common factor augmented forecasting models for the us...

2020 2

No 2020-5

Common Factor Augmented Forecasting Models for the US Dollar-Korean Won Exchange Rate

Hyeongwoo Kim Soohyon Kim

2020

Woon Shin

Common Factor Augmented Forecasting

Models for the US Dollar-Korean Won

Exchange Rate


The views expressed herein are those of the authors and do not necessarily reflect the official views of Bank of Korea When reporting or citing this paper the authorsrsquo names should always be explicitly stated

Patrick E Molony Professor Department of Economics Auburn University 138 Miller Hall Auburn AL 36849 Tel +1-334-844-2928 Fax +1-334-844-4615 E-mail gmmkimgmailcom

Economist Research Department Bank of Korea Tel +82-2-759-4235 E-mail soohyonkimbokorkr

We thank seminar participants at Bank of Korea for useful comments We also thank Bank of Korea for the financial support All errors remaining are ours

Contents

I Introduction middotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddot 1

II Methods of Estimating Latent Common Factors middotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddot 5

III In-Sample Analysis middotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddot 10

IV Out-of-Sample Prediction Performance middotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddot 21

V Concluding Remarks middotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddot 36

References middotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddotmiddot 37



Exchange Rate

We propose factor-augmented out of sample forecasting models for the real

exchange rate between Korea and the US We estimate latent common factors by

applying an array of data dimensionality reduction methods to a large panel of

monthly frequency time series data We augment benchmark forecasting models

with common factor estimates to formulate out-of-sample forecasts of the real

exchange rate Major findings are as follows First our factor models outperform

conventional forecasting models when combined with factors from the US

macroeconomic predictors Second our factor models perform well at longer

horizons when American real activity factors are employed whereas American

nominalfinancial market factors help improve short-run prediction accuracy

Third models with global PLS factors from UIP fundamentals overall perform

well while PPP and RIRP factors play a limited role in forecasting

Keywords WonDollar Real Exchange Rate Principal Component Analysis Partial Least Squares LASSO Out-of-Sample Forecast

JEL Classification C38 C53 C55 F31 G17

1 BOK Working Paper No 2020-5

Ⅰ Introduction

This paper presents out-of-sample factor-augmented forecasting models for

the real exchange rate between Korea and the US We demonstrate that our

models outperform commonly used benchmark models when factors are

extracted from a large panel of macroeconomic time series data in the US

We report a very limited role of factors from Korean macroeconomic variables

in predicting the real exchange rate at any forecast horizons

In their seminal work Meese and Rogoff (1983) demonstrate that the

random walk (RW) model performs well in forecasting exchange rates in

comparison with the models that are motivated by exchange rate determination

theories Cheung Chinn and Pascual (2005) add more recent evidence of such

a disconnect between the exchange rate and economic fundamentals showing

that exchange rate models still do not consistently outperform the RW model

in out-of-sample forecasting1) In a related work Engel and West (2005) provide

an interesting point that asset prices such as the exchange rate can show a

near unit root process though these prices are still consistent with asset pricing

models as the discount factor approaches one2)

A group of researchers however demonstrated that exchange rate models

could outperform the RW model at longer horizons For example Mark (1995)

used a regression model of multiple-period changes (long-differenced) in the

nominal exchange rate on the deviation of the exchange rate from its

fundamentals then reported overall superior long-horizon predictability of

fundamentals for the exchange rate Chinn and Meese (1995) also report

similar long-horizon evidence of greater predictability of exchange rate models

relative to the RW Using over two century-long annual frequency data Lothian

and Taylor (1996) report good out-of-sample predictability of fundamentals

for the real exchange rate Groen (2005) reports some long-horizon evidence

1) However Engel and Hamilton (1990) report some evidence that their nonlinear models outperform the RW But their findings are still at odds with uncovered interest parity (UIP)

2) Many researchers provide panel evidence of a close link between monetary models and exchange rate dynamics See for example Rapach and Wohar (2004) Groen (2000) and Mark and Sul (2001)

Common Factor Augmented Forecasting Models for the US Dollar-Korean Won Exchange Rate 2

of superior predictability of monetary fundamentals employing a vector

autoregressive (VAR) model framework3) Also Engel Mark and West (2008)

show that out-of-sample predictability can be enhanced by focusing on panel

estimation and long-horizon forecasts

Another group of researchers started using Taylor Rule fundamentals in

addition to conventional monetary fundamentals See among others Engel

Mark and West (2008) Molodtsova Nikolsko-Rzhevskyy and Papell (2008)

Molodtsova and Papell (2009) Molodtsova and Papell (2013) and Ince

Molodtsova and Papell (2016) They show that models with Taylor Rule

fundamentals tend to perform well in forecasting the exchange rate See Rossi

(2013) for a survey of research work that demonstrates the importance of Taylor

Rule fundamentals in understanding exchange rate dynamics4)

We note that the pioneering work of Stock and Watson (2002) has initiated

an influx of papers that utilize latent common factors in forecasting

macroeconomic variables via principal components (PC) analysis The current

exchange rate literature is not an exception A number of researchers began

using large panels of time series data to better understand exchange rate

dynamics For instance Engel Mark and West (2015) use cross-section

information (PC factors) that are obtained from a panel of 17 bilateral exchange

rates vis-agrave-vis the US dollar then demonstrate that factor based forecasting

models often outperform the RW model during the post-1999 sample period

They also report good forecasting performance of the dollar factor in

combination with Purchasing Power Parity (PPP) factors Chen Jackson Kim

and Resiandini (2014) used PC to extract latent common factors from 50 world

commodity prices Their first common factor turns out to be closely related

with the dollar exchange rate which is consistent with an observation that world

commodities are priced in US dollars They show that this first common factor

3) They demonstrate that the monetary fundamentals-based common long-run model tends to outperform the RW model as well as the standard cointegrated vector autoregressive (VAR) model at 2 to 4 year horizons

4) In a related work Wang and Wu (2012) show the superior out-of-sample interval predictability of the Taylor Rule fundamentals at longer horizons Also many researchers report in-sample evidence that Taylor rul fundamentals help understanding exchange rate dynamics See among others Mark (2009) Molodtsova Nikolsko-Rzhevskyy and Papell (2008) Engel and West (2006) and Clarida and Waldman (2008)


yields superior out-of-sample predictive contents for the dollar exchange rate

Greenaway-McGrevy Mark Sul and Wu (2018) demonstrate that exchange

rates are mainly driven by a dollar and an euro factor They show that their

dollar-euro factor model dominates the RW model in the out-of-sample

prediction performance Verdelhan (2018) uses portfolios of international

currencies to extract the two risk factors (dollar factor and carry factor) which

successfully explain exchange rate dynamics Using a structural Bayesian vector

autoregression (SBVAR) Carsquo Zorzi Kociecki and Rubaszek (2015) demonstrate

that real interest rate and PPP fundamentals are useful to forecast exchange

rates at medium horizons although it is still difficult to beat the RW model

in the short-run

PC has been widely used in the current forecasting and empirical

macroeconomics literature However it extracts latent common factors from

predictors without considering the relationship between predictors and the

target variable As shown by Boivin and Ng (2006) its performance may be

poor in forecasting the target variable if useful predictive contents are in a

certain factors that are dominated by other factors Recognizing this potential

problem we employ an alternative data dimensionality reduction method such

as the partial least squares (PLS) method by Wold (1982) This method utilizes

the covariance between the target and predictor variables to generate

target-specific factors See Kelly and Pruitt (2015) and Groen and Kapetanios

(2016) for some comparisons between the PC and PLS approaches Similar

to Bai and Ng (2008) and Kelly and Pruitt (2015) we also use the Least Absolute

Shrinkage and Selection Operator (LASSO) to select target-specific groups of

the predictors among the full dataset to extract more relevant factors for the

target

In this paper we suggest factor-augmented forecasting models for the

KRWUSD real exchange rate We employ PC and PLS as well as the LASSO

in combination with PC and PLS to estimate common factors using large panels

of 125 American and 192 Korean monthly frequency macroeconomic time

series data from October 2000 to March 2019 Since most macroeconomic data

are better approximated by a nonstationary integrated process (Nelson and


Plosser 1982) we extract common factors by applying these methods to first

differenced predictors to consistently estimate factors (Bai and Ng 2004) We

also extract common factors from country-level global data using up to 43

country-level data for prices and interest rates motivated by exchange rate

determination theories such as Purchasing Power Parity (PPP) Uncovered

Interest Parity (UIP) and Real Uncovered Interest Parity (RIRP) We then

implement an array of out-of-sample forecasting exercises utilizing these factor

estimates and investigate what factors help improve the prediction accuracy

for the exchange rate We evaluate the out-of-sample predictability of our factor

models via the ratio of the root mean squared prediction error (RRMSPE)

criteria

Our major findings are as follows First our factor-augmented forecasting

models outperform the random walk (RW) and autoregressive AR(1) type

benchmark models only when they utilize American factors Korean

factor-augmented models overall got dominated by the AR model although

they still outperform the RW model when the forecast horizon is one-year or

longer It is well known that bilateral exchange rates relative to the US dollar

tend to exhibit high cross-section correlations That is US common factors

are likely to dominate dynamics of these exchange rates vis-agrave-vis dollars over

idiosyncratic components in each country such as Korea Combining Korean

(idiosyncratic) factors with American factors slightly improves the forecasting

performance but failed to observe sufficiently large improvement enough to

outperform the AR model

Second our models tend to perform better in short horizons when they

are combined with nominalfinancial market factors in the US On the other

hand American real activity factor models outperform both the RW and AR

models at longer horizons Put it differently good short-run prediction

performance of our models with the total factors seems to inherit the superior

performance of our models with financial market factors while superior

long-run predictability seems to stem from information from real activity

factors These results are consistent with the work of Boivin and Ng (2006)

in the sense that one may extract more useful information from subsets of


predictors

Third forecasting models with UIP motivated PLS factors perform well

when the US serves as the reference country However PPP and RIRP based

factor models are dominated by the AR model whichever country serves as

the reference Overall data-driven factor models seem to perform better than

these propositon-based factor models

The rest of the paper is organized as follows Section 2 carefully describes

how we estimate latent common factors via PC PLS and the LASSO for the

real exchange rate when predictors obey an integrated process Section 3

presents data descriptions and preliminary statistical analysis We also report

some in-sample fit analysis to investigate the source of latent common factors

In Section 4 we introduce our factor-augmented forecasting models and

evaluation schemes Then we present and interpret our out-of-sample

forecasting exercise results We also report results with alternative identification

approaches proposition-based models and nonstationary forecasting models

in comparison with the data-driven factor forecasting models Section 5

concludes

Ⅱ Methods of Estimating Latent Common Factors

This section explains how we estimate latent common factors by applying

Principal Component (PC) Partial Least Squares (PLS) and the Least Absolute

Shrinkage and Selection Operator (LASSO) to a large panel of nonstationary

predictors

1 Principal Component Factors

Since the seminal work of Stock and Watson (2002) PC has been popularly

used in the current forecasting literature We begin with this approach to show

how to estimate latent common factors when predictors are likely to be

integrated processes

Consider a panel of macroeconomic times time series


predictorsvariables ҳ ҳ ҳ ҳ where ҳ prime We assume that each predictor ҳ has the following factor structure

Abstracting from deterministic terms

primeｆ (1)

where ｆ

⋯ prime is an times vector of latent time-varying

common factors at time and ⋯ primedenotes an times vector

of time-invariant idiosyncratic factor loading coefficients for ҳ is the

idiosyncratic error term

Following Bai and Ng (2004) we estimate latent common factors by applying

the PC method to first-differenced data This is because as shown by Nelson

and Plosser (1982) most macroeconomic time series variables are better

approximated by an integrated nonstationary stochastic process Note that the

PC estimator of ｆ would be inconsistent if is an integrated process First

differencing (1) we obtain the following factor structure

primeｆ (2)

for ⋯ We first normalize the data ҳ ҳҳ

ҳ then

apply PC to ҳҳprime to obtain the factor estimates ｆ

along with their

associated factor loading coefficients 5) Naturally estimates of the

idiosyncratic component are obtained by taking the residual

prime

The level variable estimates are recovered via

cumulative summation as follows

ｆ

ｆ

(3)

5) This is because PC is not scale invariant We demean and standardize each time series


It should be noted that this procedure yields consistent factor estimates even

when ҳ includes some stationary variables For example assume that

ҳ isin ⋯ is Differencing it once results in ҳ which is still

stationary Therefore the PC estimator remains consistent

Alternatively one may continue to difference the variables until the null of

nonstationarity hypothesis is rejected via a unit root test6) However this may

not be practically useful when unit root tests provides contradicting statistical

inferences as the test specification (ie number of lags see )changes See Cheung

and Lai (1995) for related discussions

2 Partial Least Squares Factors

We employ PLS for a scalar target variable which is somewhat neglected

in the current literature Unlike PC the method of PLS generates target specific

latent common factors which is an attractive feature As Boivin and Ng (2006)

pointed out PC factors might not be useful in forecasting the target when

useful predictive contents are in a certain factor that may be dominated by

other factors

PLS is motivated by the following linear regression model Abstracting from

deterministic terms

prime (4)

where ҳ ⋯ prime is an times vector of predictor variables

at time ⋯ while is an times vector of coefficients is an error

term Again we first-difference the predictor variables assuming that ҳ is a

vector of variables

PLS is especially useful for regression models that have many predictors

when is large To reduce the dimensionality rewrite (4) as follows

6) This approach is used to construct the Fred-MD database The Fred-MD is available at httpsresearchstlouisfedorgeconmccrackenfred-databases


ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆

prime is an times vector of PLS

factors Note that ｆ is a linear combination of all predictor variables

that is

ｆｗprimeҳ (6)

where ｗｗｗ⋯ｗ is an times weighting matrix That is

ｗ ⋯ prime ⋯ is an times vector of weights on predictor

variables for the PLS factor is an times vector of PLS regression

coefficients PLS regression minimizes the sum of squared residuals from the

equation (5) for instead of in (4) It is important to note that we do not

utilize for our out-of-sample forecasting exercises in the present paper To

make it comparable to PC factors we simply utilize PLS factors ｆ then

augment the benchmark forecasting model with estimated PLS factors ｆ

Among available PLS algorithms see Andersson (2009) for a brief survey

we use the one proposed by Helland (1990) that is intuitively appealing

Hellandrsquos algorithm to estimate PLS factors for a scalar target variable is

as follows First ｆ

is pinned down by the linear combinations of the

predictors in ҳ

(7)

where the loading (weight) is given by Second we regress

and on

then get residuals and respectively to remove

the explained component by the first factor

Next the second factor


estimate

is obtained similarly as in (7) with We

repeat until the factor

is obtained

3 Least Absolute Shrinkage and Selection Operator Factors

We employ a shrinkage and selection method for linear regression models

the LASSO which is often used for sparse regression Unlike ridge

regression the LASSO selects a subset (ҳ ) of predictor variables from ҳ by

assigning 0 coefficient to the variables that are relatively less important in

explaining the target variable Putting it differently we implement the feature

selection task using the LASSO

The LASSO puts a cap on the size of the estimated coefficients for the

ordinary least squares (LS) driving the coefficient down to zero for some

predictors The LASSO solves the following constrained minimization problem

using -norm penalty on

min

ҳprime

le (8)


at time is an times vector of associated coefficients As the value

of tuning(penalty) parameter decreases the LASSO returns a smaller subset

of ҳ setting more coefficients to zero

Following Kelly and Pruitt (2015) we choose the value of to generate

a certain number of predictors by applying the LASSO to ҳ We then employ

the PC or PLS approach to extract common factors ｆ or ｆ

out of the predictor variables that are chosen by the LASSO regression Similar

to our PLS approach we use the LASSO method only to obtain the subset

of predictors that is closely related to the target


Ⅲ In-Sample Analysis

1 Data Descriptions

We obtained a large panel of 126 American macroeconomic time series

variables from the FRED-MD database We also obtained 192 Korean

macroeconomic time series data from the Bank of Korea Korea has maintained

a largely fixed exchange rate regime for the dollar-won exchange rate then

switched to a heavily managed floating exchange rate regime around 1980

and continue until the Asian Financial Crisis occurred in 1997 which forced

Korea to adopt a market based exchange rate regime

We focus on the free floating exchange rate regime in 2000rsquos after the

Korean economy fully recovered from the crisis Observations are monthly and

span from October 2000 to March 2019 to utilize reasonably many monthly

predictors in Korea We use the consumer price index (CPI) to transform the

nominal KRWUSD exchange rate to the real exchange rate

We categorized 192 Korean predictors into 13 groups Groups 1 through

6 include real activity variables that include inventories and industrial

productions while groups 7 to 13 are nominalfinancial market variables

such as interest rates and prices See Table 1 for more detailed information

Similarly we categorized 126 American predictors into 9 groups of variables

Groups 1 through 4 represent the real activity variables while groups

5 through 9 are considered as financial sector variable groups in the US

those expressed in percent (eg interest rates and unemployment rates)


Table 1 Macroeconomic Data Descriptions

American Data

Group ID Data ID Data Description

1 1-16 Industrial Production Indices

2 17-47 Labor Market Variables

3 48-57 Housing Inventories

4 58-65 Manufacturersrsquo Consumption New Orders

5 66-79 Monetary Aggregates

6 80-96 Domestic Interest Rates

7 97-116 ProducerConsumer Prices

8 117-121 Stock Indices

9 122-126 Exchange Rates

Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing

4 53-74 RetailsManufacturing

5 75-87 Labor

6 88-98 Industrial Production

7 99-102 Business Condition


9 115-127 Interest Rates

10 128-145 ExportsImports Prices

11 146-163 Prices

12 164-180 Money


Note We obtained the American data from the FRED-MD website The Korean Data was obtained from Bank of Korea

2 Some Preliminary Analysis

21 Unit Root Tests

We first implement some specification tests for our analysis Table 2

presents the augmented Dickey Fuller (ADF) test results for the real

exchange rate ( ) and the nominal exchange rate ( ) The ADF test rejects

the null of nonstationarity for at the 5 significance level while it fails to


reject the null hypothesis for at any conventional level Note that these results

are consistent with standard monetary models in international macroeconomics

For example purchasing power parity (PPP) is consistent with stationary

and nonstationary because PPP implies a cointegrating relationship between

and the relative price for in the long-run

Next we implement a panel unit root test for ҳ and ҳ

predictor

variables in the US and in Korea respectively employing the Panel Analysis

of Nonstationarity in Idiosyncratic and Common components (PANIC) analysis

by Bai and Ng (2004) The PANIC procedure estimates common factors via

PC as explained in the previous section then test the null of nonstationarity

for common factors via the ADF test with an intercept It also implements

a panel unit root test for de-factored idiosyncratic components of the data by

the following statistic

sum ln

where denotes the -value of the ADF statistic with no deterministic terms

for de-factored 7)

Note that we also test the null hypothesis for the common factors of subsets

of ҳ that is real and financial sector variables separately This is because we

are interested in the out-of-sample predictability of the common factors from

these subsets of the data In what follows we show American real activity factors

include more long-run predictive contents whereas American financial market

factors yield superior predictability in the short-run which is consistent with

the implications of Boivin and Ng (2006)

The PANIC test fails to reject the null of nonstationarity for all common

factor estimates at the 5 significance level with an exception of the second

7) statistic has an asymptotic standard normal distribution The panel test utilizes the p-value of the ADF

statistics with no deterministic terms because de-factored variables are mean-zero residuals


financial factor in the US Its panel unit root test rejects the null hypothesis

that states all variables are processes for all cases8) However nonstationary

common factors eventually dominate stationary dynamics of de-factored

idiosyncratic components Hence test results in Table 2 provide strong evidence

in favor of nonstationarity in the predictor variables ҳ which is consistent

with Nelson and Plosser (1982)

Table 2 Unit Root Test Results

ADF Test

minus2966dagger (0038)

minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)

Real Variables minus2443

(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)

Financial Variables minus1888

(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)

Note and are the CPI-based real bilateral KRWUSD exchange rate and the nominal bilateral KRWUSD

exchange rate respectively PLS produces target specific factors for and separately while PC yields

the same common factors independent on the target variable Real variables are from group 1 through 4 for American factors and groups 1 through 7 for Korean factors while financial variables include group 5 through 9 for American factors and groups 8 through 13 for Korean factors The augmented Dickey-Fuller (ADF) test reports the ADF t-statistics when an intercept is included P-values are in parenthesis For the PANIC test results we report the ADF t-statistics with an intercept for each common factor estimate denotes the panel test statistics from the de-factored idiosyncratic

components Dagger and dagger denote a rejection of the null hypothesis at the 1 and 5 level respectively

8) The alternative hypothesis is that there is at least one stationary variable


22 Persistence of the Real Exchange Rate

Exchange rates often exhibit very persistent dynamics which is often

indistinguishable from a unit root process due to the so-called observational

equivalence problem9) To investigate this possibility we employ the grid

bootstrap procedure by Hansen (1999) to obtain median unbiased estimates

for the persistence parameter of the real exchange rates For this purpose

consider the following process for 10)

(9)

Define the following grid- statistics at each fine grid point isin minmax

(10)

We implement 10 000 nonparametric bootstrap simulations at 100 fine grid

points over plusmn times where is the (biased) least squares estimate of

and se() is its standard error totaling 1 million bootstrap simulations which

generates the grid- bootstrap quantile functions 11) The median

unbiased estimator is then defined as

isin (11)

while the 95 grid- confidence interval can be obtained by the following

9) For example it is virtually impossible to distinguish a near unit root process say the persistence parameter equals 0999 from the unit root process via unit root tests

10) If is of higher order process we can obtain the approximately median unbiased estimator for in the presence of nuisance parameters

11) Each function is evaluated at each grid point not at the point estimate If they are evaluated at the point estimate the quantile functions correspond to the bootstrap- quantile functions See Efron and Tibshirani (1994)


isin le le

(12)

We report point estimates as well as their corresponding 95

confidence bands in Table 3 We also report annualized half-life point estimates

ln ln times and their bootstrap confidence bands Results

confirm a high degree of persistence in both the real and nominal exchange

rates Half-life point estimates were 2227 and 1979 years for and

respectively Even though the half-life of is slightly shorter we obtained more

compact confidence band of in comparison with that of which is consistent

with the ADF test results in Table 212)

Table 3 Median Unbiased Estimates of the Persistence Parameter

CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)


exchange rate respectively denotes the persistent parameter from an autoregressive process of degree 1 AR(1) specification of each real exchange rate We corrected the median bias following Hansenrsquos (1999) grid bootstrap technique We employed 100 fine evenly spaced grid points on the

interval plusmntimes where is the least squares estimate of and is its standard error 10000 nonparametric bootstrap simulations were done at each grid point to construct quantile function estimates denotes the implied half-life point estimate in years CI denotes the 95 median unbiased confidence band

3 Factor Model In-Sample Analysis

This section describes some in-sample properties of the factor estimates we

discussed in previous section Figure 1 presents in-sample fit analysis for the

KRWUSD real exchange rate Three figures in top row report cumulative

statistics of PC and PLS factors obtained from all predictors real activity

predictors and financial sector predictors in the US respectively from left to

12) Greater ADF test statistic in absolute value of than that of is due to smaller standard error of than that of


right Three figures in bottom row provide cumulative values of Korean

factors Some interesting findings are as follows

First the PLS factors (dashed lines) provide a notably better in-sample fit

in comparison with the performance of PC factors (solid lines) This is because

PLS utilizes the covariance between the target and the predictor variables while

PC factors are extracted from the predictor variables only It is also interesting

to see that the cumulative statistics of PLS factors overall exhibit a positive

slope at a decreasing rate as the number of factors increases whereas additional

contributions of PC factors show no such patterns This is mainly due to the

fact that our PLS algorithm sequentially estimates orthogonalized common

factors after removing explanatory power of previously estimated factors The

PC method extracts common factors without considering the target variable

hence the contribution of additional PC factors does not necessarily decrease

Second American factors greatly outperform Korean factors Cumulative

values of American PLS factors reach well above 60 while Korean PLS

factors cumulatively explain less than 40 of variations in the real exchange

rate Note that Korean PC factors yield virtually no explanatory power These

findings imply that Korean macroeconomic variables might not play an

important role in explaining real exchange rate dynamics while American

predictors contain substantial predictive contents for it We relate such findings

with a strong degree of cross-section correlations of many bilateral exchange

rates relative to the US dollars implying that American factors better explain

dynamics of exchange rates vis-agrave-vis US dollar than idiosyncratic factors in local

countries such as Korea

Third PLS factors from American real activity groups and financial variable

groups explain variations in the KRWUSD real exchange rate as well as those

from entire predictors On the other hand the contribution of PLS Korean

factors mostly stem from that of PLS Korean financial sector factors

Next we investigate the source of the common factor estimates

employing the marginal analysis That is we regress each predictor onto

the common factor and record what proportion of the variation in each

predictor can be explained by the common factor Results are reported in


Figures 2 to 4 for the first common factor from the entire predictors real activity

variables and nominalfinancial market variables respectively

As can be seen in Figure 2 the marginal statistics of the first American

PC factor (solid lines) are very similar to those of the first PLS American factor

(bar graphs) On the other hand the marginal statistics of the first Korean

PC and PLS factors are very different More specifically the marginal

statistics of the Korean PLS factor are negligibly low in comparison with those

of the PC factor Since PC factors are obtained only from the predictors with

no reference on the target variable the marginal values of the PC factor

are expected to be high However since PLS factors are estimated using the

covariance of the target variable and the predictor low statistics of the

Korean PLS factor imply that Korean predictors are largely disconnected from

Figure 1 Cumulative Analysis

Note We regress the real exchange rate on each factor and obtain the statistics Since we use

orthogonalized factors we report the cumulative statistics Dotted lines are for PLS factors and solid lines are for PC factors


Figure 2 Marginal Analysis Total Factors

Note We report the statistics that were obtained by regressing each predictor on the common factor estimate That is the horizontal axis is the predictor IDs Solid lines are for PC factors while bar graphs are for PLS factors


Figure 3 Marginal Analysis Real Activity Factors



the KRWUSD real exchange rate This is consistent with cumulative

statistics in Figure 1

Figure 4 Marginal Analysis NominalFinancial Factors



Note also that PLS American factors are more closely connected with groups

1(industrial production) and 2 (labor market) than other groups Put it

differently the first PLS American factor seems to be strongly driven by these

real activity variables rather than financial market variables and other real

activity variables

We investigate the source of the common factors in a more disaggregated

level looking at the marginal statistics of the real and financial market

factors Figure 3 reports the statistics of the first American real activity

factor Again we notice the PLS and PC factors explain the variations in real

activity variables similarly well We also note that the American real activity

factor is mainly driven by industrial production (Group 1) and labor market

(Group 2) variables Again we note that the PLS Korean real activity factor

explains negligible variations in Korean real activity variables while the first

PC factor exhibits reasonably high statistics This again confirms our

previous findings Similar results were observed from the marginal analysis

for the first financial market PLS and PC factors in Figure 4 The American

PLS and PC nominalfinancial market factors seem to be driven mostly by CPIs

and PPIs in the US

Ⅳ Out-of-Sample Prediction Performance

1 Factor-Augmented Forecasting Models

This section reports our out-of-sample forecast exercise results using

factor-augmented forecasting models for the KRWUSD real exchange rate

Based on the ADF test results in Table 2 we employ the following stationary

AR(1)-type stochastic process for the real exchange rate Abstracting from an

intercept

⋯ (13)


where is less than one in absolute value for stationarity Note that we regress

the -period ahead target variable directly on the current period target

variable instead of using a recursive forecasting approach with an AR(1)

model which implies under this approach With this

specification the -period ahead forecast is

(14)

where is the least squares (LS) estimate of

We augment (13) by adding factor estimates That is our factor augmented

stationary AR(1)-type forecasting model is the following

primeｆ ⋯ (15)

We again employ a direct forecasting approach by regressing directly on

and the estimated factors ｆ Note that (15) coincides with an exact

AR(1) process when but extended by the factor covariates ｆ We

obtain the following -period ahead forecast for the target variable

primeｆ

(16)

where and are the LS coefficient estimates Note also that (15) nests

the stationary benchmark model (13) when ｆ does not contain any useful

predictive contents for that is

We evaluate the out-of-sample predictability of our factor-augmented

forecasting model

using a fixed-size rolling window scheme as follows13)

13) Rolling window schemes tend to perform better than the recursive method in the presence of structural breaks However results with recursive approaches were qualitatively similar


We use the initial observations

to estimate

the first set of factors ｆ

using one of our data dimensionality reduction

methods We formulate the first forecast

then calculate and keep the

forecast error (

) Then we add one next observation but

drop one earliest observation for the second round forecasting That

is we re-estimate ｆ

using

maintaining

the same number of observations in order to formulate the second round

forecast

We repeat until we forecast the last observation We

implement the same procedure for the benchmark forecast

by (14) in

addition to the no-change Random Walk (RW) benchmark

14)

We employ the ratio of the root mean square prediction error (RRMSPE)

to evaluate the out-of-sample prediction accuracy of our factor augmented

models That is

(17)

where

(18)

Note that our factor models outperform the benchmark models when RRMSPE

is greater than 115)

14) Consider a random walk model

where is a white noise process Therefore -period ahead forecast from this benchmark RW model is simply

15) Alternatively one may employ the ratio of the root mean absolute prediction error (RRMAPE) Results are overall qualitatively similar


2 Prediction Accuracy Evaluations for the Real Exchange Rate

We implement out-of-sample forecast exercises using a fixed-size (50 split

point) rolling window method with up to 4 latent factor estimates16) We

obtained latent common factors via the PLS PC and LASSO methods for large

panels of macroeconomic data in the US and in Korea

Table 4 reports the RRMSPE statistics of our forecasting model

relative

to

and

Recall that our models outperform the RW model when

the RRMSPE is greater than one The numbers in bold denote

outperforms

while the superscript means that

outperforms both

and

17) Our major findings are as follows

First American predictors yield superior predictive contents for the

KRWUSD real exchange rate while the predictability of Korean factors turn

out to be weaker That is

frequently outperform both the RW and AR

models when augmented by American factors The models with Korean factors

overall got dominated by the AR model although still outperform the RW

model when the forecast horizon is one-year or longer Recall that these

empirical findings are consistent with our in-sample fit analysis shown in the

previous section When we combine American factors with Korean factors the

performance slightly improves that is the RRMSPE increases a little but failed

to generate sufficiently big improvement enough to outperform the AR model

Second we observe that our American factor models tend to perform better

at short horizons when combined with nominalfinancial market factors while

real activity factors improve the predictability at longer horizons That is the

good prediction performance of our models with the total factors ｆ

or

ｆ

at 1-period horizon seem to inherit the superior performance of our

models with financial market factors ｆ

or ｆ

Similarly superior

16) We obtained qualitatively similar results with a 70 sample split point17) That is the AR benchmark model performs better than the RW model


Table 4 Out-of-Sample Predictability for the Real Exchange RateAmerican Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 10115lowast 10077 10074 10251lowast 10088lowast 10144lowast2 10355lowast 09971 10198lowast 10148lowast 10023 10155lowast3 10266lowast 09941 10223lowast 10142lowast 09680 10223lowast4 09985 09882 10388lowast 10262lowast 09575 10528lowast

12 1 13440lowast 13611lowast 12499lowast 13194lowast 13375lowast 123802 13389lowast 13469lowast 10965 12573lowast 13375lowast 123523 12421lowast 12246 10243 12572lowast 13308lowast 112174 12625lowast 12046 10128 11701 12850lowast 10164

36 1 14269lowast 14466lowast 12710 13742lowast 14271lowast 124092 12736 13948lowast 12316 13142 13980lowast 125853 12232 14229lowast 12715 13225 13882lowast 123004 12029 14147lowast 12980 12430 13593 12719

Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362

12 1 12607lowast 12162 12698lowast 12381 12422lowast 120742 12431lowast 11635 12362 12067 12433lowast 118773 12380 10719 12288 12159 12298 12485lowast4 12203 10664 12545lowast 12289 12084 12318

36 1 13737lowast 13787lowast 13883lowast 13752lowast 13652 13797lowast2 13498 12832 13850lowast 13843lowast 13425 13809lowast3 11916 11056 13377 13847lowast 13435 136874 11716 10641 13359 13367 13177 13611

American and Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803

12 2 13503lowast 13203lowast 12704lowast 13054lowast 13351lowast 117994 13055lowast 12448lowast 10548 11873 13342lowast 117536 11377 10888 09167 11621 13277lowast 113778 11442 10450 09340 11567 12331 09798

36 2 14278lowast 14534lowast 12882 13655 14190lowast 122164 12430 13358 12300 12845 13804lowast 123526 11017 11954 12246 12733 13578 123218 10833 11244 12869 11854 13005 12677

Note We report the RRMSPE statistics employing a rolling window scheme with a 50 sample split point RRMSPE denotes the ratio of the root mean squared prediction errors which is the mean squared prediction error (RMSPE) from the benchmark random walk (RW) model divided by the RMSPE from each competing model with factors Superscript and mean that factors were estimated from real and financial variables respectively RRMSPE statistics in bold denote that the competing model outperforms the benchmark RW model lowast denotes that the competing model outperforms the benchmark AR model as well as the RW model


long-run predictability seems to stem from predictive contents of real activity

factors ｆ

or ｆ

These results imply that factors obtained from

subsets may provide more useful information than factors from the entire

predictor variables which is consistent with Boivin and Ng (2006)

We also employ the LASSO to select the subsets of the predictor variables

that are useful to explain the target variable The idea behind this is to

estimate the factors using fewer but more informative predictor variables

as discussed by Bai and Ng (2008) Following Kelly and Pruitt (2015) we

adjust the tuning parameter in (8) to choose a group of 30 predictors from

each panel of macroeconomic variables in the US and in Korea while 20

predictors were chosen from each of the real activity and the financial market

variable groups Then we employed PLS and PC to estimate up to 4 common

factors to augment the benchmark AR model

As we can see in Table 5 results are qualitatively similar to previous ones

Financial factor augmented forecasting models tend to perform better for the

1-period ahead forecasts while real factors provide superior predictive contents

for the real exchange rate at longer horizons Korean factor-augmented models

perform hardly better than the AR model although they still outperform the

RW model when the forecast horizon is 1-year or longer18)

18) One may suggest subsample analyses to exclude the potential effects of the US subprime mortgage market crisis that began around 2006 on the evaluation Although we agree with this idea we are unable to implement it due to lack of observations during the pre-crisis sample period Since the exchange rate tends to exhibit a very persistent near unit root process we conjecture that our stationary factor models would perform better in the absence of crises


Table 5 Out-of-Sample Predictability with LASSO for the Real Exchange RateAmerican Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 10162lowast 10218lowast 10188lowast 10392lowast 10184lowast 10329lowast2 10388lowast 09849 10261lowast 10451lowast 10160 10520lowast3 10387lowast 09807 10379lowast 10419lowast 10278lowast 10474lowast4 10502lowast 09933 10236lowast 10456lowast 10145lowast 10411lowast

12 1 12145 13792lowast 11614 12515lowast 13354lowast 124132 11729 13456lowast 11068 12305 13549lowast 117423 11734 13395lowast 11350 10718 13060lowast 112824 11316 12497lowast 11100 10864 12917lowast 11534

36 1 12970 15208lowast 12753 13555 14750lowast 135152 13264 14849lowast 13718 12840 14654lowast 133373 12664 14729lowast 13596 13029 14816lowast 134154 12589 14242lowast 12998 12794 14763lowast 13809lowast

Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220

36 1 13667 12937 13728 13919lowast 13654 13920lowast2 13624 13071 13783lowast 13936lowast 13648 13919lowast3 13794lowast 12798 12943 14058lowast 13316 131554 13342 12690 12935 12495 13285 12894


Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736

12 2 12325 13289lowast 11751 11768 13298lowast 117874 10980 13127lowast 10330 11387 13483lowast 109546 10936 12745lowast 10212 10291 12780lowast 107958 10107 11975 09970 10501 12380 10466

36 2 12664 14650lowast 12462 13389 14520lowast 135084 12798 14418lowast 13483 12810 14358lowast 133066 12135 13949lowast 12337 12589 14167lowast 130518 12523 13107 11827 11572 14132lowast 12956



3 Prediction Accuracy Evaluations for Exchange Rate Returns

This section employs an alternative specification for the exchange rate That

is we evaluate the prediction accuracy of our factor models for exchange rate

returns motivated by an assumption that exchange rates obey a nonstationary

stochastic process Recall that this specification can be justified not only

empirically (see Table 2) but also theoretically by the monetary models of the

nominal exchange rate Assuming an integrated process for we consider

the following -type model for the exchange rate return

Abstracting from an intercept

(19)

where is less than one in absolute value for stationarity19) Note that we

regress the -period ahead target variable directly on the current

period exchange rate return Then the -period ahead forecast is

(20)

The corresponding factor augmented forecasting model is the following

primeｆ ⋯ (21)

which augment (19) by adding factor estimates ｆ The -period ahead

forecast for the exchange rate return is

primeｆ (22)

where and are the LS coefficient estimates

19) That is we assume that there are two eigenvalues for the level exchange rate 1 and


Recall that (13) or (15) are motivated by a long-run cointegrating relationship

between the nominal exchange rate ( ) and the relative price On the other

hand (19) or (22) describes a short-run stochastic process of the nominal

exchange rate return In Table 6 therefore we report the RRMSPE statistics

of the 1-period ahead out-of-sample forecasts of our factor models relative to

the RW and AR models

One interesting finding is that PLS American factor augmented models tend

to perform better than PC factor models The PLS models outperform both

the RW and AR models in 9 out of 12 cases whereas the PC models outperform

both benchmark models only for 4 out of 12 cases Korean factor models hardly

perform better than the RW model again

Table 6 1-period ahead Predictability for the Nominal Exchange Rate Return

American Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 10371lowast 10318lowast 10309lowast 10281lowast 10225 102492 10455lowast 10252 10576lowast 10154 10282lowast 102323 10703lowast 10153 10685lowast 10158 09877 102334 10552lowast 09987 10680lowast 10312lowast 09771 10367lowast

Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216



Even though the ADF test in Table 2 provides empirical evidence in favor

of the stationarity of the real KRWUSD exchange rate the persistence of

the real exchange rate is similar to the nominal exchange rate as can be

seen in Table 3 So we also experiment our forecasting exercises with the

real exchange rate return Table 7 reports qualitatively similar results

PLS American factors again yield superior 1-period ahead forecast performance

for PLS models outperform both the benchmark models for 8 out of

12 cases while PC models perform better than those models only 4 out of

12

Table 7 1-period ahead Predictability for the Real Exchange Rate Return

American Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 10290lowast 10260lowast 10201lowast 10198lowast 10151 101502 10358lowast 10215lowast 10404lowast 10061 10276lowast 101233 10598lowast 10086 10568lowast 10061 09895 101324 10440lowast 10004 10554lowast 10294lowast 09750 10249lowast

Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962



4 Model Predictability with Proposition Based Global Factors

This section implements out-of-sample forecast exercises using models that

utilize global factors that are motivated by exchange rate determination

theories Purchasing Power Parity (PPP) Uncovered Interest Parity (UIP) Real

Interest Rate Parity (RIRP)

41 Purchasing Power Parity Relative Price Factors

We first consider PPP to motivate the strategy to identify common

factors When PPP holds there exists a cointegrating vector [1 1] for the log

nominal (bilateral) exchange rate (foreign currency price of 1 US dollar)

and the log relative price where and

are the log prices

in the US and in the foreign country respectively That is under PPP the

real exchange rate is stationary while the nominal exchange

rate and the relative price are nonstationary processes Note that our unit

root test results in Table 2 are consistent with PPP

We obtained the Consumer Price Index (CPI) of 43 countries from the IFS

database including 18 euro-zone countries Assuming that the US is the

homereference country we constructed 42 relative prices then

estimated the first common factor from these relative prices after taking the

first difference or

since the relative price is an integrated

process We also extracted the common factor from the 42 relative prices with

Korea as the reference country20)

20) For the group of developed countries we include 11 euro-zone countries (Austria Belgium Finland France Germany Greece Italy Luxembourg Netherlands Portugal Spain) and 8 non-euro-zone countries (Canada Denmark Japan Singapore Switzerland Sweden United Kingdom United States) All data are obtained from the IFS database with an exception of Singapore We obtained the Singapore CPI from the Department of Statistics of Singapore In addition to the group of 19 developed countries we added 7 the rest of euro-zone countries (Cyprus Estonia Ireland Latvia Lithuania Slovakia Slovenia) except Malta and 17 non-euro-zone countries (Brazil China Chile Colombia Czech Republic Hong Kong Hungary India Indonesia Israel Korea Malaysia Mexico Poland Romania Russia Saudi Arabia)


We report -period ahead out-of-sample predictability exercise results (50

split point) using one factor models when each of the US and Korea serves

as the reference country in Table 8 Results imply overall poor performance

of PPP motivated factor models irrespective of the choice of the reference

country

Our factor models outperform the RW model when the forecast horizon

is 1-year or longer which is consistent with PPP that is a long-run proposition

However our PPP factor models rarely beat the AR benchmark model nor

our data-driven macroeconomic factor models presented in the previous

section It is not surprising to find similar performance of the Korean reference

factor model as the American factor model since they include fundamentally

similar information of CPIs in 43 countries

Table 8 PPP Based Models for the Real Exchange Rate

American Reference Korean Reference

Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636

12 1 12381lowast 12372 12422lowast 12441lowast2 11760 12265 12108 121533 11868 11836 10970 11617

24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321

Note We report the RRMSPE statistics employing a rolling window scheme with a 50 sample split point RRMSPE denotes the ratio of the root mean squared prediction errors which is the mean squared prediction error (RMSPE) from the benchmark random walk (RW) model divided by the RMSPE from each competing model with factors RRMSPE statistics in bold denote that the competing model outperforms the benchmark RW model lowast denotes that the competing model outperforms the benchmark AR model as well as the RW model


42 Uncovered Interest Parity Interest Rate Spread

The second proposition we adopt is Uncovered Interest Parity (UIP)

Abstracting from risk premium UIP states the following

(23)

where ∆ is the nominal exchange rate return that is appreciation

(depreciation) rate of the home (foreign) currency while and are nominal

short-run interest rates in the home and foreign countries respectively

is the mean-zero rational expectation

error term

Motivated by (23) we obtained 18 international short-term interest rates

from the FRED and the OECD database to construct nominal interest rate

spreads by subtracting US interest rate from the national interest rate

21) We estimate the first common factor via PLS and PC from the balanced

panel of 17 interest rate spreads relative to American interest rate We took

the first difference of the spreads to make sure we estimate factors

consistently22) Similarly we estimated the first common factor from 17 interest

rate spreads relative to Korean interest rate

Table 9 reports the RRMSPE statistics of the -period ahead out-of-sample

forecasts for the nominal exchange rate return using UIP motivated

factors American PLS factor forecasting models perform overall well relative

to both benchmark models It is interesting that our short-run proposition

based forecasting models perform fairly well both in the short-run and in the

long-run However predictability of Korean factor models is relatively weaker

21) For the group of developed countries we include 11 euro-zone countries (Austria Belgium Finland France Germany Greece Italy Luxembourg Netherlands Portugal Spain) and 7 non-euro-zone countries (Canada Denmark Japan Switzerland Sweden United Kingdom United States) All data are obtained from the OECD database and the FRED

22) The PANIC test provides strong evidence of nonstationarity for the interest rate spreads


Table 9 UIP Based Models for the Nominal Returns

American Factors Korean Factors

Factors ｆｆ

ｆｆ

1 1 10357lowast 10317lowast 10161 101212 10529lowast 10258 10334lowast 10264lowast3 10261lowast 10237 10166 10250

12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947

24 1 10028lowast 10026lowast 09975 099742 10019lowast 09994 09968 099943 09871 10040lowast 09788 10005lowast

36 1 10257lowast 10244lowast 09967 099592 10194lowast 10281lowast 09872 099443 10157lowast 10231lowast 09781 10313lowast


43 Real Interest Rate Parity Real Interest Rate Spread

The last proposition we employ is Real Interest Rate Parity (RIRP) which

combines PPP with UIP Taking the first difference to the PPP equation

at time

(24)

Combining (24) and (25) we obtain the following expression for RIRP

∆ (25)

where and

are the ex post real interest rates in the

home and foreign country respectively

Using international CPIs and short-run interest rates we used we estimated


the first common factors by applying PLS and PC to a panel of 17 real interest

rate spreads without taking differences This is because we obtained

very strong evidence in favor of stationarity for real interest rate spreads23)

We report results in Table 10 Our factor augmented forecasting models

outperformed the RW model but performed poorly relative to the AR

benchmark model

23) The PANIC test results are available upon request

Table 10 RIRP Based Models for the Real Exchange Rate


Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631

12 1 12000 12311lowast 12370lowast 12505lowast2 11999 12290lowast 12233 12444lowast3 11701 12450lowast 11503 12495lowast

24 1 15022 14930 15172lowast 15287lowast2 14630 14182 15192lowast 15539lowast3 14098 15244lowast 14452 13247

36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686



Ⅴ Concluding Remarks In this paper we propose parsimonious factor-augmented forecasting

models for the KRWUSD real exchange rate in a data rich environment We

apply an array of data dimensionality reduction methods to large panels of

125 American and 192 Korean monthly frequency macroeconomic time series

data from October 2000 to March 2019 In addition to Principal Component

(PC) analysis that has been frequently used in the current literature we employ

the Partial Least Squares (PLS) approach and the Least Absolute Shrinkage

and Selection Operator (LASSO) combined with PC and PLS to extract

target-specific common factors for the KRWUSD exchange rate

We augment benchmark forecasting models with estimated common factors

to formulate out-of-sample forecasts Then using the ratio of the root mean

squared prediction error (RRMSPE) criteria we evaluate the predictive accuracy

of our proposed models for the real exchange rate relative to the random walk

(RW) and the stationary autoregressive (AR) models

Our forecasting models outperform both the RW and the AR benchmark

models only when we utilize latent common factors from American predictors

In particular our models that utilize real activity factors perform well at longer

horizons while nominalfinancial market factors help improve the prediction

performance at short horizons The superior performance with factors from

subset of predictors is in line with the work of Boivin and Ng (2006) who

demonstrated the importance of relevant common factors for the target

variable Models with Korean factors have weak predictability relative to the

AR model while they still outperform the RW model when the forecast horizon

is 1-year or longer

We also implement forecasting exercises using global factors that are

motivated by exchange rate determination theories such as Purchasing Power

Parity (PPP) Uncovered Interest Parity (UIP) and Real Uncovered Interest

Parity (RIRP) Forecasting models with UIP common factors turn out to perform

fairly well when the US serves as the reference country while models with either

PPP or RIRP factors perform overall poorly whichever is used for the reference

country


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Chinn M and R Meese (1995) ldquoBanking on Currency Forecasts How Predictable

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Clarida R H and D Waldman (2008) ldquoIs Bad News About Inflation Good News

for the Exchange Rate And If So Can That Tell Us Anything about the

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Chapters pp 371-396 National Bureau of Economic Research Inc

Efron B and R J Tibshirani (1994) An Introduction to the Bootstrap CRC press

Engel C and J Hamilton (1990) ldquoLong Swings in the Dollar Are They in the

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Engel C N C Mark and K D West (2008) ldquoExchange Rate Models Are Not

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Engel C and K D West (2005) ldquoExchange Rates and Fundamentalsrdquo Journal of Political Economy Vol 113(3) pp 485-517

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Greenaway-Mcgrevy R N C Mark D Sul and J-L Wu (2018) ldquoIdentifying

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Groen J (2005) ldquoExchange Rate Predictability and Monetary Fundamentals in a

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37(3) pp 495-516

Groen J and G Kapetanios (2016) ldquoRevisiting Useful Approaches to Data-Rich

Macroeconomic Forecastingrdquo Computational Statistics and Data Analysis

100 pp 221-239


Groen J J J (2000) ldquoThe Monetary Exchange Rate Model as a Long-Run

Phenomenonrdquo Journal of International Economics Vol 52(2) pp 299-319

Hansen B E (1999) ldquoThe Grid Bootstrap and the Autoregressive Modelrdquo Review of Economics and Statistics Vol 81(4) pp 594-607

Helland I S (1990) ldquoPartial Least Squares Regression and Statistical Modelsrdquo

Scandinavian Journal of Statistics Vol 17 pp 97-114

Ince O T Molodtsova and D H Papell (2016) ldquoTaylor Rule Deviations and

Out-of-Sample Exchange Rate Predictabilityrdquo Journal of International Money and Finance Vol 69(C) pp 22-44

Kelly B and S Pruitt (2015) ldquoThe Three-Pass Regression Filter A New Approach

to Forecasting Using Many Predictorsrdquo Journal of Econometrics Vol 186(2)

pp 294-316

Lothian J R and M P Taylor (1996) ldquoReal Exchange Rate Behavior The Recent

Float from the Perspective of the Past Two Centuriesrdquo Journal of Political Economy Vol 104(3) pp 488-509

Mark N C (1995) ldquoExchange Rates and Fundamentals Evidence on Long-Horizon

Predictabilityrdquo American Economic Review Vol 85(1) pp 201-218

Mark N C and D Sul (2001) ldquoNominal Exchange Rates and Monetary

Fundamentals Evidence From a Small Post-Bretton Woods Panelrdquo Journal of International Economics Vol 53(1) pp 29-52

Mark N C (2009) ldquoChanging Monetary Policy Rules Learning and Real

Exchange Rate Dynamicsrdquo Journal of Money Credit and Banking Vol 41(6)

pp 1047-1070

Meese R A and K Rogoff (1983) ldquoEmpirical Exchange Rate Models of The

Seventies Do They Fit Out of Samplerdquo Journal of International Economics Vol 14(1) pp 3-24


Molodtsova T A Nikolsko-Rzhevskyy and D H Papell (2008) ldquoTaylor Rules

With Real-Time Data A Tale of Two Countries And One Exchange Raterdquo

Journal of Monetary Economics Vol 55(Supplement 1) pp S63-S79

Molodtsova T and D H Papell (2009) ldquoOut-of-Sample Exchange Rate

Predictability With Taylor Rule Fundamentalsrdquo Journal of International Economics Vol 77(2) pp 167-180

Molodtsova T and D H Papell (2013) ldquoTaylor Rule Exchange Rate Forecasting

during the Financial Crisisrdquo NBER International Seminar on Macroeconomics Vol 9(1) pp 55-97

Nelson C R and C I Plosser (1982) ldquoTrends and Random Walks in

Macroeconomic Time Series Some Evidence And Implicationsrdquo Journal of Monetary Economics Vol 10(2) pp 139-162

Rapach D E and M Wohar (2004) ldquoTesting the Monetary Model of Exchange

Rate Determination A Closer Look at Panelsrdquo Journal of International Money and Finance Vol 23(6) pp 867-895

Rossi B (2013) ldquoExchange Rate Predictabilityrdquo Journal of Economic Literature

Vol 51(4) pp 1063-1119

Stock J H and M W Watson (2002) ldquoMacroeconomic Forecasting using Diffusion

Indexesrdquo Journal of Business and Economic Statistics Vol 20(2) pp

147-162

Verdelhan A (2018) ldquoThe Share of Systematic Variation in Bilateral Exchange

Ratesrdquo Journal of Finance Vol 73(1) pp 375-418

Wang J and J J Wu (2012) ldquoThe Taylor Rule and Forecast Intervals for Exchange

Ratesrdquo Journal of Money Credit and Banking Vol 44(1) pp 103-144

Wold H (1982) Soft Modelling The Basic Design and Some Extensions Vol

1 of Systems under indirect observation Part II North-Holland Amsterdam

ltAbstract in Koreangt

공통요인을 고려한 원달러 환율 전망모형

김형우 김수현

우리나라와 같이 국제무역 및 국제금융시장 의존도가 높은 국가들의 경우 환

율 전망에 기초한 정책 대응이 중요하다 기존 연구에서는 환율 전망모형이 정교

하더라도 임의보행모형보다 우월한 예측력을 가질 수 없다는 견해가 우세했다

본고에서는 이러한 환율 전망모형의 한계를 극복하기 위해 다량의 시계열 자료

에서 환율 결정 공통요인을 추출하고 이를 활용하여 환율 전망모형의 예측력을

제고하는 방안을 모색한다 우리나라와 미국의 300여 개 시계열 자료에서 주성

분분석 부분최소제곱 회귀분석 등으로 추출한 잠재적 공통요인을 기존 전망모

형에 설명변수로 추가할 경우 임의보행모형 또는 자기회귀모형 등 벤치마크 모

형에 비해 실질환율에 대한 예측력이 높아지는 것을 확인할 수 있었다 따라서 환

율 모형의 예측력에 대해 회의적인 기존 견해와 달리 미국의 실물 및 금융 변수에

서 추출한 잠재적 공통요인으로 환율에 대한 예측력을 제고할 수 있음을 확인하였

다

핵심 주제어 원달러 실질환율 주성분분석 부분최소제곱 회귀분석 정규화선형

회귀 표본외전망


Auburn 대학교 경제학과 교수 (전화 +1-334-844-2928 E-mail gmmkimgmailcom) 한국은행 조사국 전망모형팀 과장 (전화 02-759-4235 E-mail soohyonkimbokorkr)

이 연구내용은 집필자의 개인의견이며 한국은행의 공식견해와 무관합니다 따라서 본 논문의 내용을

보도하거나 인용할 경우에는 집필자명을 반드시 명시하여주시기 바랍니다

BOK 경제연구 발간목록한국은행 경제연구원에서는 Working Paper인 『BOK 경제연구』를 수시로 발간하고 있습니다

985172BOK 경제연구』는 주요 경제 현상 및 정책 효과에 대한 직관적 설명 뿐 아니라 깊이 있는

이론 또는 실증 분석을 제공함으로써 엄밀한 논증에 초점을 두는 학술논문 형태의 연구이며 한국은행 직원 및 한국은행 연구용역사업의 연구 결과물이 수록되고 있습니다

985172BOK 경제연구』는 한국은행 경제연구원 홈페이지(httpimerbokorkr)에서 다운로드하여

보실 수 있습니다

제2017 -1 가계부채가 소비와 경제성장에 미치는 영향- 유량효과와 저량효과 분석 -

강종구

2 Which Monetary Shocks Matter in Small Open Economies Evidence from SVARs

Jongrim HasdotInhwan So

3 FTA의 물가 안정화 효과 분석 곽노선sdot임호성

4 The Effect of Labor Market Polarization on the College StudentsrsquoEmployment

Sungyup Chung

5 국내 자영업의 폐업률 결정요인 분석 남윤미

6 차주별 패널자료를 이용한 주택담보대출의 연체요인에 대한 연구

정호성

7 국면전환 확산과정모형을 이용한 콜금리행태 분석

최승문sdot김병국

8 Behavioral Aspects of Household Portfolio Choice Effects of Loss Aversion on Life Insurance Uptake and Savings

In Do Hwang

9 신용공급 충격이 재화별 소비에 미치는 영향 김광환sdot최석기

10 유가가 손익분기인플레이션에 미치는 영향 김진용sdot김준철sdot임형준

11 인구구조변화가 인플레이션의 장기 추세에 미치는 영향

강환구

12 종합적 상환여건을 반영한 과다부채 가계의 리스크 요인 분석

이동진sdot한진현

13 Crowding out in a Dual Currency Regime Digital versus Fiat Currency

KiHoon HongsdotKyounghoon ParksdotJongmin Yu

제2017 -14 Improving Forecast Accuracy of Financial Vulnerability Partial Least Squares Factor Model Approach

Hyeongwoo KimsdotKyunghwan Ko

15 Which Type of Trust MattersInterpersonal vs Institutional vs Political Trust

In Do Hwang

16 기업특성에 따른 연령별 고용행태 분석 이상욱sdot권철우sdot남윤미

17 Equity Market Globalization and Portfolio Rebalancing

Kyungkeun KimsdotDongwon Lee

18 The Effect of Market Volatility on Liquidity and Stock Returns in the Korean Stock Market

Jieun LeesdotKeeHChung

19 Using Cheap Talk to Polarize or Unify a Group of Decision Makers

Daeyoung Jeong

20 패스트트랙 기업회생절차가 법정관리 기업의 이자보상비율에 미친 영향

최영준

21 인구고령화가 경제성장에 미치는 영향 안병권sdot김기호sdot육승환

22 고령화에 대응한 인구대책 OECD사례를 중심으로

김진일sdot박경훈

23 인구구조변화와 경상수지 김경근sdot김소영

24 통일과 고령화 최지영

25 인구고령화가 주택시장에 미치는 영향 오강현sdot김솔sdot윤재준sdot안상기sdot권동휘

26 고령화가 대외투자에 미치는 영향 임진수sdot김영래

27 인구고령화가 가계의 자산 및 부채에 미치는

영향

조세형sdot이용민sdot김정훈

제2017-28 인구고령화에 따른 우리나라 산업구조 변화 강종구

29 인구구조 변화와 재정 송호신sdot허준영

30 인구고령화가 노동수급에 미치는 영향 이철희sdot이지은

31 인구 고령화가 금융산업에 미치는 영향 윤경수sdot차재훈sdot박소희sdot강선영

32 금리와 은행 수익성 간의 관계 분석 한재준sdot소인환

33 Bank Globalization and Monetary Policy Transmission in Small Open Economies

Inhwan So

34 기존 경영자 관리인(DIP) 제도의 회생기업 경영성과에 대한 영향

최영준

35 Transmission of Monetary Policy in Times of High Household Debt

Youngju KimsdotHyunjoon Lim

제2018 -1 4차 산업혁명과 한국의 혁신역량 특허자료를 이용한 국가기술별 비교 분석 1976-2015

이지홍sdot임현경sdot정대영

2 What Drives the Stock Market Comovements between Korea and China Japan and the US

Jinsoo LeesdotBok-Keun Yu

3 Who Improves or Worsens Liquidity in the Korean Treasury Bond Market

Jieun Lee

4 Establishment Size and Wage Inequality The Roles of Performance Pay and Rent Sharing

Sang-yoon Song

5 가계대출 부도요인 및 금융업권별 금융취약성 자영업 차주를 중심으로

정호성

6 직업훈련이 청년취업률 제고에 미치는 영향 최충sdot김남주sdot최광성

제2018 -7 재고투자와 경기변동에 대한 동학적 분석 서병선sdot장근호

8 Rare Disasters and Exchange Rates An Empirical Investigation of Korean Exchange Rates under Tension between the Two Koreas

Cheolbeom ParksdotSuyeon Park

9 통화정책과 기업 설비투자 - 자산가격경로와 대차대조표경로 분석 -

박상준sdot육승환

10 Upgrading Product QualityThe Impact of Tariffs and Standards

Jihyun Eum

11 북한이탈주민의 신용행태에 관한 연구 정승호sdot민병기sdot김주원

12 Uncertainty Shocks and Asymmetric Dynamics in Korea A Nonlinear Approach

Kevin LarchersdotJaebeom KimsdotYoungju Kim

13 북한경제의 대외개방에 따른 경제적 후생 변화 분석

정혁sdot최창용sdot최지영

14 Central Bank Reputation and Inflation-Unemployment Performance Empirical Evidence from an Executive Survey of 62 Countries

In Do Hwang

15 Reserve Accumulation and Bank Lending Evidence from Korea

Youngjin Yun

16 The Banks Swansong Banking and the Financial Markets under Asymmetric Information

Jungu Yang

17 E-money Legal Restrictions Theory and Monetary Policy

Ohik KwonsdotJaevin Park

18 글로벌 금융위기 전후 외국인의 채권투자 결정요인 변화 분석 한국의 사례

유복근

19 설비자본재 기술진보가 근로유형별 임금 및 고용에 미치는 영향

김남주

제2018-20 Fixed-Rate Loans and the Effectiveness of Monetary Policy

Sung Ho Park

21 Leverage Hand-to-Mouth Households and MPC Heterogeneity Evidence from Korea

Sang-yoon Song

22 선진국 수입수요가 우리나라 수출에 미치는 영향

최문정sdot김경근

23 Cross-Border Bank Flows through Foreign Branches Evidence from Korea

Youngjin Yun

24 Accounting for the Sources of the Recent Decline in Koreas Exports to China

Moon Jung ChoisdotKei-Mu Yi

25 The Effects of Export Diversification on Macroeconomic Stabilization Evidence from Korea


26 Identifying Uncertainty Shocks due to Geopolitical Swings in Korea

Seohyun LeesdotInhwan SosdotJongrim Ha

27 Monetary Policy and Income Inequality in Korea

Jongwook Park

28 How the Financial Market Can Dampen the Effects of Commodity Price Shocks

Myunghyun Kim

29 Which External Shock Matters in Small Open Economies US Economic Policy Uncertainty vs Global Risk Aversion


30 Do Korean Exports Have Different Patterns over Different Regimes New Evidence from STAR-VECM

Sei-Wan KimsdotMoon Jung Choi

31 기술진보와 청년고용 심명규sdot양희승sdot이서현

32 북한지역 장기주택수요 및 연관 주택건설투자 추정

이주영

33 기업규모간 임금격차 원인 분석 송상윤

제2018-34 우리나라 고용구조의 특징과 과제 장근호

35 창업의 장기 고용효과 시군구 자료 분석 조성철sdot김기호

36 수출입과 기업의 노동수요 음지현sdot박진호sdot최문정

37 청년실업의 이력현상 분석 김남주

38 노동시장 이중구조와 노동생산성OECD 국가를 중심으로

최충sdot최광성sdot이지은

39 한국과 일본의 청년실업 비교분석 및 시사점

박상준sdot김남주sdot장근호

40 노동시장의 이중구조와 정책대응해외사례 및 시사점

전병유sdot황인도sdot박광용

41 최저임금이 고용구조에 미치는 영향 송헌재sdot임현준sdot신우리

42 최저임금과 생산성 우리나라 제조업의 사례

김규일sdot육승환

43 Transmission of US Monetary Policy to Commodity Exporters and Importers

Myunghyun Kim

44 Determinants of Capital Flows in the Korean Bond Market

Soohyon Kim

45 Central Bank Credibility and Monetary Policy

Kwangyong Park

46 통화정책이 자본유출입에 미치는 영향 행태방정식 분석

이명수sdot송승주

47 Commodities and International Business Cycles

Myunghyun Kim

제2019 -1 Deciphering Monetary Policy Board Minutes through Text Mining Approach The Case of Korea

Ki Young ParksdotYoungjoon LeesdotSoohyon Kim

제2019 -2 The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility

Jieun LeesdotDoojin Ryu

3 Taking a Bigger Slice of the Global Value Chain Pie An Industry-level Analysis

Chong-Sup KimsdotSeungho LeesdotJihyun Eum

4 Trend Growth Shocks and Asset Prices Nam Gang Lee

5 Uncertainty Attention Allocation and Monetary Policy Asymmetry

Kwangyong Park

6 Central Bank Digital Currency and Financial Stability

Young Sik KimsdotOhik Kwon

7 은행의 수익 및 자산구조를 반영한 통화정책 위험선호경로

김의진sdot정호성

8 혁신기업에 대한 산업금융 지원 이론모형 분석

강경훈sdot양준구

9 가계부채 제약하의 통화정책 2주체 거시모형(TANK)에서의 정량적 분석

정용승sdot송승주

10 Alchemy of Financial Innovation Securitization Liquidity and Optimal Monetary Policy

Jungu Yang

11 Measuring Monetary Policy Surprises Using Text Mining The Case of Korea

Youngjoon LeesdotSoohyon KimsdotKi Young Park

12 Tracking Uncertainty through the Relative Sentiment Shift Series

Seohyun LeesdotRickard Nyman

13 Intra-firm and Armrsquos Length Trade during the Global Financial Crisis Evidence from Korean Manufacturing Firms

Moon Jung ChoisdotJi Hyun Eum

14 특허자료를 이용한 우리나라 지식전파의 지역화 분석

이지홍sdot남윤미

15 Overhead Labour and Skill-Biased Technological Change The Role of Product Diversification

Choong Hyun Nam

16 Does the Number of Countries in an International Business Cycle Model Matter

Myunghyun Kim

17 High-Frequency Credit Spread Information and Macroeconomic Forecast Revision

Bruno DeschampssdotChristos IoannidissdotKook Ka

18 경제 분석을 위한 텍스트 마이닝 김수현sdot이영준sdot신진영sdot박기영

19 Takeover Distress and Equity Issuance Evidence from Korea

Euna Cho

20 The Cash-Flow Channel of Monetary Policy Evidence from Mortgage Borrowers

Sang-yoon Song

21 부의 효과의 분위 추정 분위 정준 공적분회귀를 중심으로

김기호

22 Identifying Government Spending Shocks and Multipliers in Korea

Kwangyong ParksdotEun Kyung Lee

23 Systemic Risk of the Consumer Credit Network across Financial Institutions

Hyun Hak KimsdotHosung Jung

24 Impact of Chinese Renminbi on Korean Exports Does Quality Matter

Jihyun Eum

25 Uncertainty Credit and Investment Evidence from Firm-Bank Matched Data

Youngju KimsdotSeohyun LeesdotHyunjoon Lim

26 A Structural Change in the Trend and Cycle in Korea

Nam Gang LeesdotByoung Hoon Seok

제2020 -1 인구 고령화가 실질 금리에 미치는 영향 권오익sdot김명현

2 달러라이제이션이 확산된 북한경제에서 보유외화 감소가 물가middot환율에 미치는 영향

문성민sdot김병기

3 상태공간 벡터오차수정모형을 이용한 월별 GDP 추정 깁스표본추출 접근

김기호

4 우리나라 외환시장 오퍼레이션의 행태 및 환율변동성 완화 효과

박준서sdot최경욱

5 Common Factor Augmented Forecasting Models for the US Dollar-Korean Won Exchange Rate

Hyeongwoo KimsdotSoohyon Kim

2020

Woon Shin



Exchange Rate






Contents









Exchange Rate
















Ⅰ Introduction






































































in the short-run















target


















criteria























predictors
















concludes





predictors










primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







Exchange Rate






Contents









Exchange Rate
















Ⅰ Introduction






































































in the short-run















target


















criteria























predictors
















concludes





predictors










primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호





Contents









Exchange Rate
















Ⅰ Introduction






































































in the short-run















target


















criteria























predictors
















concludes





predictors










primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







Exchange Rate
















Ⅰ Introduction






































































in the short-run















target


















criteria























predictors
















concludes





predictors










primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






Ⅰ Introduction






































































in the short-run















target


















criteria























predictors
















concludes





predictors










primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호














































in the short-run















target


















criteria























predictors
















concludes





predictors










primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호
















criteria























predictors
















concludes





predictors










primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






predictors
















concludes





predictors










primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호








primeｆ (1)

where ｆ











primeｆ (2)


ҳ then


along with their



prime



ｆ

ｆ

(3)


















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호





















other factors


deterministic terms

prime (4)




vector of variables





ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






ҳprimeｗ

ｆ prime

(5)

where ｆ

⋯∆



that is

ｆｗprimeҳ (6)














predictors in ҳ

(7)


and on





estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






estimate



is obtained












min

ҳprime

le (8)













1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







1 Data Descriptions























American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







American Data











Korean Data


1 1-27 New Orders

2 28-34 Inventory

3 35-52 Housing


5 75-87 Labor






11 146-163 Prices

12 164-180 Money




21 Unit Root Tests












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호












predictor








sum ln


for de-factored 7)




















ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호













ADF Test


minus1953 (0308)

PANIC Test

ҳ ҳAll variables

minus2519(0100)

1186(0998)

minus1270

(0641) minus2085

(0237)

11341Dagger(0000)

16667Dagger(0000)


(0124) minus0634

(0868)

minus2393

(0133) minus2057

(0254)

5763Dagger

(0000)

15552Dagger(0000)


(0326) 1250

(0999)

minus3437Dagger

(0009)

minus1544(0512)

6425Dagger

(0000)

8711Dagger(0000)














(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호













(9)


(10)






isin (11)






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






isin le le

(12)










CI HL CI

0974 [0938 1006] 2227 [0905 infin)

0971 [0932 1006] 1979 [0822 infin)












































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






































































activity variables













and PPIs in the US







intercept

⋯ (13)







(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호











(14)




primeｆ ⋯ (15)





primeｆ

(16)





forecasting model





to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







to estimate





forecast error (




using

maintaining


forecast



by (14) in


14)



models That is

(17)

where

(18)













relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호












relative

to

and



outperforms


outperforms both

and

















or

ｆ



or ｆ

Similarly superior




Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09006 10029 09382 06836 08443 096462 06329 09441 09450 04931 08644 028713 04880 08965 05315 02348 07819 017074 04316 08660 06469 02275 06987 01362




Factors ｆｆ

ｆｆ

ｆｆ

1 2 09469 10082lowast 09542 08242 08925 097814 09441 09419 08800 04030 08900 024006 05604 08730 05753 02230 07975 018718 05408 08029 09025 02096 07784 01803






factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







factors ｆ

or ｆ






















Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







Factors ｆｆ

ｆｆ

ｆｆ




Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 1 09735 10022 09773 05423 09743 058202 04596 09929 06262 05492 09646 034623 05694 09760 06352 03133 09632 028324 04563 09744 06065 02911 09286 02604

12 1 12271 12144 12199 11532 12434lowast 115712 11769 12247 11618 11656 12418lowast 115943 11812 12154 11611 11720 12274 116004 11718 12148 11536 11695 11975 11220



Factors ｆｆ

ｆｆ

ｆｆ

1 2 09954 10169lowast 09854 05882 09919 063594 05416 09679 07121 06120 09696 042836 06234 09530 06667 03999 09695 031208 05272 09706 06231 03538 09193 02736














(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호















(19)




(20)


primeｆ ⋯ (21)



primeｆ (22)
















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호


















American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 09191 09839 10030 05361 07685 099232 07552 10042 05207 05829 09124 067253 05044 09567 09014 02566 08513 025614 04619 07603 06702 02698 06652 02733


Factors ｆｆ

ｆｆ

ｆｆ

2 09072 09890 10132 05436 08024 098314 07558 09954 05552 04477 09440 057076 04049 09517 06317 02581 08699 025558 03370 07699 04400 02403 07215 03216











12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호














12


American Factors

Factors ｆｆ

ｆｆ

ｆｆ


Korean Factors

Factors ｆｆ

ｆｆ

ｆｆ

1 08899 09832 09923 06676 08165 083482 08123 10050 06365 04295 08601 053313 03470 09574 07707 02443 07875 027364 04283 07916 06183 02624 06692 02924


Factors ｆｆ

ｆｆ

ｆｆ

2 08903 09908 09958 06806 08459 082324 08484 10052 06932 03501 08963 049586 03470 09491 05696 02462 08307 026708 02975 07909 03985 02195 07457 02962













are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호
















are the log prices









first difference or










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호










country










Factors ｆｆ

ｆｆ

1 1 10061 10057 09678 096702 09905 09866 09639 097103 09831 09697 09566 09636


24 1 14852 14836 15278lowast 152132 14995 14423 14262 146933 14894 14652 12865 13131

36 1 13415 13364 14172lowast 14151lowast2 13406 13401 13710 122333 13167 13140 10971 12321






(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호









(23)





error term




















Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호








Factors ｆｆ

ｆｆ


12 1 09983 09980 09990 099842 09969 09988 09941 099433 09973 09930 09938 09947







at time

(24)


∆ (25)

where and










benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호











benchmark model




Factors ｆｆ

ｆｆ

1 1 10057 10066 09833 097922 10042 09882 09742 098363 09924 09754 09697 09631



36 1 14415lowast 13576 13535 135232 13619 13440 13451 119823 12887 13696 11703 10686


























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호





























is 1-year or longer







country


References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






References





Vol 72(4) pp 1127-1177







46(C) pp 53-60



1455-1468





Vol 13(3) pp 277-280



161-178









pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호













pp 689-713



381-441


Vol 34(1-2) pp 32-55






pp 2193-2218



37(3) pp 495-516



100 pp 221-239











pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호















pp 294-316









pp 1047-1070
















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호


















Vol 51(4) pp 1063-1119



147-162









김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호







김형우 김수현












다













강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호











강종구





Sungyup Chung



정호성




In Do Hwang




강환구








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호








In Do Hwang







Daeyoung Jeong


최영준









영향








Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호











Inhwan So


최영준








Jieun Lee


Sang-yoon Song


정호성








Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호











Jihyun Eum







In Do Hwang


Youngjin Yun


Jungu Yang




유복근


김남주


Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






Sung Ho Park


Sang-yoon Song




Youngjin Yun








Jongwook Park


Myunghyun Kim







이주영
















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호



















Myunghyun Kim


Soohyon Kim


Kwangyong Park




Myunghyun Kim









Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호











Kwangyong Park










Jungu Yang










Choong Hyun Nam


Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호






Myunghyun Kim





Euna Cho


Sang-yoon Song


김기호






Jihyun Eum









김기호





common factor augmented forecasting models for the us...

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