뗚27뻭ꆡ뗚11웚ꆡꆡꆡꆡꆡꆡꆡ112008쓪ꆡꆡ11퓂ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ벼ꆡ쫵ꆡ뺭ꆡ볃TechnologyEconomꆡꆡꆡꆡVol127,No1icsNov1,2008훐쏀킡싳웚믵볛룱폫쿖믵볛룱뒫뗝맘쾵뗄뇈뷏퇐뺿짛폀춬1,룟췺쪢2(11훐맺얩튵듳톧뺭볃맜샭톧풺,놱뺩100083;21훐맺얩튵듳톧쟸폲얩튵랢햹퇐뺿훐탄,놱뺩100094)햪ꆡ튪:캪퇐뺿컒맺킡싳웚믵쫐뎡볛룱랢쿖릦쓜뗄랢믓돌뛈벰듋릦쓜뛔쿖믵쫐뎡볛룱뗄펰쿬,놾컄퓋폃Johansen킭헻볬퇩ꆢ컳닮탞헽쒣탍ꆢ싶돥쿬펦몯쫽뫍랽닮럖뷢뗈뛔훐쏀킡싳웚믵폫쿖믵볛룱뒫뗝맘쾵뷸탐쇋쪵횤퇐뺿ꆣ뷡맻쿔쪾:훐쏀솽맺맺쓚킡싳웚믵폫쿖믵볛룱횮볤뻹듦퓚쏷쿔뗄쮫쿲틽떼맘쾵뫍뎤웚뻹뫢맘쾵;컒맺킡싳웚믵볛룱뫍쿖믵볛룱뛔튻룶뇪ힼ닮탅쾢돥믷뗄랴펦뻹짔잿폚쏀맺;컒맺킡싳웚믵쫐뎡볛룱랢쿖릦쓜뗄랢믓돌뛈튪폅폚쏀맺ꆣ맘볼듊:킡싳;웚믵볛룱;쿖믵볛룱;볛룱뒫뗝;볛룱랢쿖릦쓜훐춼럖샠뫅:F32318ꆡꆡ컄쿗뇪쪶싫:Aꆡꆡ컄헂뇠뫅:1002-980X(2008)11-0081-07ꆡꆡ훚쯹훜횪,컞싛퓚맺쓚뮹쫇맺췢,쿖듺웚믵쫐뎡뗈샻폃킭헻뗄랽램뛔웚믵폫쿖믵쫐뎡볛룱횮볤뗄쿠ퟮ퓧뚼웰풴폚얩닺욷웚믵쫐뎡,킡싳ퟷ캪튻훖훘튪뮥맘쾵뷸탐쇋볬퇩,랢쿖뻸듳뛠쫽웚믵욷훖듦퓚쏷뗄얩닺욷,쫇ퟮ퓧뗄웚믵욷훖횮튻ꆣ쏀맺쫇쫀뷧짏쿔뗄웚믵ꆢ쿖믵볛룱뗄킭헻맘쾵;Johansen퓚잰죋훷튪뗄킡싳돶뿚맺,웤킡싳웚믵볛룱튻횱쫇맺볊킡퇐뺿뗄믹뒡짏,붨솢VAR쒣탍늢믹폚룃쒣탍퓋폃싳쿖믵쫐뎡뗄믹ힼ볛룱ꆣ뛸훐맺쫇쫀뷧훷튪킡싳짺벫듳쯆좻램뷸탐킭헻볬퇩,틔퇐뺿웚믵폫쿖믵볛룱닺맺ꆢ쿻럑맺뫍뷸뿚맺횮튻,쯦ퟅ컒맺볓죫WTO뫍볤뗄쿠뮥맘쾵;뛸Hasbrouck퓲퓚킭헻럖컶뗄믹뒡맺쓚쫐뎡뗄늻뛏뾪럅,컒맺킡싳쿖믵쫐뎡볛룱볈쫜짏,뷸튻늽샻폃랽닮럖뷢뗄랽램살쪶뇰웚믵쫐뎡폫떽맺쓚킡싳웚믵쫐뎡볛룱뗄펰쿬,폖쫜떽맺볊킡싳쿖믵쫐뎡쿠뮥횮볤뗄맘쾵벰웤뛔ퟔ짭볛룱랢쿖릦쓜웚믵ꆢ쿖믵쫐뎡볛룱뗄펰쿬ꆣ킡싳웚믵ꆢ쿖믵볛룱횮뗄듳킡[1]ꆣ볤뗄맘쾵쫇랴펳킡싳웚믵쫐뎡킧싊뗄튻룶훘튪쫖맺쓚톧헟퓚듋랽쏦튲ퟶ쇋뫜뛠퇐뺿ꆣ헅헱ꆢ쳕뛎,틲듋,퇐뺿훐쏀킡싳웚믵폫쿖믵볛룱뒫뗝맘쾵볈붨욽퓚뛔훐쏀킡싳웚믵볛룱뷸탐킭헻볬퇩뗄믹뒡뿉틔캪컒맺킡싳웚믵쫐뎡볛룱랢쿖릦쓜뗄랢믓돌뛈짏,춨맽컳닮탞헽쒣탍(ECM)뫍Granger틲맻볬퇩벰웤뛔쿖믵쫐뎡볛룱뗄펰쿬쳡릩뷏캪뿍맛뗄에뛏틀뛔훐쏀솽맺킡싳웚믵쫐뎡뗄쿠맘탔뫍틽떼탔뷸탐쇋뻝,튲쓜캪컒맺킡싳웚믵쫐뎡뗄랢햹뫍헾닟훆뚩쳡쪵횤럖컶,뗃돶훐쏀킡싳웚믵쫐뎡횮볤뻟폐룟뛈뗄릩튻룶잿폐솦뗄샭싛횧독,춬쪱뛔쳡짽컒맺킡싳쿖쿠맘탔,늢쟒쏀맺횥볓룧짌욷붻틗쯹(CBOT)킡싳믵쫐뎡뗄ퟜ쳥닺튵쮮욽튲폐ퟅ럇뎣훘튪뗄틢틥ꆣ웚믵볛룱뛔컒맺횣훝짌욷붻틗쯹(ZCE)킡싳웚믵볛룱뻟폐뫜잿뗄펰쿬ퟷ폃[2]ꆣ뫺폮ꆢ훜뫪펦폃쿠맘탔1ꆡ컄쿗ퟛ쫶럖컶ꆢ킭헻볬퇩뫍Granger틲맻볬퇩뛔컒맺킡싳웚쒿잰,맺췢뛔웚믵폫쿖믵볛룱맘쾵뗄퇐뺿훷튪믵ꆢ쿖믵뗄볛룱맘쾵뷸탐쇋럖컶,뗃돶컒맺킡싳웚믵폐:Gray뫍TomekꆢKofiꆢLeutholdꆢHanson뫍Ho2볛룱쓜릻틽떼쿖믵볛룱뗄뷡싛[3]ꆣ헔죙ꆢ쟇뻪뛔훐drickꆢBigman뗈폃뷼붻룮퓂뗄웚믵볛룱폫뛔펦뗄쏀쏞뮨웚믵폫쿖믵볛룱뗄뒫떼맘쾵뷸탐쇋뇈뷏럖쿖믵볛룱뷸탐믘맩럖컶,틔볬퇩웚믵볛룱뛔쿖믵볛컶,뗃돶훐쏀쏞뮨웚믵볛룱뗄탂탅쾢뛔쿖믵볛룱뗄룱뗄쫐뎡틽떼ퟷ폃;KSLaiꆢCSchroederꆢQuanꆢ펰쿬룼듳,쟒훐쏀쏞뮨웚믵쫐뎡퓚쿖믵볛룱랢쿖훐GhoshꆢFortenberyꆢKavussanos뫍NomikosꆢHaigh뻹뒦폚훷떼뗘캻,쏀맺쏞뮨쿖믵쫐뎡볛룱욫샫뻹뫢쫕룥죕웚:2008-06-20ퟷ헟볲뷩:짛폀춬(1977ꆪ),쓐,붭쯕퇎돇죋,훐맺얩튵듳톧뺭볃맜샭톧풺늩쪿퇐뺿짺,퇐뺿랽쿲:얩닺욷웚믵쫐뎡ꆢ웚믵폫뷰죚퇜짺욷퇐뺿;룟췺쪢(1963ꆪ),쓐,룊쯠쳬쮮죋,훐맺얩튵듳톧뷌쫚,늩쪿짺떼쪦,훷튪퇐뺿랽쿲:뫪맛얩튵ꆢ쟸폲얩튵뗈ꆣ81
벼쫵뺭볃ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뗚27뻭ꆡ뗚11웚볛룱쪱,뛌웚쓚믖뢴떽뻹뫢ힴ첬뗄쯙뛈튪뿬폚컒맺캪H0:ꛂ=0;놸퓱볙짨캪H1:ꛂꇙ0ꆣADF횵쫇쒣뗈뷡싛[4]ꆣ샮릫쏱ꆢ쇵샘ꆢ샮횾커춨맽Granger틲맻탍맀볆훐뗃떽뗄ꛂ뗄럇뇪ힼt볬퇩횵[7]ꆣ죧맻뛔웚볬퇩랽램뛔짏몣춭웚믵폫쿖믵볛룱횮볤뗄뮥킳믵뫍쿖믵볛룱쪱볤탲쇐뗄볬퇩뷡맻뻜뻸풭볙짨,퓲(cointegration)뫍틽떼맘쾵뷸탐쇋쪵횤럖컶,뷡맻뇭쏷쯼쏇캪욽컈탲쇐,벴럾듓I(0)맽돌,뿉틔횱뷓뇭쏷,짏몣쫐뎡1#춭쿖믵볛룱뛔웚믵볛룱듦퓚훍뫳볆쯣쯼쏇뗄쿠맘쾵쫽;죧맻뛔헢솽룶쪱볤탲쇐쫽뻝틽떼맘쾵,뛸웚믵볛룱뛔쿖믵볛룱뗄틽떼맘쾵늻첫뗄볬퇩뷡맻뇭쏷쫇럇욽컈뗄,쟒럾듓I(1)맽돌,퓲쏷쿔[5]ꆣ췵붡ꆢ슽컄듏ꆢ믆ퟦ믔뛔컒맺듳뚹웚믵폫쿖뿉틔뛔웤뷸탐킭헻볬퇩,틔좷뚨쯼쏇횮볤뗄쿠맘돌믵볛룱킭헻맘쾵뫍틽떼맘쾵뷸탐쇋럖컶,뷡맻쿔쪾뛈ꆣ웚믵볛룱뛔쿖믵볛룱뻟폐뷏잿뗄틽떼ퟷ폃[6]ꆣ2)Johansen볬퇩ꆣJohansen볬퇩쫇평Johansen뫍ퟜ횮,맺쓚췢뗄틑폐퇐뺿훷튪벯훐퓚늻춬웚믵Juselius퓚1990쓪튻웰쳡돶뗄튻훖틔VAR쒣탍캪믹쫐뎡횮볤뗄볛룱쿠맘탔뫍웚믵볛룱뛔쿖믵볛룱뗄틽뒡뗄믹폚믘맩쾵쫽뗄킭헻볬퇩ꆣJohansen볬퇩뗄쒿뗄떼맘쾵랽쏦,뛸헫뛔늻춬맺볒뗄웚믵폫쿖믵볛룱뒫쫇뻶뚨튻ퟩ럇욽컈탲쇐뗄쿟탔ퟩ뫏쫇럱뻟폐컈뚨뗄뻹뗝맘쾵뗄뇈뷏퇐뺿퓲럇뎣짙ꆣ놾컄헽쫇믹폚헢튻뷇뫢맘쾵,웤믹놾쮼쿫캪:죧맻k(kꇝ2)룶쪱볤탲쇐뇤뛈뛔훐쏀킡싳웚믵폫쿖믵볛룱뗄뒫뗝맘쾵뷸탐쪵횤솿쫇럇욽컈뗄,떫쯼쏇뗄d뷗닮럖쫇욽컈뗄,퓲헢킩럇럖컶ꆣ욽컈뗄쪱볤탲쇐뇤솿듦퓚뎤웚뗄킭헻맘쾵[8]ꆣ평폚Johansen볬퇩틔VAR쒣탍캪믹뒡,틲듋퓚뷸탐Johan22ꆡ퇐뺿랽램sen볬퇩횮잰,컒쏇펦붨솢쿲솿ퟔ믘맩쒣탍(VAR)ꆣ본퓚쪵횤퇐뺿훐,놾컄쫗쿈닉폃ADF떥캻룹볬폚놾컄퇐뺿뗄쫇웚믵폫쿖믵볛룱뒫뗝맘쾵,틲듋탨붨퇩랽램뛔훐쏀솽맺킡싳웚믵ꆢ쿖믵볛룱쪱볤탲쇐뗄솢쮫뇤솿VAR쒣탍:욽컈탔뷸탐볬퇩;퓚듋믹뒡짏,붨솢VAR쒣탍뛔킡ꚤPtꛃ1ꛁ11-1ꛁ12Pt-1ꛌ1t싳웚믵ꆢ쿖믵볛룱탲쇐뗄킭헻맘쾵뷸탐Johansen볬ꚤ=+Ftꛃ+2ꛁ21ꛁ22-1Ft-1ꛌꆣ(2)2t퇩뫍컳닮탞헽볬퇩(ECM);뷓ퟅ춨맽Granger틲맻쪽(2)훐:ꛃ1뫍ꛃ2캪쒣탍뗄뎣쫽쿮;ꛁ11ꆢꛁ12ꆢꛁ21럖컶뛔뻟폐킭헻맘쾵뗄웚믵폫쿖믵볛룱틽떼맘쾵뷸뫍ꛁ22쫇쾵쫽;ꛌ1t뫍ꛌ2t퓲캪쯦믺컳닮쿮;ꚤPt=Pt-탐볬퇩;캪쓜릻랴펳튻룶뇪ힼ닮탅쾢뛔뇤솿뗄떱웚횵뫍캴살횵쯹닺짺뗄펰쿬Pt-1,ꚤFt=Ft-Ft-1ꆣ럖뇰쇮PtZt=,ꚤZt=Zt,틔뿌뮭킡싳웚믵볛룱뇤Ft뚯뫍쿖믵볛룱뇤뚯횮볤뗄쿠뮥펰쿬,놾컄퓋폃쇋싶ꚤPtꛁ11-1ꛁ12돥쿬펦몯쫽살뷸탐쪵횤럖컶;ퟮ뫳퓋폃랽닮럖뷢뗄-Zt-1=ꚤ,ꛇ=Ftꛁ21ꛁ,퓲쮫뇤솿22-1랽램뻍킡싳웚믵쫐뎡뛔쿖믵쫐뎡뗄볛룱랢쿖릦쓜뗄VAR쒣탍뿉뇭쪾캪:듳킡뫍쿠뮥맘쾵뷸탐쇋쪵횤퇐뺿ꆣꚤZt=ꛃ+ꛇZt-1+ꛌꆣ(3)1)ADF떥캻룹볬퇩ꆣ튻냣살쮵,퓚뛔쪱볤탲쇐평폚Zt쫇평뻟폐쿠춬떥캻룹뗄럇욽컈탲쇐Pt쫽뻝뷸탐킭헻볬퇩뫍컳닮탞헽럖컶쪱,뇘탫뛔웤뷸뫍Ftퟩ돉,틲듋웤훁짙쫇튻뷗떥헻뗄,벴Ztꆫ탐욽컈탔볬퇩,횻폐좷뚨웤캪I(1)뷗욽컈탲쇐쪱,ꋱ(1),쓇쎴뛔Ztퟷ튻뷗닮럖뒦샭뫳쯹뗃뗄닮럖쿲닅쓜뛔웤뷸탐뷸튻늽뗄럖컶ꆣ놾컄뛔킡싳뗄웚믵볛솿ꚤZt퓲캪욽컈탲쇐,벴ꚤZtꆫꋱ(0)ꆣ훁듋,쪽(3)룱쪱볤탲쇐Ft뫍쿖믵볛룱쪱볤탲쇐Pt벰웤뛔펦뗄훐돽ꛇZt-1췢,웤폠룷쿮뚼쫇욽컈탲쇐,듓뛸뿉횪,떱튻뷗닮럖탲쇐ꇷFt뫍ꇷPt뷸탐욽컈탔볬퇩ꆣADFꛇ=0튲뻍쫇뻘헳뗄훈r(ꛇ)=0쪱,Zt뗄럖쿲솿Pt볬퇩쒣탍캪:뫍Ft횮볤늻듦퓚킭헻맘쾵;랴횮,떱0<r(ꛇ)<n(pꚤn캪쒣탍훐쯹몬뇤솿뗄룶쫽,퓚룃랽돌훐캪2)쪱,퓲Xt=ꛁ+ꛂꚤXt-1+ꇆꛄiꚤXt-i+ꛅtꆣ(1)i=1Zt뗄럖쿲솿Pt뫍Ft횮볤듦퓚킭헻맘쾵ꆣ평쪽(1)훐:ꚤXt=Xt-Xt-1,ꚤXt-i=Xt-i-Granger뚨샭뿉횪,죧맻랽돌쾵쫽뻘헳ꛇ뗄훈r(ꛇ)Xt-i-1;떱뛔킡싳웚믵볛룱쪱볤탲쇐ퟷADF볬퇩<n,퓲폐훈캪r뗄nꇁr뷗뻘헳ꛁ뫍ꛂ,쪹뗃ꛇ=ꛁꛂ쪱,Xt횸웚믵볛룱Ft;떱뛔킡싳쿖믵볛룱쪱볤탲쇐쟒ꛂ’Zt-1ꆫI(0),웤훐ꛂ쫇랴펳Zt룷럖솿횮볤뎤웚ퟷADF볬퇩쪱,Xt퓲횸쿖믵볛룱Pt;ꛅt캪냗퓫짹;뻹뫢맘쾵뗄킭헻닎쫽뻘헳,ꛁ쫇랴펳뇤솿떱웚뛔잰p캪뇤솿훍뫳뗄웚쫽,p뗄톡퓱뇪ힼ쫇쓜릻쪹뗃냗튻웚쪧뫢뗄뛌웚뗷헻뗄뗷헻쾵쫽뻘헳ꆣ평듋뿉볻,퓫짹쿮ꛅt늻듦퓚탲쇐ퟔ쿠맘ꆣADF볬퇩뗄풭볙짨ꛇ뛔폚볬퇩쿲솿룷풪쯘볤쫇럱뻟폐킭헻맘쾵폐ퟅ훘82
ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ짛폀춬뗈:훐쏀킡싳웚믵볛룱폫쿖믵볛룱뒫뗝맘쾵뗄뇈뷏퇐뺿튪뗄틢틥ꆣJohppansen볬퇩훷튪쫇볬퇩킭헻닎쫽뻘헳ꛂ뗄훈,늢맀볆킭헻쿲솿뫍뗷뷚쾵쫽뻘헳ꛁꆣyt=a0+ꇆaiyt-i+ꇆkjxt-ji=1j=13)컳닮탞헽쒣탍(errorcorrectionmode(l,i=1,2,ꆭ,p;j=1,2,ꆭ,p);(9)ppECM)ꆣECM쓜릻냑뷢쫍뇤솿뗄뎤웚ퟷ폃뫍뛌웚ퟷ폃럖샫뾪살,헢퇹늻뷶뿉틔랴펳뇤솿횮볤뗄뛌웚xt=b0+ꇆbixt-i+ꇆsjyt-ji=1j=1맘쾵(i=1,2,ꆭ,p;j=1,2,ꆭ,p)ꆣ(10),튲뿉틔랴펳뇤솿횮볤뗄뎤웚맘쾵,뛸쟒뿉틔랴펳돶뇤솿횮볤뗄뎤웚ퟷ폃뗄뚯첬뻹뫢믺훆[9]ꆣ쪽(9)뫍쪽(10)훐:yt듺뇭웚믵볛룱Ft뗄쪱볤쿈뾼싇튻룶튻뷗ퟔ믘맩럖늼훍뫳쒣탍탲쇐;xt듺뇭쿖믵볛룱Pt뗄쪱볤탲쇐ꆣ퓚쪽(9):y훐,죴k1=k2=ꆭ=kp=0,퓲뇭쏷xt늻쫇yt뗄t=ꛃ0+ꛃ1yt-1+ꛃ2xt+ꛃ3xt-1+ꛌtꆣ(4)쪽(4)훐,utꆫi1i1d1(0,ꛒ2),쇮3y=EGranger풭틲,벴쿖믵볛룱늻뻟놸뷢쫍뫍풤닢웚믵(yt),3x=E볛룱뗄쓜솦;퓚쪽(10)훐,죴s1=s2=ꆭ=sp=0(xt),평폚E(ut)=0,틲뛸폐3y=ꛃ0+ꛃ331y+ꛃ2x+ꛃ3,퓲뇭쏷yt늻쫇xt뗄Granger풭틲,벴웚믵볛룱늻3xꆣ(5)뷸뛸폐뻟놸뷢쫍뫍풤닢쿖믵볛룱뗄쓜솦;죴k1=k2=ꆭ3y=ꛃ3=kp=0뫍s1=s2=ꆭ=sp=0춬쪱돉솢,퓲뇭0/(1-ꛃ1)+(ꛃ2+ꛃ3)/(1-ꛃ1x)ꆣ(6)쇮쏷xst뫍yt횮볤늻듦퓚죎뫎랽쿲뗄틲맻맘쾵ꆣ0=ꛃ0/(1-ꛃ1),s1=(ꛃ2+ꛃ3)/(1-ꛃ1),퓲쪽(6)뿉뇭쪾캪33y=s0+5)싶돥쿬펦몯쫽ꆣ싶돥쿬펦몯쫽랽램(impulses1x,웤훐,s1캪yt맘폚xt뗄뎤웚돋쫽,뛈솿쇋yt폫xt횮볤뗄뎤웚뻹뫢responsefunction,IRF)쫇럖컶튻룶컳닮쿮랢짺뇤맘쾵ꆣ뮯믲헟쮵쒣탍뗄쯦믺죅뚯쿮쫜떽췢살뗄쒳훖돥믷뛔뛸뛔쪽(4)솽뛋복좥yt-1,폒뛋럖뇰볓복ꛃ0x쾵춳쓚짺뇤솿떱잰횵뫍캴살횵뗄뚯첬펰쿬ꆣ믹폚t-1뷸탐뇤뮻뿉뗃VAR(k)쒣탍뗄싶돥쿬펦몯쫽믹놾탎쪽캪::ꚤyYt=a11Yt-1+ꆭ+a1kYt-k+b11Xt-1+ꆭ+t=ꛃ0+(ꛃ1-1)(yt-1-s1xt-1)+ꛃ2ꚤxt+ꛌtꆣ(7)b1kXt-k+ꛅ1t;(11)볇ꛁ=ꛃXt=a21Yt-1+ꆭ+a2kYt-k+b21Xt-1+ꆭ+1-1,퓲평쪽(7)뿉뗃떽컳닮탞헽쒣탍뗄믹놾뇭듯쪽b:2kXt-k+ꛅ2tꆣ(12)ꚤy랽돌(11)ꆢ랽돌(12)훐:Yt뿉뇭쪾킡싳뗄웚믵t=ꛃ0+ꛁ(yt-1-s1xt-1)+ꛃ2ꚤxt+ꛌtꆣ(8)쪽(8)훐:yt듺뇭웚믵볛룱Ft뗄쪱볤탲쇐;x볛룱탲쇐;Xt뇭쪾킡싳뗄쿖믵볛룱탲쇐;ꛅ1tꆢꛅ2t캪t듺뇭쿖믵볛룱Pt뗄쪱볤탲쇐;ꛁ(yt-1-s1x쯦믺죅뚯쿮ꆣ떱ꛅ1tꆢꛅ2t쫜떽췢살돥믷뛸랢짺뇤뮯t-1)캪컳닮탞헽쿮;ꛁ캪컳닮탞헽쿮쾵쫽ꆣ평폚쪽(4)훐쪱,웤늻뷶믡펰쿬떱잰뗄YtꆢXt,뛸쟒믡펰쿬떽쯼ꛃ1<1,틲듋ꛁ=ꛃ1-1<0,ꛁ춨뎣튲놻돆캪뗷쏇뫳웚뗄좡횵ꆣ싶돥쿬펦몯쫽쫔춼랴펳뗄뻍쫇헢킩헻쾵쫽,뇭쪾퓚t-1웚yt-1뫍s0+s1xt-1횮볤욫닮펰쿬뗄뚯첬뇤뮯맽돌,벴쯦믺죅뚯쿮뗄돥믷죧뫎춨뗄뗷헻쯙뛈ꆣ떱ꛁ뗄맀볆횵뷓뷼폚-1쪱,쮵쏷욫맽쒣탍펰쿬떽웤쯻뇤솿늢ퟮ훕랴삡떽ퟔ짭뗄맽돌ꆣ닮뗄뗷헻쯙뛈뷏뿬,뛌웚뗄죅뚯쓜릻뫜뿬훘탂믘떽6)랽닮럖뷢ꆣ랽닮럖뷢쫇춨맽럖컶쎿튻룶췢살뻹뫢ힴ첬,튲벴뇤솿횮볤듦퓚뛌웚뗄킭헻맘쾵,랴펳돥믷뛔쓚짺뇤솿뇤뮯(춨뎣폃랽닮살뛈솿)뗄릱쿗뛈쇋웚믵쫐뎡폫쿖믵쫐뎡횮볤뻟폐뷏캪뷴쏜뗄솪쾵;틔뷸튻늽움볛늻춬췢살돥믷뗄훘튪탔ꆣ퓚웚믵폫쿖뛸떱ꛁ뗄맀볆횵뷓뷼폚0쪱,틢캶ퟅ뇤솿튻떩쫜떽믵볛룱맘쾵럖컶훐,폃Ft뫍Pt럖뇰뇭쪾웚믵폫쿖쒳훖얼좻틲쯘뗄돥믷뫳,훘탂믘떽뻹뫢ힴ첬뗄쯙뛈믵볛룱뗄쪱볤탲쇐,죧맻웚믵폫쿖믵볛룱횮볤듦퓚럇뎣싽,랴펳쇋웚믵쫐뎡폫쿖믵쫐뎡횮볤늻듦퓚뷏킭헻맘쾵,퓲뿉틔붫Ft뫍Pt뗄탅쾢럖뷢돉솽늿럖:캪쏷쿔뗄뛌웚킭헻맘쾵ꆣ튻쫇랴펳쯼쏇릲춬뇤뮯쟷쫆뗄늿럖,돆캪릲틲ퟓ,폃4)Granger틲맻볬퇩ꆣGranger틲맻맘쾵볬퇩gt살뇭쪾;뛾쫇랴펳룷ퟔ쫐뎡볛룱뇤뮯뗄쳘뚨틲쪵훊짏쫇볬퇩튻룶뇤솿뗄훍뫳뇤솿쫇럱뿉틔틽죫떽쯘,돆캪쫐뎡뗄퓫짹,폃ut살뇭쪾;퓲폐Ft=gt+쇭튻룶뇤솿랽돌훐,죧맻쫜떽헢룶틽죫뗄훍뫳뇤솿u1t,Pt=gt+u2tꆣGonzalo뫍Granger뮹붫쫐뎡뗄펰쿬,퓲죏캪쯼쏇횮볤뻟폐Granger틲맻맘릲틲ퟓ뚨틥돉Ft뫍Pt뗄튻룶쿟탔ퟩ뫏,벴gt=쾵[10]ꆣ퓚뛔웚믵폫쿖믵볛룱맘쾵ퟶGranger틲맻ꛋ1Ft+ꛋ2Ptꆣ랽닮럖뷢뻍쫇튪뛔솽룶쫐뎡릲틲ퟓ뗄볬퇩쪱,뿉틔붨솢뛾풪쒣탍:랽닮뷸탐럖뷢,늢쮵쏷룷ퟔ쫐뎡뗄죅뚯쿮뛔gt랽닮83
벼쫵뺭볃ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뗚27뻭ꆡ뗚11웚폐뛠듳돌뛈뗄릱쿗,벴쿠뛔랽닮릱쿗싊(relativeva2볛룱폐킧쫽뻝릲888룶,훐맺킡싳웚믵폫쿖믵볛룱riancecontribution,RVC)ꆣ뚨틥ꛒ21ꆢꛒ22럖뇰캪u1tꆢ폐킧쫽뻝릲852룶ꆣ놾컄닉폃Eviews510죭볾뛔쫽u2t뗄랽닮,떱솽룶쫐뎡뗄쯦믺죅뚯늻듦퓚쏷쿔쿠맘뻝뷸탐쪵횤럖컶ꆣ쪱,뗚i룶쫐뎡뗄랽닮릱쿗싊캪:ꛋ24ꆡ쪵횤럖컶뷡맻iꛒ2iSi=ꛋ21ꛒ21+ꛋ22ꛒ2ꆣ2411ꆡADF떥캻룹볬퇩뷡맻뛸떱솽룶쫐뎡뗄쯦믺죅뚯듦퓚튻뚨뗄쿠맘탔퓚뛔킡싳웚믵볛룱뫍쿖믵볛룱ퟶ킭헻볬퇩횮쪱,룹뻝쟇샯쮹믹럖뷢뫍S1+S2=1뿉틔뗃떽솽룶잰,쫗쿈샻폃ADF떥캻룹볬퇩뛔웚믵볛룱뫍쿖믵쫐뎡짏쯦믺죅뚯쿮뛔릲틲ퟓ뗄랽닮릱쿗싊럖뇰캪:볛룱탲쇐뷸탐욽컈탔볬퇩,볬퇩뷡맻볻뇭1ꆣ평뇭1(ꛋ1m11+ꛋ2m212)S1=뿉횪,훐쏀킡싳웚믵폫쿖믵볛룱탲쇐뚼쫇튻뷗떥헻(ꛋ1m11+ꛋ22m12)+(ꛋ;2m222)(ꛋ탲쇐,틲듋뿉틔뷸튻늽뛔웤뷸탐킭헻럖컶ꆣS2=2m222)뇭1ꆡ훐쏀킡싳웚믵폫쿖믵볛룱쪱볤탲쇐(ꛋ1m11+ꛋ2m2ꆣ12)+(ꛋ2m222)욽컈탔볬퇩뷡맻웤훐뇤솿볬퇩샠탍ADF횵쫇럱욽컈,Mm110ꛒ10==m12m22ꛑꛒ2ꛒ2(1-ꛑ1,ꛑ캪2)2Ft(Z)(C,T,3)-21677늻욽컈Pt(Z)(C,T,4)-11117늻욽컈u1tꆢu2t뗄쿠맘쾵쫽ꆣꇷFt(Z)(C,T,3)-21126933욽컈ꇷPt(Z)(C,T3ꆡ쫽뻝살풴벰쮵쏷,4)-25129433욽컈Ft(C)(C,T,3)01642늻욽컈놾퇐뺿쯹닉폃뗄웚믵쫽뻝럖뇰살풴폚횣훝짌욷Pt(C)(C,T,4)11065늻욽컈붻틗쯹잿싳웚믵뫏풼죕쫕엌볛뫍횥볓룧웚믵붻틗쯹ꇷFt(C)(C,T,3)-22151233욽컈ꇷPt(C)(C,T,4)-19166533욽컈킡싳웚믵뫏풼죕쫕엌볛ꆣ횮쯹틔톡퓱잿싳뗄웚믵붻ꆡꆡ힢:Ft(Z)뫍Pt(Z)훐Z럖뇰뇭쪾횣훝짌욷붻틗쯹뗄웚믵볛룱틗쫽뻝,훷튪뾼싇쇋웚믵뫍쿖믵쫽뻝뗄뿉믱뗃탔ꆣ뫍컒맺킡싳뗄쿖믵볛룱,Ft(C)뫍Pt(C)훐C럖뇰뇭쪾CBOT뗄킡컒맺킡싳쿖믵쫽뻝럖뇰살풴폚즽뚫ꆢ뫓놱ꆢ뫓쓏뗈쪡싳웚믵볛룱뫍쏀맺뗄킡싳쿖믵볛룱,ꇷFt(Z),ꇷPt(Z)ꆢꇷFt(C)뫍벸룶훷튪킡싳닖뿢돶뿢볛뗄욽뻹쫽,쏀맺킡싳쿖믵ꇷPt(C)럖뇰캪쯼쏇뗄튻뷗닮럖탲쇐,쿂춬ꆣ볬퇩샠탍훐CꆢT럖뇰캪떥캻룹랽돌훐냼몬뗄뎣쫽쿮뫍쟷쫆쿮ꆣ5%뗄쇙뷧횵캪-31415;볛룱쫽뻝살풴폚쏀맺얩튵늿(USDA)뗄킡싳쿖믵놨ꆰ33ꆱ뇭쪾퓚5%뗄쇙뷧횵쮮욽쿂춨맽볬퇩,탲쇐캪욽컈탲쇐ꆣ볛ꆣ놾컄쯹톡쫽뻝뗄쪱볤뿧뛈캪2004쓪9퓂1죕412ꆡJohansen킭헻볬퇩뗄쪵횤럖컶훁2008쓪3퓂12죕ꆣ평폚웚믵쫐뎡뫍쿖믵쫐뎡뗄평뇭1뗄볬퇩뷡맻뿉횪,훐쏀킡싳웚믵폫쿖믵붻틗쪱볤폐쪱늢늻춳튻,틲뛸믡돶쿖퓚쒳튻쳬폐웚볛룱뗄튻뷗닮럖탲쇐뻹캪욽컈탲쇐,틲듋뿉틔뛔웤믵볛룱쫽뻝뛸쎻폐쿖믵볛룱쫽뻝믲헟폐쿖믵볛룱쫽뷸탐Johansen킭헻볬퇩,틔퇐뺿쯼쏇횮볤뗄뎤웚뻹뻝뛸컞웚믵볛룱쫽뻝뗄쟩뿶,놾컄뛔돶쿖헢튻쟩뿶뫢맘쾵,쪵횤럖컶뷡맻볻뇭2ꆣ뗄쫽뻝뷸탐쇋쳞돽,ퟮ뫳뗃떽쏀맺킡싳웚믵폫쿖믵뇭2ꆡ훐쏀킡싳웚믵폫쿖믵볛룱탲쇐뗄Johansen킭헻볬퇩뷡맻맺볒쳘헷횵벣춳볆솿5%뗄쇙뷧횵쇣볙짨훐맺010178181562331514947늻듦퓚킭헻맘쾵010039312777318415훁뛠듦퓚튻룶킭헻맘쾵쏀맺0101521615821331514947늻듦퓚킭헻맘쾵010036311448318415훁뛠듦퓚튻룶킭헻맘쾵ꆡꆡ힢ꆰ:33ꆱ뇭쪾퓚5%뗄쇙뷧횵쮮욽쿂뻜뻸쇣볙짨ꆣꆡꆡ쯼쏇뗄킭헻랽돌뿉뇭쪾캪:듸살뎬맽튻떥캻쿖믵볛룱뗄뇤뚯,벴킡싳쿖믵쫐뎡ꇷPt(Z)=1139ꇷFt(Z)-3126;(13)쿠뛔폚웚믵쫐뎡뻟폐뷏듳뗄늨뚯탔ꆣ뛸쪽(14)훐,ꇷP쏀맺킡싳웚믵쫐뎡볛룱탲쇐폫쿖믵쫐뎡볛룱탲쇐횮t(C)=0101ꇷFt(C)-0108ꆣ(14)듓쪽(13)뿉틔뾴돶,컒맺킡싳웚믵쫐뎡볛룱탲볤맘쾵뗄뇭듯쪽훐틲뇤솿쾵쫽뻸뛔횵캪0101,뇭쏷쇐폫쿖믵쫐뎡볛룱탲쇐횮볤맘쾵뗄뇭듯쪽훐틲뇤솿쿖믵볛룱뇤뮯럹뛈풶풶킡폚웚믵볛룱뗄뇤뮯럹뛈,쾵쫽뻸뛔횵캪1139,뇭쏷튻떥캻웚믵볛룱뗄뇤뚯붫벴쿖믵쫐뎡볛룱쿠뛔폚웚믵쫐뎡볛룱뻟폐뷏잿뗄컈84
ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ짛폀춬뗈:훐쏀킡싳웚믵볛룱폫쿖믵볛룱뒫뗝맘쾵뗄뇈뷏퇐뺿뚨탔ꆣ컞싛쫇컒맺킡싳웚믵폫쿖믵볛룱뮹쫇쏀맺킡싳웚믵413ꆡ컳닮탞헽쒣탍뗄쪵횤럖컶폫쿖믵볛룱욫샫뻹뫢볛룱쪱,뚼쓜퓚뛌웚쓚믖뢴떽뇭3룸돶쇋훐쏀킡싳웚믵폫쿖믵볛룱뗄컳닮탞뎤웚뻹뫢뗄ힴ첬ꆣ떫듓솽맺킡싳웚믵폫쿖믵볛룱컳헽쒣탍맀볆뷡맻ꆣ듓뇭3뗄뷡맻살뾴,컒맺킡싳웚닮탞헽쿮쾵쫽뗄뻸뛔횵살뾴,쏀맺킡싳웚믵폫쿖믵믵폫쿖믵볛룱뗄컳닮탞헽쿮쾵쫽럖뇰캪01019뫍볛룱컳닮탞헽쿮쾵쫽뻸뛔횵뚼튪듳폚컒맺ꆣ헢쮵-01004,쟒퓚5%뗄쇙뷧횵쮮욽짏춳볆쿔훸ꆣ춬쏷,쏀맺킡싳웚믵폫쿖믵쫐뎡볛룱욫샫뻹뫢ힴ첬쪱,퇹,듓뇭3튲뿉틔뾴돶,쏀맺킡싳웚믵폫쿖믵볛룱뗄퓚뛌웚쓚믖뢴떽뎤웚뻹뫢ힴ첬뗄쯙뛈튪쏷쿔뿬폚컒컳닮탞헽쿮쾵쫽럖뇰캪-11883뫍-01027,늢쟒솽맺ꆣ헟퓚5%뗄쇙뷧횵쮮욽짏튲뚼춳볆쿔훸ꆣ헢뇭쏷,뇭3ꆡ훐쏀킡싳웚믵폫쿖믵볛룱컳닮탞헽쒣탍맀볆뷡맻쿮쒿훐맺쏀맺쿖믵볛룱웚믵볛룱쿖믵볛룱웚믵볛룱컳닮탞헽쿮쾵쫽맀볆횵-01004(2)01019(2)-01027(2)-11883(2)T춳볆횵-11582331176233-2181133-1189333ꆡꆡ힢:삨뫅쓚뗄쫽ퟖ캪훍뫳웚,쯼쫇룹뻝AIC뫍SC횵ퟮ킡뗄풭퓲좷뚨뗄ꆣꆰ33ꆱ뇭쪾퓚5%뗄쇙뷧횵쮮욽짏춳볆쿔훸ꆣ414ꆡGranger틲맻볬퇩뷡맻ힼ닮탅쾢뗄랴펦쮮욽좴돊컈늽짏짽뗄쟷쫆ꆣ듓춼1캪쇋뷸튻늽뾼달훐쏀킡싳웚믵폫쿖믵볛룱뒫떼뫍춼2훐쿖믵쫐뎡탅쾢뫍웚믵쫐뎡탅쾢뗄돥믷뛔뇈랽쿲,쿖뛔훐쏀킡싳웚믵폫쿖믵볛룱탲쇐ퟶGrang2살뾴,살ퟔ쿖믵쫐뎡튻룶뇪ힼ닮탅쾢뗄돥믷뛔쿖믵er틲맻볬퇩,볬퇩뷡맻볻뇭4ꆣ듓뇭4뗄볬퇩뷡맻볛룱놾짭뗄펰쿬늻쫇뫜쏷쿔,떫살ퟔ웚믵쫐뎡튻룶뿉틔뾴돶,훐쏀킡싳웚믵폫쿖믵볛룱듦퓚쏷쿔뗄쮫뇪ힼ닮탅쾢뗄돥믷뛔쿖믵볛룱뻟폐뷏잿뗄돥믷ퟷ쿲틽떼맘쾵ꆣ폃ꆣ뛸웚믵볛룱뛔늻맜쫇살ퟔ쿖믵쫐뎡뮹쫇웚믵쫐뇭4ꆡ훐쏀킡싳웚믵폫쿖믵볛룱뗄Granger틲맻볬퇩뷡맻뎡뗄튻룶뇪ힼ닮탅쾢뗄돥믷뗄랴펦뚼뫜쏷쿔ꆣ쇣볙짨F춳볆횵P횵틽떼럱P(Z)늻틽떼F(Z)2101701003틽떼F(Z)늻틽떼P(Z)1118401006틽떼P(C)늻틽떼F(C)2106401004틽떼F(C)늻틽떼P(C)1195401007틽떼415ꆡ싶돥쿬펦몯쫽뗄쪵횤럖컶평폚싶돥쿬펦몯쫽쓜릻ힼ좷뗘랴펳튻룶뇪ힼ닮탅쾢뗄돥믷뛔뇤솿뗄싶돥랴펦,틲듋놾컄뷓ퟅ뛔훐쏀킡싳웚믵폫쿖믵볛룱뷸탐싶돥쿬펦몯쫽럖컶ꆣ춼1뫍춼2럖뇰랴펳쇋컒맺킡싳쿖믵볛룱폫웚믵볛룱춼1ꆡ컒맺킡싳쿖믵볛룱뛔튻룶뇪ힼ닮뛔튻룶뇪ힼ닮탅쾢뗄싶돥랴펦뷡맻ꆣ듓춼1뿉틔뾴탅쾢뗄싶돥쿬펦돶:컒맺킡싳쿖믵볛룱쫜떽살ퟔ웚믵쫐뎡튻룶뇪ힼ닮탅쾢뗄돥믷뫳,웤랴펦쮮욽듓0훰붥짏짽,떽뗚60룶붻틗죕쪱듯떽0114%;뛸킡싳쿖믵볛룱쫜떽살ퟔ쿖믵쫐뎡뗄튻룶뇪ힼ닮탅쾢돥믷뫳,웤랴펦쮮욽돊쿖쿈짽뫳붵뗄쟷쫆,벴평0135%뫜뿬짏짽떽014%뗄쮮욽,좻뫳퓚튻룶쿁킡뗄뿕볤쓚뮺싽쿂붵,횱훁뗚60룶붻틗죕믖뢴떽돵쪼횵쮮욽ꆣ뛸듓춼2뿉틔뾴돶:살ퟔ웚믵쫐뎡뗄튻룶뇪ힼ닮탅쾢뗄돥믷뛔킡싳웚믵볛룱뗄랴펦돊쿈짽뫳붵뗄쟷쫆,뛔떱웚춼2ꆡ컒맺킡싳웚믵볛룱뛔튻룶뇪ힼ닮뗄랴펦쮮욽캪1141%,뗚뛾룶붻틗죕짏짽떽1147%탅쾢뗄싶돥쿬펦뗄룟뗣,떫뷴뷓ퟅ뻍뾪쪼돖탸쿂붵,ퟮ훕퓚뗚60룶뛔쏀맺뗄웚믵폫쿖믵볛룱닉퇹춬퇹뗄럖컶랽붻틗죕붵떽0192%;뛸쿖믵볛룱뛔웚믵볛룱튻룶뇪램,뗃떽쏀맺킡싳웚믵폫쿖믵볛룱뛔살ퟔ웚믵쫐뎡85
벼쫵뺭볃ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뗚27뻭ꆡ뗚11웚뫍쿖믵쫐뎡튻룶뇪ힼ닮탅쾢돥믷뗄랴펦쪮럖샠쯆,살뾴,컒맺킡싳웚믵쫐뎡뗄탅쾢럝뛮뛔킡싳뎤웚볛ퟜ쳥짏뚼돊쿖훰늽짏짽뗄쟷쫆,떫쿖믵볛룱뛔살ퟔ룱뗄펰쿬쏷쿔룟폚쏀맺,쮵쏷컒맺킡싳웚믵쫐뎡퓚웚믵쫐뎡뫍쿖믵쫐뎡튻룶뇪ힼ닮탅쾢뗄랴펦룼듳튻볛룱랢쿖릦쓜짏튪쇬쿈폚쏀맺,듓튻뚨틢틥짏쮵,컒킩,웤싶돥랴펦쮮욽캬돖퓚116%ꆫ215%횮볤,뛸맺킡싳웚믵쫐뎡뇈쏀맺킡싳웚믵쫐뎡룼캪췪짆ꆣ웚믵볛룱뛔살ퟔ헢솽룶쫐뎡튻룶뇪ힼ닮탅쾢뗄랴펦쿠뛔뷏죵,싶돥랴펦쮮욽듳풼퓚0%ꆫ5ꆡ퇐뺿뷡싛112%횮볤ꆣ416ꆡ랽닮럖뷢뗄쪵횤럖컶놾컄샻폃Johansen킭헻볬퇩ꆢ컳닮탞헽쒣탍ꆢ뇭5룸돶쇋컒맺킡싳웚믵폫쿖믵볛룱뗄랽닮럖Granger틲맻볬퇩ꆢ싶돥쿬펦몯쫽럖컶뫍랽닮럖뷢,뷢뷡맻,듓뇭5뿉틔뾴돶,컒맺킡싳웚믵볛룱쯦ퟅ훍믹폚훐쏀솽맺킡싳웚믵폫쿖믵볛룱쫽뻝,뛔훐쏀솽뫳웚뗄퓶볓,뛔웚믵쫐뎡볛룱뇤뚯뗄펰쿬훰붥복킡,맺킡싳웚믵폫쿖믵볛룱뗄뒫뗝맘쾵뷸탐쇋쪵횤퇐뛸쫜쿖믵쫐뎡볛룱뇤뚯뗄펰쿬훰붥퓶듳ꆣ떱훍뫳웚뺿,뗃돶쇋틔쿂벸뗣뷡싛:캪1쪱,킡싳웚믵쫐뎡볛룱쫜떽살ퟔ웚믵쫐뎡탅쾢1)훐쏀솽맺킡싳웚믵폫쿖믵볛룱쪱볤탲쇐쫽뻝럝뛮뫍쿖믵쫐뎡탅쾢럝뛮뗄펰쿬럖뇰캪99198%뫍뻹캪럇욽컈쫽뻝,떫쯼쏇뗄튻뷗닮럖탲쇐뚼뻟폐욽0102%,쯦ퟅ훍뫳웚평뗚1웚훰붥퓶볓떽뗚n웚(놾컈탔ꆣ퇐뺿좡n=100)2)훐쏀솽맺킡싳웚믵폫쿖믵볛룱횮볤뻹듦퓚ퟅ,웚믵쫐뎡탅쾢럝뛮뗄펰쿬훰붥복킡떽88115%,뛸쿖믵쫐뎡탅쾢럝뛮퓲훰늽퓶볓떽쏷쿔뗄쮫쿲틽떼맘쾵뫍뎤웚뻹뫢맘쾵;늢쟒떱솽맺11185%,떫웚믵쫐뎡탅쾢럝뛮뗄펰쿬죔풶풶룟폚쿖킡싳웚믵폫쿖믵볛룱욫샫뻹뫢볛룱쪱,뚼쓜퓚뛌웚믵쫐뎡탅쾢럝뛮뗄펰쿬ꆣ듓뇭5뮹뿉틔뾴돶,컒맺쓚믖뢴떽뎤웚뻹뫢뗄ힴ첬;떫쏀맺킡싳웚믵폫쿖믵킡싳쿖믵볛룱쫜쿖믵쫐뎡탅쾢럝뛮뫍웚믵쫐뎡탅쾢볛룱욫샫뻹뫢ힴ첬쪱,웤퓚뛌웚쓚믖뢴떽뎤웚뻹뫢럝뛮뗄펰쿬폫웚믵볛룱쫜떽뗄펰쿬잡잡쿠랴,벴웚ힴ첬뗄쯙뛈튪쏷쿔뿬폚컒맺ꆣ믵쫐뎡탅쾢럝뛮뗄펰쿬평킡떽듳,뛸쿖믵쫐뎡탅쾢3)훐쏀솽맺웚믵폫쿖믵볛룱쫜떽살ퟔ웚믵쫐뎡럝뛮좴평듳떽킡,퓚훍뫳웚캪n쪱,살ퟔ쿖믵쫐뎡탅뫍쿖믵쫐뎡튻룶뇪ힼ닮탅쾢돥믷쪱,컒맺웚믵폫쿖쾢럝뛮뗄펰쿬듯떽럥횵,캪88111%,뛸살ퟔ웚믵쫐믵볛룱뛔헢튻탅쾢돥믷뗄랴펦싔폐늻춬ꆪꆪꆪퟜ쳥살뎡탅쾢럝뛮뗄펰쿬춬쪱듯떽ퟮ뗍횵,캪11189%ꆣ쮵,웚믵볛룱뗄랴펦뷏캪쏷쿔;뛸쏀맺웚믵폫쿖믵볛뇭5ꆡ컒맺킡싳웚믵폫쿖믵볛룱랽닮럖뷢뷡맻룱뛔튻룶뇪ힼ닮탅쾢뗄랴펦퓲쪮럖쿠쯆ꆣ떫듓솽맺랴펦뗄뻸뛔횵뇈뷏살뾴,컒맺웚믵폫쿖믵볛룱뛔돥훍뫳웚웚믵볛룱쿖믵볛룱쿖믵쫐뎡럝뛮웚믵쫐뎡럝뛮쿖믵쫐뎡럝뛮웚믵쫐뎡럝뛮믷뗄랴펦뚼튪짔잿폚쏀맺ꆣ101029919810010001004)훐쏀솽맺킡싳웚믵폫쿖믵볛룱뎤웚뇤뮯훐,1011698140991800120컒맺킡싳웚믵쫐뎡퓚킡싳웚ꆢ쿖믵볛룱뎤웚뇤뮯훐2021479715399116018430314196159981171183쯹햼뗄탅쾢럝뛮캪50102%,뛸쏀맺뗄헢튻쫽뻝캪n1118588115881111118933183%,컒맺뗄쪵횤뷡맻튪쏷쿔룟폚쏀맺,쮵쏷컒맺킡싳웚믵쫐뎡뗄볛룱랢쿖릦쓜뗄랢믓돌뛈튪뫃폚ꆡꆡퟛ뫏뇭5뗄쪵횤뷡맻뿉틔랢쿖,떱쫐뎡탅쾢럝쏀맺ꆣ뛮컈뚨쪱(n=100),컒맺킡싳웚ꆢ쿖믵볛룱뎤웚뇤뮯ퟛ짏쯹쫶,컒맺킡싳웚믵쫐뎡뛔살ퟔ튻룶뇪ힼ훐,쿖믵쫐뎡뗄탅쾢럝뛮햼49198%,웚믵쫐뎡뗄탅닮탅쾢돥믷뗄뗷뷚쓜솦뫍볛룱랢쿖릦쓜뗄랢믓돌뛈쾢럝뛮햼50102%,살ퟔ솽헟뗄펰쿬뚼뷓뷼50%뗄뚼쿠뛔뷏뫃,헢쮵쏷컒맺킡싳웚믵쫐뎡틑뺭좡뗃쇋쮮욽,쎻폐쏷쿔뗄쟸뇰,헢쮵쏷웚믵쫐뎡퓚킡싳웚ꆢ돵늽뗄랢햹,퓚맺볊킡싳웚믵쫐뎡짏틑뺭뻟폐튻뚨쿖믵볛룱뎤웚뇤뮯훐폫쿖믵쫐뎡뗄ퟷ폃듳킡쿠떱ꆣ뗄펰쿬솦,쯼캪컒맺킡싳쿖믵짺닺ꆢ볓릤뫍쿺쫛짌쳡뛔쏀맺킡싳웚믵폫쿖믵볛룱닉폃쿠춬뗄랽램뷸릩쇋튻룶볛룱랢쿖ꆢ쫊떱맦뇜쿖믵뺭펪럧쿕뗄욽첨ꆣ탐럖컶,뷡맻쿔쪾:떱쫐뎡탅쾢럝뛮컈뚨쪱,쏀맺킡떫컒쏇튲튪쟥탑뗘죏쪶떽,컒맺킡싳웚믵쫐뎡퓚뛌싳웚ꆢ쿖믵볛룱뎤웚뇤뮯훐,쿖믵쫐뎡뗄탅쾢럝뛮캪웚쓚랢짺볛룱욫틆뻹뫢뫳뗄믖뢴쓜솦뮹뷏죵,컒맺66117%,웚믵쫐뎡뗄탅쾢럝뛮캪33183%,헢뇭쏷킡싳웚믵쫐뎡떱잰뮹쎻폐탎돉맺볊뚨볛좨,틲듋,튪쏀맺킡싳웚ꆢ쿖믵볛룱쫜웚믵쫐뎡뗄펰쿬풶킡폚쫜늻뛏듓폅뮯뫏풼짨볆ꆢ뒴탂붻틗훆뛈ꆢ볓잿볠맜솦뛈쿖믵쫐뎡뗄펰쿬ꆣ듓훐쏀솽맺뗄랽닮럖뷢뷡맻뇈뷏뗈랽쏦볓뿬컒맺킡싳웚믵쫐뎡뗄랢햹,틔훰늽붵뗍86
ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ짛폀춬뗈:훐쏀킡싳웚믵볛룱폫쿖믵볛룱뒫뗝맘쾵뗄뇈뷏퇐뺿붻틗돉놾[6]ꆡ췵붡,슽컄듏,믆ퟦ믔.컒맺듳뚹웚믵볛룱킭헻맘쾵폫틽떼,쳡룟쫐뎡컼틽솦,뷸튻늽퓶잿웚믵폫쿖믵쫐뎡볛룱뒫뗝뗄킧싊ꆣ맘쾵뗄쪵횤퇐뺿[J].얩튵뺭볃,2006(4):56258.[7]ꆡDICKEYDA,닎뾼컄쿗forautoregressivetimeserieswithunitroot[J].Econo2metrica,1981,49:105721072.[1]ꆡ,manymark뛔s:determi2[8]ꆡ[J].TheJournal[J].JournalofEconomicDynamicandcontrol,1988,12ofFinance,1995,50(4):117521199.(2):2312254.[2]ꆡ헅헱,쳕붨욽.훐쏀킡싳웚믵쫐뎡뗄쿠맘탔벰틽떼탔[J].[9]ꆡENGLERF,춳볆폫뻶닟,2006,(1)::representation,estimationandtesting[J].[3]ꆡ뫺폮,훜뫪.훐맺킡싳웚믵쫐뎡웚쿖믵볛룱맘쾵퇐뺿[J].Econometrica,1987,55:2512276.뷰죚뺭볃,2006,(8):1092110.[10]ꆡGRANGERCWJ1Investigatingcausalrelationsbye2[4]ꆡ헔죙,쟇뻪.훐쏀쏞뮨웚믵폫쿖믵볛룱뒫떼맘쾵뇈뷏럖컶conometricmodelsandcross2spectralmethods[J].Econ2[J].훐맺얩튵듳톧톧놨,2008,13(2):,1969,37:4242438.[5]ꆡ샮릫쏱,쇵샘,샮횾커.춭웚믵볛룱폫쿖믵볛룱틽떼맘쾵쪵횤퇐뺿[J].쿖듺맜샭뿆톧,2004(11):,GaoWangsheng2(11CollegeofEconomicsandManagement,ChinaAgriculturalUniversity,Beijing100083,China;21CenterofRegionalAgricultureResearch,ChinaAgriculturalUniversity,Beijing100094,China)Abstract:AimingatstudyingthelevelofpricediscoveryfunctionofChinesewheatfuturesmarketandtheinfluenceoffuturespriceonspotprice,thispaperusesJohansenCointegrationTest,ErrorCorrectionModel,ImpulseResponseFunctionandVarianceDecompositionModeltoanalyzethepricepass2throughcorrelationbetweenfuturespriceandspotpriceinwheatmarketofChinaandUS1Theresultsshowthat,thereexistbidirectionalinducingrelationshipandlong2termequilibriumrelationshipbetweenfuturespriceandspotpriceinwheatmarketofChinaandUS;theresponsetoonestandarddeviationmessageofwheatfuturesandspotpriceinChinesewheatmarketareshowedtobemoresensitivethanthoseinUSwheatmarket;thelevelofpricediscoveryfunctionofChinaꆯswheatfuturesmarketisbetterthanthatofUSwheatfuturesmarket1Keywords:wheat;futuresprice;spotprice;pricepass2through;pricediscoveryfunction뇠뛁풰뗘싛컄햪튪뗄뇠킴튪쟳(튻)햪튪쫇톧쫵싛컄뗄훘튪ퟩ돉늿럖,웤믹놾튪쯘냼삨:퇐뺿쒿뗄(폐쪱뿉쪡)ꆢ랽램ꆢ뷡맻뫍뷡싛ꆣ캪듋,펦떱쏷좷햪튪뗄릦쓜ꆣ햪튪뗄릦쓜냼삨:1)쪹뛁헟쇋뷢싛컄뗄훷튪쓚죝,캪뛁헟볬쯷싛컄럾컱ꆣ튻냣살붲,뛁헟볬쯷떽싛컄쳢쏻뫳,훷튪춨맽햪튪살에뛏싛컄쫇럱폐퓄뛁볛횵ꆣ2)캪뿆벼쟩놨죋풱뫍볆쯣믺볬쯷쳡릩랽뇣ꆣ싛컄랢뇭뫳,컄햪퓓횾믲쫽뻝뿢뛔햪튪뿉틔늻ퟶ탞룄믲짔ퟶ탞룄뛸횱뷓샻폃,듓뛸뇜쏢쯻죋뇠킴햪튪뿉쓜닺짺뗄컳뷢ꆢ잷좱짵훁듭컳ꆣ쯦ퟅ좫컄볬쯷맢엌뗄돶쿖ꆢ웚뾯짏췸,햪튪컼틽뛁헟뫍뷩짜컄헂뗄릦쓜풽살풽쏷쿔,뿉틔쮵,햪튪훊솿뗄룟뗍,횱뷓펰쿬ퟅ싛컄뗄펰쿬솦뫍놻샻폃쟩뿶ꆣ87
