999M09 2005M03 1993M09 1999M10 2005M04 1993M10 1999M11 2005M05 1993M11 1999M12 2005M06 1993M12 2000M01 2005M07 1994M01 2000M02 2005M08 1994M02 2000M03 2005M09 1994M03 2000M04 2005M10 1994M04 2000M05 2005M11 1994M05 2000M06 2005M12 1994M06 2000M07 2006M01 1994M07 2000M08 2006M02 1995M03 2000M09 2006M03 1995M04 2000M10 2006M04 1995M05 2000M11 2006M05 1995M06 2000M12 2006M06 1995M07 2001M01 2006M07 1995M08 2001M02 2006M08 1995M09 2001M03 2006M09 108
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 탸뇭 1995M10 2001M04 2006M10 1995M11 2001M05 2006M11 1995M12 2001M06 2006M12 1996M01 2001M07 2007M01 1996M02 2001M08 2007M02 1996M03 2001M09 2007M03 1996M04 2001M10 2007M04 1996M05 2001M11 2007M05 1996M06 2001M12 2007M06 1996M07 2002M01 2007M07 1996M08 2002M02 2007M08 1996M09 2002M03 2007M09 1996M10 2002M04 2007M10 1996M11 2002M05 2007M11 1996M12 2002M06 2007M12 1997M01 2002M07 2008M01 1997M02 2002M08 2008M02 힢ꎺ퓚럇닎쫽맀볆뗄맽돌훐ꎬ캪쇋뇜쏢튻킩틬뎣뗣뛔맀볆퓬돉펰쿬ꎬ틲듋쿻돽헢킩틬뎣뗣뫳퓙뷸탐맀볆ꆣ 109
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뇭 막욱쪵볊쫕틦싊뫍춨믵엲헍싊뛔펦뗄뗄럑톩킧펦쾵쫽맀볆 쓪퓂 럑톩킧펦쾵쫽 쓪퓂 럑톩킧펦쾵쫽쓪퓂 럑톩킧펦쾵쫽1991M01 1997M03 2002M09 1991M02 1997M04 2002M10 1991M03 1997M05 2002M11 1991M04 1997M06 2002M12 1991M05 1997M07 2003M01 1991M06 1997M08 2003M02 1991M07 1997M09 2003M03 1991M08 1997M10 2003M04 1991M09 1997M11 2003M05 1991M10 1997M12 2003M06 1991M11 1998M01 2003M07 1991M12 1998M02 2003M08 1992M01 1998M03 2003M09 1992M02 1998M04 2003M10 1992M03 1998M05 2003M11 1992M04 1998M06 2003M12 1992M06 1998M07 2004M01 1992M07 1998M08 2004M02 1992M08 1998M09 2004M03 1992M09 1998M10 2004M04 1992M10 1998M11 2004M05 1992M11 1998M12 2004M06 1992M12 1999M01 2004M07 1993M01 1999M02 2004M08 110
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 탸뇭 1993M02 1999M03 2004M09 1993M03 1999M04 2004M10 1993M04 1999M05 2004M11 1993M05 1999M06 2004M12 1993M06 1999M07 2005M01 1993M07 1999M08 2005M02 1993M08 1999M09 2005M03 1993M09 1999M10 2005M04 1993M10 1999M11 2005M05 1993M11 1999M12 2005M06 1993M12 2000M01 2005M07 1994M01 2000M02 2005M08 1994M02 2000M03 2005M09 1994M03 2000M04 2005M10 1994M04 2000M05 2005M11 1994M05 2000M06 2005M12 1994M06 2000M07 2006M01 1994M07 2000M08 2006M02 1995M03 2000M09 2006M03 1995M04 2000M10 2006M04 1995M05 2000M11 2006M05 1995M06 2000M12 2006M06 1995M07 2001M01 2006M07 1995M08 2001M02 2006M08 1995M09 2001M03 2006M09 111
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 탸뇭 1995M10 2001M04 2006M10 1995M11 2001M05 2006M11 1995M12 2001M06 2006M12 1996M01 2001M07 2007M01 1996M02 2001M08 2007M02 1996M03 2001M09 2007M03 1996M04 2001M10 2007M04 1996M05 2001M11 2007M05 1996M06 2001M12 2007M06 1996M07 2002M01 2007M07 1996M08 2002M02 2007M08 1996M09 2002M03 2007M09 1996M10 2002M04 2007M10 1996M11 2002M05 2007M11 1996M12 2002M06 2007M12 1997M01 2002M07 2008M01 1997M02 2002M08 2008M02 힢ꎺ퓚럇닎쫽맀볆뗄맽돌훐ꎬ캪쇋뇜쏢튻킩틬뎣뗣뛔맀볆퓬돉펰쿬ꎬ틲듋쿻돽헢킩틬뎣뗣뫳퓙뷸탐맀볆ꆣ 평뇭뿉볻ꎬ컒맺막욱쏻틥쫕틦싊폫춨믵엲헍싊횮볤뗄뗷헻쾵쫽퓚헽뢺횮볤붻쳦돶쿖ꎬ헢틢캶ퟅꎬ뛔폚컒맺춨믵엲헍싊뗄뇤뮯ꎬ막욱쏻틥쫕틦싊뛔펦뗄뇤뮯폐쪱캪춬랽쿲ꎬ뛸폐쪱퓲췹쿠랴뗄랽쿲뇤뮯ꆣ죧잰쯹쫶ꎬ떱막욱쫐뎡훐듦퓚럑톩킧펦쪱ꎬ막욱쏻틥쫕틦싊믡뛔펦폚춨믵엲헍싊뗄뇤뮯춬랽쿲뇤뮯ꎬ뛸쟒뇤뮯뗄럹뛈쿠춬ꎬ떱뇤뮯뗄럹뛈킡폚1쪱ꎬ퓲뿉틔죏캪듦퓚죵뗄럑톩킧펦ꆣ틲듋ꎬ믹폚막욱쫐뎡럑톩킧펦뗄몬틥뫍짏쫶맀볆뗄뷡맻ꎬ놾컄죏캪컒맺막욱쫐뎡늻듦퓚럑톩킧펦ꆣ뷸튻늽ꎬ컒쏇뿉틔듓뇭훐뗄맀볆뷡맻뾴돶ꎬ믹폚컒맺막욱쪵볊쫕틦싊폫춨믵엲헍싊볆쯣뗄럑톩킧펦쾵112
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 쫽듳뛠쫽쟩뿶캪뢺ꎬ짙쫽쾵쫽캪헽ꎬ뛸늢럇럑톩킧펦틾몬뗄쾵쫽캪쇣ꆣ틲듋ꎬ헢튲퓙듎횤쪵쇋컒맺막욱쫐뎡늻듦퓚럑톩킧펦ꎬ룃뷡싛폫듳뛠쫽맺볊컄쿗뫍맺쓚컄쿗뗄퇐뺿뷡싛쿠춬ꆣ쯹늻춬뗄쫇ꎬ쿟탔닎쫽쒣탍횻쓜맀볆돶튻룶쾵쫽ꎬ뛸믹폚럇닎쫽쒣탍뿉틔맀볆돶뛔펦폚춨믵엲헍쎿튻웚뗄뇤뮯ꎬ막욱쏻틥쫕틦싊뫍쪵볊쫕틦싊쯹뛔펦뗄뇤뮯쾵쫽ꎬ헢룼뫃뗘랴펳쇋막욱쫕틦싊폫춨믵엲헍싊횮볤뗄럇쿟탔쳘헷ꆣ 2005쓪5퓂ꎬ훐맺뾪쪼뛔막욱쫐뎡뷸탐막좨럖훃룄룯ꎬ쪹컒맺막욱쫐뎡쓜헦헽돉캪웳튵돯죚뗄뎡쯹ꎬ랢믓폅뮯풴엤훃뗄릦쓜ꆣ뺭맽튻쾵쇐룄룯뻙듫ꎬ막좨럖훃룄룯폚2006쓪뗗믹놾뷡쫸ꎬ듳막뚫뗄돖막늻뛏벯훐ꎬ쪹뗃짏쫐릫쮾뗄욽뻹막뚫뮧쫽늻뛏복짙ꆣ튻냣살붲ꎬ막뚫뮧쫽돖탸복짙ꎬ틢캶ퟅ쫐뎡뛔웤캴살룼뛠뗄쫇뾴뫃ꎬ돖돯컈뚨ꎬ막좨럖훃룄룯좡뗃쇋믱뗃쇋쫐뎡뗄죏뿉ꆣ컒쏇듓뇭뫍뇭뗄볆쯣뷡맻뿉틔뾴돶ꎬퟔ2007쓪1퓂틔살ꎬ늻맜쫇막욱쏻틥쫕틦싊뮹쫇막욱쪵볊쫕틦싊ꎬ뛔펦뗄럑톩킧펦쾵쫽뚼캪뢺ꎬ횻쫇쎿튻웚뗄쾵쫽듳킡룷폐쯹늻춬ꎬ헢틢캶ퟅ떱춨믵엲헍싊랢짺뇤뮯쪱ꎬ막욱쫕틦싊퓚늻춬쪱웚뗄랴펦돌뛈늢늻쿠춬ꆣ짏쫶뇭쏷ꎬ컒맺막욱쫐뎡뺭맽막좨럖훃룄룯뫳ꎬ듦퓚쏷쿔뗄ꆰ막욱쫕틦ꆪ춨믵엲헍횮쏕ꆱꎬ벴막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뢺쿲뗄럇쿟탔맘쾵ꎬ헢틢캶ퟅ컒맺막룄뫳뗄막욱쫐뎡튲늻듦퓚럑톩킧펦ꆣ 킡뷡 놾헂붫뫪맛뺭볃뗄럑톩킧펦퇐뺿삩햹떽막욱쫐뎡ꎬ훘뗣뾼달컒맺막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚럑톩킧펦뗄컊쳢ꆣ쫗쿈ꎬ놾헂뷩짜쇋붫럑톩킧펦퇐뺿췘햹떽막욱쫐뎡ꎬ벴막욱쫐뎡훐럑톩킧펦뗄몬틥뫍볬퇩맽돌ꎬ늢뛔퇐뺿막욱쫕틦싊폫춨믵엲헍싊뗄맺췢뫍맺쓚퇐뺿컄쿗뷸탐쇋쫡샭뫍맩쓉ꎬ뷩짜쇋뷢쫍ꆰ막욱쫕틦ꆪ춨믵엲헍횮쏕ꆱ뗄룷훖볙쮵샭싛뫍쪵횤볬퇩컄쿗벰웤헹싛ꆣ좻뫳믹폚컒맺막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊뗄퇹놾쫽뻝ꎬ뷸탐쇋럇닎쫽떥캻룹볬퇩뫍럇닎쫽킭헻볬퇩ꎬ랢쿖헢뛾헟횮볤뿉쓜듦퓚뢴퓓뗄럇쿟탔뗷헻맘쾵ꆣퟮ뫳붨솢럇닎쫽쒣탍ꎬ샻폃뇤뒰뿭뻖늿쿟탔맀볆살맀쯣쇋컒맺막욱쫕틦싊뛔펦폚춨믵엲헍뗄쎿튻웚뇤뮯뗄럑톩킧펦쾵쫽ꎬ맀볆뷡맻뇭쏷컒맺막욱쫐뎡늻듦퓚럑톩킧펦ꎬ쟒듦퓚ꆰ막욱쫕틦ꆪ춨믵엲헍횮쏕ꆱ쿖쿳ꆣ 113
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 7 뷡싛폫햹췻 놾컄믹폚컒맺뫪맛뺭볃뇤솿쏻틥샻싊폫춨믵엲헍싊틔벰막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뗄럇쿟탔퇝뷸쳘헷ꎬ펦폃럇닎쫽떥캻룹뫍럇닎쫽킭헻샭싛살볬퇩헢킩뇤솿횮볤쫇럱듦퓚뎤웚뗄뗷헻믺훆ꎬ뷸뛸믹폚럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆랽램맀볆돶럑톩킧펦쾵쫽ꎬ평듋닺짺뗄훷튪뷡싛죧쿂ꎺ 뗚튻ꎬ럇닎쫽떥캻룹볬퇩횤쪵컒맺쏻틥샻싊ꆢ춨믵엲헍싊뫍막욱쫕틦싊뻹폐떥캻룹맽돌쯹짺돉ꎬ헢폫뒫춳뗄닎쫽탍볬퇩ADF볬퇩뫍PP볬퇩뗄볬퇩뷡싛믹놾놣돖튻훂ꎬ뷸튻늽퓶볓쇋볬퇩뷡싛뗄컈붡탔ꆣ 뗚뛾ꎬ럇닎쫽킭헻볬퇩뗃돶뗄뷡싛쫇ꎺ(1)컒맺뫪맛뺭볃뇤솿쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚뎤웚뗄럇쿟탔킭헻맘쾵ꆣ뛸뒫춳뗄쿟탔닎쫽탍Johansen킭헻볬퇩뗃돶뗄뷡싛퓲폫횮룕뫃쿠랴ꎬJohansen킭헻볬퇩뗄뷡싛뻹뇭쏷헢킩뇤솿횮볤늻듦퓚뎤웚뗄킭헻맘쾵ꆣ본폚럇닎쫽볬퇩뻟폐룼뫃뗘킡퇹놾탔훊ꎬ벴뻟폐룼룟뗄볬퇩쫆뫍룼킡뗄쿔훸탔얤쟺ꎬ뛸쟒럇닎쫽킭헻볬퇩늢쎻폐뫶싔뺭볃뇤솿횮볤뿉쓜듦퓚뗄럇쿟탔틲쯘ꎬ틲듋놾컄뻝듋죏캪컒맺럇닎쫽킭헻볬퇩뗃돶뗄뷡싛룼뻟폐컈붡탔뫍뫏샭탔ꎬ벴컒맺쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚튻훖럇쿟탔뗄뗷헻믺훆ꆣ쪵볊짏ꎬퟔ2007쓪틔살ꎬ컒맺캪틖훆쇷뚯탔맽쪣뫍컈뚨춨믵엲헍풤웚ꎬ럀횹춨믵엲헍뗄뷸튻늽볓뻧ꎬ퇫탐솬탸뛠듎닉좡볓쾢헾닟ꎬ늢평컈붡뗄믵뇒헾닟쿲쫊뛈듓뷴뗄믵뇒헾닟ꎻ뛸쟒쒿잰듓뷴뗄믵뇒헾닟뗄킧펦틑뺭돵늽쿔쿖ꎬ춨믵엲헍뗄퓶쯙퓚훰늽복뮺ꆣ헢틢캶ퟅ퇫탐캪컈뚨춨믵엲헍쯹닉좡뗄뗷쾢헾닟쫇뫏쫊뗄ꎬ뛸쟒놾컄뗄볬퇩뷡싛튲뷸튻늽캪컒맺뗷쾢뗄믵뇒헾닟쳡릩쇋샭싛횧돖ꆣ쿠뛔뛸퇔ꎬJohansen킭헻볬퇩뗄뷡싛듓룹놾짏업돽쇋컒맺샻싊폫춨믵엲헍싊횮볤뗄뺭볃맘쾵ꎬ헢튲럱뚨쇋퇫탐캪뿘훆춨믵엲헍뛸닉좡뗄샻싊뗷헻쯹닺짺뗄킧펦ꎬ틲듋헢퇹뗄뷡싛컞싛듓샭싛뮹쫇믹폚컒맺뗄쪵볹ꎬ뚼펦쫇튻룶늻헽좷뗄뷡싛ꆣ(2)컒맺캢맛막욱쫐뎡훐막욱쫕틦싊폫춨믵엲헍싊횮볤듦퓚뎤웚뗄럇쿟탔킭헻맘쾵ꆣ춬퇹ꎬ믹폚쿟탔닎쫽탍뗄Johansen킭헻볬퇩좴럱뚨쇋헢뛾헟횮볤듦퓚뗄뺭볃맘쾵ꎬ헢쿔좻폫쿖쪵뺭볃늻컇뫏ꆣ쪵볊뛸퇔ꎬ믹폚훮뛠틲쯘뗄펰쿬ꎬ뇈죧춨믵엲헍ꆢ샻싊헾닟ꆢ114
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뺭볃닺돶쮮욽뫍뺭볃훜웚뗈틲쯘뚼믡뛔막욱쫕틦싊닺짺펰쿬ꎬ틲뛸막욱쫕틦싊폫춨믵엲헍싊횮볤뿉쓜믡듦퓚뢴퓓뗄럇쿟탔펰쿬믺훆ꎬ뛸럇튻훖볲떥뗄쿟탔헽쿠맘믲뢺쿠맘뻍쓜볓틔헽좷뿌뮭ꆣ본폚짏쫶뗄럖컶ꎬ놾컄죏캪럇닎쫽킭헻볬퇩뗃돶뗄뷡싛룼볓뫏샭ꎬ쟒룼볓럻뫏막욱쫕틦싊폫춨믵엲헍싊뗄쫽뻝춼탎쯹쿔쪾뗄럇쿟탔쳘헷ꆣ 뗚죽ꎬ믹폚럇닎쫽쒣탍뗄뇤뒰뿭뻖늿쿟탔맀볆쯹닺짺뗄뷡싛죧쿂ꎺ(1)샻싊뗷헻웚뛔펦뗄럑톩킧펦쾵쫽뻹캪헽쟒킡폚1ꎬ헢틢캶ퟅ컒맺쏻틥샻싊폫춨믵엲헍싊횮볤뷶듦퓚죵뗄럑톩킧펦ꎬ벴샻싊뗄뗷헻횻쓜뛔춨믵엲헍믲춨믵엲헍풤웚닺짺늿럖뗄뗷헻킧펦ꆣ욽뻹뛸퇔ꎬ럑톩킧펦쾵쫽캪ꎬ헢튻뷡싛틾몬뗄틢틥캪ꎺ2007쓪틔살ꎬ퇫탐캪컈뚨춨믵엲헍풤웚쯹닉좡뗄볓쾢헾닟쫇쫊쪱뗄ꎬ펦쓜닺짺풤웚킧펦ꎬ쇭튻랽쏦ꎬ믹폚춨믵엲헍싊뗄뇤뮯뗈틲쯘쫊쪱쫊뛈볓쾢ꎬ컒맺뗄믵뇒헾닟뿉틔쫊쪱뗘쿲폚틔펦폃샻싊뗷헻캪훷ꎬ쟒펦룼욵랱뫍럹뛈룼듳뗄샻싊뗷헻ꎬ틔듙뷸컒맺뺭볃뗄컈붡퓶뎤ꆣ(2)믹폚막욱쏻틥쫕틦싊폫춨믵엲헍싊뗄퇹놾맀볆뗄럑톩킧펦쾵쫽퓚쎿튻웚뻹늻쿠춬ꎬ쟒헢킩쾵쫽퓚헽뢺횮볤붻쳦돶쿖ꎬ헢틢캶ퟅꎬ뛔폚컒맺춨믵엲헍싊뗄뇤뮯ꎬ막욱쏻틥쫕틦싊뛔펦뗄뇤뮯폐쪱캪춬랽쿲ꎬ뛸폐쪱퓲췹쿠랴뗄랽쿲뇤뮯ꎬ헢뛾헟횮볤듦퓚튻훖뢴퓓뗄럇쿟탔뗷헻믺훆ꎬ헢뷸튻늽횤쪵쇋럇닎쫽킭헻볬퇩뗃돶뗄뷡싛ꆣ떱막욱쫐뎡훐듦퓚럑톩킧펦쪱ꎬ막욱쏻틥쫕틦싊믡뛔펦폚춨믵엲헍싊뗄뇤뮯춬랽쿲뇤뮯ꎬ뛸쟒뇤뮯뗄럹뛈쿠춬ꎬ떱뇤뮯뗄럹뛈킡폚1쪱ꎬ퓲뿉틔죏캪듦퓚죵뗄럑톩킧펦ꆣ틲듋ꎬ믹폚막욱쫐뎡럑톩킧펦뗄몬틥뫍맀볆뗄뷡맻ꎬ놾컄죏캪컒맺막욱쫐뎡늻듦퓚럑톩킧펦ꆣ뇊헟믹폚막욱쪵볊쫕틦싊뫍춨믵엲헍싊뷸튻늽뷸탐럇닎쫽맀볆ꎬ뗃돶뗄럑톩킧펦쾵쫽듳뛠쫽쟩뿶캪뢺ꎬ짙쫽쾵쫽캪헽ꎬ뛸늢럇럑톩킧펦틾몬뗄쾵쫽캪쇣ꆣ헢튲퓙듎횤쪵쇋컒맺막욱쫐뎡늻듦퓚럑톩킧펦ꎬ룃뷡싛폫듳뛠쫽맺볊컄쿗뫍맺쓚컄쿗뗄퇐뺿뷡싛쿠춬ꆣ쯹늻춬뗄쫇ꎬ쿟탔닎쫽쒣탍횻쓜맀볆돶튻룶쾵쫽ꎬ뛸믹폚럇닎쫽쒣탍뿉틔맀볆돶뛔펦폚춨믵엲헍쎿튻웚뗄뇤뮯ꎬ막욱쏻틥쫕틦싊뫍쪵볊쫕틦싊쯹뛔펦뗄뇤뮯쾵쫽ꎬ헢룼뫃뗘랴펳쇋막욱쫕틦싊폫춨믵엲헍싊횮볤뗄럇쿟탔쳘헷ꆣ ퟛ짏쯹쫶ꎬ놾컄ퟮ캪훘튪뗄뷡싛뿉틔볲떥뇭쫶캪ꎺ컒맺뫪맛뺭볃뇤솿쏻틥샻싊폫춨믵엲헍싊횮볤듦퓚럇쿟탔뗄뗷헻믺훆ꎬ쟒듦퓚뷏죵뗄럑톩킧펦ꎬ헢틢캶ퟅ컒맺닉좡볓쾢뗄믵뇒헾닟뿉틔뛔컈뚨춨믵엲헍닺짺튻뚨뗄풤웚킧펦ꆣ뛸컒맺막욱쫐뎡훐막욱쫕115
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 틦싊폫춨믵엲헍싊횮볤쯤좻듦퓚럇쿟탔뗄펰쿬믺훆ꎬ떫쫇늢늻듦퓚럑톩킧펦ꎬ헢틢캶ퟅ컒맺튲듦퓚ꆰ막욱쫕틦ꆪ춨믵엲헍횮쏕ꆱꆣ 좻뛸ꎬ평폚놾죋횪쪶뷡릹ꆢ퇐뺿쮮욽뗄쿞훆ꎬ틔벰쫽뻝ꆢ쇏뗄좱랦ꎬ놾컄뗄퇐뺿죔좻듦퓚훮뛠늻ퟣ횮뒦ꆣ쫗쿈ꎬ평폚욪럹ꆢ쪱볤뗄쿞훆ꎬ놾컄튻랽쏦훷튪듓뫪맛뺭볃뗄뷇뛈볬퇩쇋컒맺쏻틥샻싊폫춨믵엲헍싊횮볤쫇럱듦퓚쿟탔믲럇쿟탔뗄뎤웚펰쿬믲뗷헻믺훆ꎬ헢솽헟횮볤쫇럱듦퓚럑톩킧펦ꆣ떫쫇늢쎻폐뷸튻늽듓샭싛짏쟥컺뗘싛쫶뫍첽컶샻싊뗄뗷헻떽뛔춨믵엲헍닺짺킧펦뗄훐볤뒫떼믺훆ꎬ룷뺭볃훷쳥뛔샻싊뗷헻쯹닺짺뗄늻춬랴펦뫍풤웚ꎬ틔벰룷뺭볃뇤솿횮볤듦퓚뗄쿠뮥펰쿬뫍쿠뮥ퟷ폃뗄믺훆ꆣ쇭튻랽쏦ꎬ놾컄뮹듓캢맛막욱쫐뎡뗄뷇뛈볬퇩쇋막욱쫕틦싊폫춨믵엲헍싊횮볤쫇럱듦퓚쿟탔믲럇쿟탔뗄뎤웚펰쿬믲뗷헻믺훆ꎬ헢솽헟횮볤쫇럱듦퓚럑톩킧펦ꆣ떫쫇늢쎻폐뻟쳥럖컶막욱쫕틦싊폫춨믵엲헍싊횮볤닺짺럇쿟탔펰쿬믺훆뗄맽돌뫍풭틲ꎬ춨믵엲헍싊뗄뇤뮯늢늻횻쫇뛔막욱쫕틦닺짺펰쿬ꎬ뮹뛔웤쯻뺭볃뇤솿튲닺짺늻춬뗄펰쿬ꎬ뛸헢킩펰쿬맘쾵폖믡랴맽살펰쿬떽막욱뗄쫕틦ꎬ떫쫇놾컄쎻폐뛔헢킩뷸탐쿪뺡뗄럖컶ꆣ훘튪뗄쫇ꎬ놾컄퓚볬퇩뗄맽돌훐ꎬ폫듳뛠쫽맺볊퇐뺿컄쿗쿠춬ꎬ믹폚샭탔풤웚뗄볙짨살볬퇩럑톩킧펦뗄듦퓚탔ꎬ뛸쪵볊짏ꎬ퓚늻춬뗄뺭볃놳뺰훐ꎬ늻춬뗄뺭볃훷쳥쯹닺짺뗄춨믵엲헍풤웚쫇늻쿠춬뗄ꎬ샭탔풤웚뗄볙짨횻쫇튻훖샭쿫ힴ첬ꎬ헢튲쫇놾컄뗄늻ퟣ횮뒦ꆣ 럑톩킧펦뗄퇐뺿볈폐훘튪뗄샭싛볛횵ꎬ폖폐ퟅ훘튪뗄쿖쪵틢틥ꎬ룃퇐뺿뛔컒맺믵뇒헾닟뗄훆뚨뫍닙ퟷ틔벰뷰죚쫐뎡뗄췪짆뚼폐ퟅ훘튪뗄횸떼틢틥ꎬ틲듋뮹탨튪뷸튻늽뷸탐췘햹퇐뺿ꆣ쫗쿈ꎬ뇊헟죏캪펦룃믹폚컒맺뗄쿖쪵뺭볃놳뺰ꎬ룼볓ힼ좷뗘닢쯣컒맺뗄춨믵엲헍풤웚ꎬ뛸늻쫇볲떥뗘믹폚샭탔풤웚뗄볙짨살뷸탐퇐뺿ꆣ웤듎ꎬ믹폚놾컄쯹닺짺뗄뷡싛ꎬ짮죫첽쯷샻싊뗄뒫떼믺훆ꎬ펰쿬샻싊헾닟랢믓ퟷ폃뗄틲쯘ꎬ떼훂샻싊폫춨믵엲헍싊닺짺럇쿟탔맘쾵뗄풭틲뗈ꎻ짮죫퇐뺿떼훂컒맺막욱쫐뎡닺짺ꆰ막욱쫕틦ꆪ춨믵엲헍횮쏕ꆱ뗄풭틲ꎬ듓샭싛짏뛔듋뷸튻늽뷸탐뷢쫍ꆣퟮ뫳ꎬ냑맺쓚럑톩킧펦뗄볬퇩삩햹떽퇐뺿맺볊럑톩킧펦뗄듦퓚ꎬ맺볊럑톩킧펦뗄몬틥쫇ꎺ뢡뚯뗄벴웚믣싊믡쯦ퟅ솽맺뗄쏻틥샻싊횮닮뛸룄뇤ꎬ룄뇤뗄럹뛈뫍샻싊횮닮쿠뗈ꎬ떫랽쿲쿠랴ꎬ틲듋맺볊럑톩킧펦뗄퇐뺿뛔컒맺뗄믣싊헾닟뫍샻싊헾닟튲붫믡닺짺훘튪뗄쿖쪵횸떼틢틥ꆣ 116
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 훂 킻 죽쓪뗄늩쪿짺믮ꎬ룐뻵쮲벴쫅ꎬ쇙뷼뇏튵ꎬ탄훐폐벸탭쓑짡ꆣ뮹쟥컺뗘볇뗃ꎬ컒뗚튻듎ퟟ뷸뮪훐뿆벼듳톧뗄킣쏅쪱ꎬ뻍솢뿌놻헢룶뮷뺳폅쏀뗄킣풰쯹컼틽ꎬ뇊횱뗄뗀슷솽엔ꎬ쓇튻업업헻웫룟듳쎯쪢뗄컠충쫷ꎬ뮹폐냗폱삼ꆢ헁쫷ꆢ쮮즼뗈탭뛠컒뷐늻돶쏻ퟖ뗄쫷ꆣ믲탭쫇틲캪컒살ퟔ닊퓆횮쓏ꎬ컒뗄볒쿧좫쫇폴폴듐듐뗄ퟓ쫷ꎬ틲듋뛔쫷폐훖쳘쫢뗄룐쟩ꎬퟟ퓚헢룶쏀샶뗄킣풰샯ꎬ컒룐뻵쳘뇰쟗쟐ꆢ쫦쫊쓾뺲ꎬ컒볲횱쳕ퟭ쇋ꆣ쓇튻뿌ꎬ컒낵ퟔ랢쫄ꎬ컒튻뚨튪얬솦돉캪뮪훐뿆벼듳톧뗄튻풱ꆣ솽룶퓂틔뫳ꎬ컒훕폚죧풸뾼좡쇋뮪훐뿆벼듳톧뺭볃톧풺뗄늩쪿ꎬ폚쫇컒룐벤짏뗛뛔컒뗄맘낮ꎡ 2005쓪9퓂ꎬ컒뗄늩쪿짺퇄뾪쪼쇋ꆣ쓜돉캪췵짙욽뷌쫚뗄뗜ퟓꎬ컒룐떽럇뎣죙탒ꆣ퓚룟탋뫍벤뚯뗄춬쪱ꎬ컒튲놶룐톹솦ꎬ틲캪춬쏅쪦탖뗜쏇뚼뫜폅탣ꎬ컒ퟔ뻵폫쯻쏇닮뻠짵풶ꎬ튲쾣췻쓜춨맽ퟔ벺뗄얬솦돉캪룃폅탣뛓컩훐뗄튻풱ꆣ뺭맽죽쓪살뗄볨탁얬솦ꎬ컒훕폚쮳샻췪돉늩쪿톧튵ꎬ늢뛔볆솿뺭볃톧잰퇘랽램벰웤뺭볃톧뗄펦폃퇐뺿닺짺쇋얨뫱뗄탋좤ꎬ뿆퇐쓜솦폐쇋뫜듳뗄쳡룟ꎬ헢튻쟐뚼튪맩릦폚컒뗄뛷쪦췵짙욽뷌쫚ꎡ췵샏쪦톧쪶풨늩ꎬ퓚늩쪿쳢뿎뫍퇐쳖믡짏ꎬ쯻뛔볆솿뺭볃톧랽램뗄붲뷢뺫뇙짮뿌ꎬ뛔볆솿뺭볃톧잰퇘쇬폲뻟폐쏴죱뚴달뫍ힼ좷냑컕ꎬ늢뛔훐맺쿖쪵뺭볃뗄펦폃퇐뺿뻟폐춸뎹뗄쇬컲뫍럖컶뗈뗈ꎬ헢킩뚼쇮컒쟕엥늻틑ꆣ늻뷶죧듋ꎬ췵샏쪦훎톧퇏뷷ꎬ첬뛈럇뎣죏헦ꎬ쯻뛔컒뗄싛컄훰ퟖ훰뻤뷸탐ퟐ쾸움퓄늢랴뢴탞룄ꎬ폐쪱뫲ꎬ컲탔늻룟뗄컒늢늻쓜솢뿌샭뷢늢쇬컲췵샏쪦쳡돶뗄탞룄틢볻ꎬ떫쫇췵샏쪦ퟜ쫇쓍탄뗘룸컒붲뷢튻듎ꆢ솽듎짵훁죽듎늻뗈ꎬ횱훁컒쓜췪좫쇬컲캪횹ꎬ헢쇮컒럇뎣룐벤ꆣ췵샏쪦늻뷶퓚톧튵짏룸폨쾤탄횸떼ꎬ퇏룱튪쟳ꎬ뺫탄엠퇸ꎬ뛸쟒뮹퓚짺믮짏룸폨컞캢늻훁뗄맘뮳ꆣ평폚췵쏅뗜ퟓ훐죋닅볃볃ꎬ컒ퟜ쫇ퟔ뻵톧쪶잳놡ꎬퟔ룐닑삢ꎬ톹솦짵듳ꎬ췵샏쪦ퟜ쫇맄샸컒튪ퟔ탅ꎬ늢뛠듎쳡탑컒뺫짱톹솦늻튪첫듳ꎬ횻튪얬솦뻍탐ꎬ튪힢틢짭탄붡뾵ꎬ헢쇮컒럇뎣룐뚯ꆣ퓚듋컒뷷쿲췵샏쪦뇭쪾ퟮ돏횿뗄킻틢ꎡ 컒튪쳘뇰룐킻뺭볃톧풺탬뎤짺뷌쫚ꎬ탬샏쪦늻뷶퓚톧튵짏쾤탄뷌떼뫍맄샸컒쏇ꎬ뮹퓚짺믮짏룸폨훮뛠맘탄뫍냯훺ꆣ뮹튪룐킻쳆웫쏹뷌쫚ꆢ헅컀뚫뷌쫚뫍컒킣뎤붭톧헟117
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 났뒺죙뷌쫚뗈뺭풺룷캻샏쪦ꎬ쓣쏇뗄뷌떼쪹컒쫜틦럋잳ꆣ뇏튵횮볊ꎬ컒뷷쿲헢킩샏쪦뇭쪾ퟮ훔탄뗄룐킻ꎡ컒뮹튪쳘뇰룐킻컒뗄쮶쪿짺떼쪦튶낢훒뷌쫚ꎬ쫇쓺냑컒쇬뷸쇋뺭볃톧짱쪥뗄뗮쳃ꎬ죃컒듲쿂퓺쪵뗄뺭볃톧뫍볆솿뺭볃톧믹뒡ꆣ튶샏쪦퇏뷷뗄훎톧첬뛈ꎬ잫탩뗄ퟶ죋럧룱ꎬ튻쟐뚼캪톧짺ퟅ쿫ꎬ듓살뚼쫇룸폨쎿튻룶톧짺맄샸ꎬ뛠쓪살튻횱뻍쿱쟗죋튻퇹맘탄ퟅ컒쏇뗄톧쾰뫍짺믮뗈뗈ꎬ헢튻쟐뚼죃컒룐뚯늢폀풶쏺볇퓚탄ꆣ춬쪱튲튪룐킻튶쪦쒸뛠쓪살뛔컒쟗죋냣뗄맘탄ꎬ쪦쒸뗄쓍탄틽떼뫍맄샸쪹컒뇤뗃룼볓믭듯샖맛뫍볡잿ꎬ쪹컒퓚톧튵뫍짺믮훐쫜틦솼뛠ꎡ 컒튪룐킻퇮볌짺ꆢ역랽욽ꆢ럢뢣폽ꆢ쇵몺훐ꆢ얷퇴횾룕ꆢ돂폀캰ꆢ쫦뚦삽ꆢ듞쿾퇞뗈춬쏅쪦탖쪦뗜쏇뗄냯훺뫍쏣샸ꎡ뮹튪룐킻뗋쿾컀ꆢ쿄샮뻽ꆢ췵蚴ꆢ췴뫬쎷ꆢ훬풰풲ꆢ쇵샚ꆢ췵쫩뻼ꆢ쇵퇇쟥뗈뫃엳폑뗄맘탄뫍냯훺ꎡ룐킻냠뎤폠뗀쿈뫍쫩볇얣뻼뛔컒뗄맘탄뫍맄샸ꎡ뮹튪쳘뇰룐킻컒뗄샏쿧닌욽ꆢ샗뺤ꆢ퇮맺믔뫍쯯쾼뛠쓪살뛔컒뗄냯훺ꎡퟮ뫳룐킻뺭볃톧풺2005벶좫쳥늩쪿춬톧뗄폑낮뫍냯훺ꎡ헢킩춬쏅횮붻ꆢ뫃폑횮쟩ꆢ춬쿧횮쟗ꆢ춬뒰횮틪뚼쇮컒룐뚯늢쓑짡ꎬ컒붫폀풶뮳쓮늢헤님헢킩쏀뫃뗄믘틤ꎡ ퟮ뫳ꎬ컒튪쳘뇰룐킻컒뗄볒죋ꆣ평폚볒뒦퓆쓏욫욧뗄킡즽듥ꎬ볒뺳욶몮ꎬ뢸쒸뫍쓌쓌캪쇋릩컒쏇탖쏃컥죋뾼짏듳톧ꎬ벸쪮쓪몬탁죣뿠ꎬ샺뺡볨탁ꆣ킡쪱뫲ꎬ뢸쟗뺭뎣쮵튻뻤뮰ꎬꆰ쓣쏇뫃뫃뛁쫩ꎬ뻍쯣싴랿ퟓ컒튲튪릩쓣쏇벸룶짏듳톧ꆱꆣ컒쒸쟗쯤좻쪶ퟖ늻뛠ꎬ떫쟚샍뗄쒸쟗짮짮뗘횪뗀횻폐춨맽뛁쫩ꎬ닅쓜룄뇤컒쏇볒욶쟮뗄쏼퓋ꆣ쓌쓌쫇튻룶쟚샍짆솼뗄샏죋ꎬퟔ튯튯ퟟ뫳50뛠쓪뗄쪱볤샯ꎬ샏죋뛀ퟔ뮤퇸뢸쟗뫍죽룶맃싨돉죋ꎬ뷓ퟅ폖쫇냯ퟅ듸듳컒쏇컥탖쏃ꆣ2007쓪ꎬ닙샍쇋튻놲ퟓ뗄쓌쓌뫜낲쿪뗄샫뾪컒쏇좥쇋쳬쳃ꆣ헢쎴뛠쓪ꎬ쓌쓌뫍뢸쒸짭짏쳥쿖돶뗄쟚샍ꆢ짆솼뫍볡잿ꎬ죃컒쏇탖쏃벸죋믱틦솼뛠ꎬ컒쏇짮짮뗘횪뗀ꎬ횻폐늻뛏럜뚷ꎬ횻폐ퟔ잿늻쾢ꎬ닅쓜돉릦ퟟ돶얩듥ꎬ좥쪵쿖컒쏇ퟔ짭뗄죋짺볛횵ꆣ쯹폐뗄폯퇔뚼컞램뇭듯컒뛔뢸쒸뗄룐킻횮쟩ꎬ컒횻쓜힣뢣쯻쏇짭쳥붡뾵ꎬ낲쿭췭쓪ꎡ 컒뮹튪룐킻컒뗄듳룧뫍듳즩ꎬ듳룧뇏튵쓇쓪ꎬ쯻놾살뿉틔쇴퓚쪡돇삥쏷릤ퟷꎬ떫쫇캪쇋쓜룼뫃뗘럶돖볒샯ꎬ냯훺릩컒쏇벸룶뗜쏃뛁쫩ꎬ쯻뫁늻폌풥뗘톡퓱쇋믘떽컒쏇쿘돇릤ퟷꆣ튲뻍쫇퓚쓇튻쓪ꎬ듳룧쿫뺡냬램냑컒듓헲짏훐톧톧떽쿘뗚튻훐톧ퟮ뫃뗄냠벶뛁돵훐죽쓪벶ꎬ폚쫇컒닅쓜쮳샻뾼짏쪡훘뗣룟훐ꎬ헢쫇컒죋짺쏼퓋뗚튻룶ퟮ훘튪118
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뗄헛뗣ꎬ죧맻쎻폐헢듎톧ꎬ컒쿫컒늻뿉쓜ퟟ떽쿖퓚ꆣ컒튲튪룐킻컒뗄뛾룧뛾즩ꆢ뷣뷣뫍뷣럲헢킩쓪살뛔컒톧튵짏뗄횧돖뫍컞쮽냯훺ꎬ짺믮짏룸폨컒컞캢늻훁뗄맘탄뫍맄샸ꎬ쫇쯻쏇뗄낮뫍샭뷢횧독ퟅ컒뿋럾쇋튻룶폖튻룶삧쓑ꎬ컒튪킻킻쯻쏇ꎡ퓚듋ꎬ컒뮹튪쮳힣컒뗜뗜쓜릻뾼짏샭쿫뗄듳톧ꎬ힣뢣컒뿉낮뗄횶ퟓ웫웫ꆢ욯쇁뗄횶얮퇴퇴뫍붡뾵뿬샖돉뎤ꎬ톧쾰뷸늽ꎡ 컒튪쳘뇰룐킻컒뗄쿈짺뫎룕ꎬ룐킻쯻뛔컒뗄좫솦횧돖뫍쒬쒬럮쿗ꎬ룐킻쯻뛔컒뗄잫죃뫍냼죝ꎬ룐킻쯻캪컒뢶돶뗄튻쟐ꎬ룐킻쯻룸컒듸살뿬샖뫍탒뢣ꎡ컒튲튪쮳힣쯻쮳샻췪돉톧튵ꎬ헒떽싺틢뗄릤ퟷꎬ쪵쿖쯻뗄죋짺샭쿫ꎡ룐킻컒뗄릫릫웅웅뛔컒쏇뗄맘탄뫍횧돖ꎬ쮳힣뛾샏짭쳥붡뾵ꎡ 슷싾싾웤탞풶?ꎬ컡붫짏쿂뛸쟳쯷ꆣ컒붫퓚캴살뗄뷌톧뫍뿆퇐맽돌훐ꎬ틔룼뫃뗄돉벨살놨듰쯹폐맘탄뫍냯훺컒뗄샏쪦ꆢ엳폑뫍쟗죋ꎡ 돂컄뺲 2008쓪6퓂폚뮪훐뿆벼듳톧폷풰 119
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뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뢽슼1 릥뛁늩쪿톧캻웚볤랢뇭뗄싛컄쒿슼 [1] 췵짙욽ꎬ돂컄뺲. 컒맺럑톩킧펦뗄럇닎쫽볬퇩. 춳볆퇐뺿. 2008ꎨ3ꎩꎬ뗚튻쫰쏻떥캻ꎺ뮪훐뿆벼듳톧. [2] 돂컄뺲ꎬ뫎룕. 죋솦놾ꆢ뿆퇐춶죫폫뺭볃퓶뎤뗄킭헻퇐뺿. 릤튵벼쫵뺭볃. 2008ꎨ2ꎩꎬ뗚튻쫰쏻떥캻ꎺ뮪훐뿆벼듳톧. [3] 돂컄뺲ꎬ쯕. “맺볒싛”폫릹붨럾컱탍헾뢮. 놱랽뺭볃. 2008ꎨ2ꎩꎬ뗚튻쫰쏻떥캻ꎺ뮪훐뿆벼듳톧. [4] 돂컄뺲ꎬ뫎룕. 쪯폍쿻럑벰웤펰쿬틲쯘ꎺ믹폚럇닎쫽쒣탍뗄퇐뺿. 맜샭릤돌톧놨ꎬ듽랢뇭ꎬ뗚튻쫰쏻떥캻ꎺ뮪훐뿆벼듳톧. [5] 돂컄뺲ꎬ뫎룕. 릫릲놾뫍쮽죋놾뗄짺닺킧싊벰웤쟸폲닮틬ꎺ믹폚럖캻쫽믘맩쒣탍뗄퇐뺿. 쫽솿뺭볃벼쫵뺭볃퇐뺿. 훕짳훐, 뗚튻쫰쏻떥캻ꎺ뮪훐뿆벼듳톧. [6] 돂컄뺲ꎬ뫎룕. 뗧솦쿻럑벰웤펰쿬틲쯘ꎺ믹폚럇닎쫽쒣탍뗄퇐뺿. 쾵춳릤돌샭싛폫쪵볹, 훕짳훐, 뗚튻쫰쏻떥캻ꎺ뮪훐뿆벼듳톧. 132
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 뢽슼2 맀볆뫍볬퇩돌탲 돌탲1ꎺ /* **wenjing411 */ use gpe2; output file= reset; n=98; load data[98,2]=e:\; r=data[.,1]; th=data[.,2]; x=th; y=r; h=; fp=zeros(n,1); p=ones(n,1); i=1; do until i>n; w=zeros(n,n); j=1; do until j>n; e=((x[j]-x[i])/h)^2; w[j,j]=*(1-e)*(e<1); j=j+1; endo; fp[i]=(n*h)^(-1)*p'*w*p; i=i+1; endo; mp=zeros(n,2); u=zeros(n,1); i=1; do until i>n; p=x[i]*ones(n,1); x0=ones(n,1)~(x-p); w=zeros(n,n); j=1; 133
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 do until j>n; hv= e=((x[j]-x[i])/hv)^2; w[j,j]=*(1-e)*(e<1); j=j+1; endo; q=x0'*w*x0; b=inv(q); f=x0'*w*y; mp[i,.]=(b*f)'; u[i]=y[i]-mp[i,1]; i=i+1; endo; emc=(y-mp[.,1])^2; print mp[.,2]; end; 돌탲2: data=load('D:\'); %%%%%% 1 [n m]=size(data); %%%%% 2 x=data(:,3); y=data(:,2); h=; fp=zeros(n,1); p=ones(n,1); for i=1:n; w=zeros(n); for j=1:n; e=((x(j)-x(i))/h)^2; w(j,j)=*(1-e)*(e<1); end; fp(i)=(n*h)^(-1)*p'*w*p; end; a=zeros(n,2); tx=zeros(n,1); mp=zeros(n,1); p=ones(n,1); 134
뮪 훐 뿆 벼 듳 톧 늩 쪿 톧 캻 싛 컄 for i=1:n; hv= x0=[p x-x(i)]; w=zeros(n); for j=1:n; e=((x(j)-x(i))/hv)^2; w(j,j)=*(1-e)*(e<1); end; % a=inv(x0'*w*x0)*(x0'*w*y); a=inv(x0'*w*x0+*eye(2,2))*(x0'*w*y); %%%%% 3 mp(i)=a(1);%It is the estimator of m(x) tx(i)=a(2); end; u=y-mp; vp=zeros(n,1); p=ones(n,1); for i=1:n; x0=[p x-x(i)]; w=zeros(n); v=zeros(2); for j=1:n; e=((x(j)-x(i))/h)^2; w(j,j)=*(1-e)*(e<1); v=v+w(j,j)^2*u(j)^2*x0(j,:)'*x0(j,:); end; % o=inv(x0'*w*x0); o=inv(x0'*w*x0+*eye(2,2)); %%%%% 4 vv=o*v*o';%It is the estimator of m(x) vp(i)=sqrt(vv(1)); end; q=sortrows([x y mp *vp mp+*vp fp]); plot(q(:,1),q(:,2),'.',q(:,1),q(:,3)) 135
