금융발전과 경기변동 간의 관계에 관한 연구

Abstract

For decades, the world economy has continued to expand in size with the opening of international trade and financial liberalization. The quantitative growth of the financial sector will increase the average return on financial investment by distributing the income risk of the economic entity and enabling efficient asset composition. Thus, income levels of participants in the financial sector will increase. The data used for the analysis are based on the financial development index and the detailed index. The financial development index and the sub-indices all have a value between 0 and 1, and the closer to 1, the higher the degree of development. The detailed index of the financial sector consists of 183 countries annual data from 1980 to 2014. Financial institutions include banks, insurance companies, mutual funds, and pension funds. The financial market includes stock and bond markets. Also, financial development and business cycle are measured by the moving-average standard deviation of each variables. First, pooled least square method (pooled LS) is used. In this case, the t-value is calculated using a modified variance-covariance matrix using White's method to consider the heteroscedasticity. Second, the fixed effect model (FEM) and the random effect model (REM) are used to analyze the unique characteristics of individual countries. Adds the effect of region (μ) and year (δ) that are not observed in the base model. At this time, the Hausman test is performed to confirm the conformity of the model. Through the endogenous financial development variables and financial market factors are introduced to the model, this paper use panel data to make an empirical test on the correlation between financial development and business cycles in the world.