earticle

영어

The focus of this investigation is to analyse the relationship between financial stress index and industrial production index with monthly data from 2000 to 2016. The results of the linear Engle-Granger 2-stage cointegration test show no common trend between the variables, but the results from nonlinear cointegration test reflecting the characteristics of the estimated residuals, including the trends, suggest that there is a long-run relationship. The results of this empirical analysis have two following implications. First, the cointegration test with 2-stage estimation procedure should reflect the characteristics of the residuals. Second, it is useful to provide an indicator of the financial situation of the individual economy. Specifically, the results of empirical analysis, including the nonlinearity, suggest that it is necessary to expand the appropriate analytical models to be used in indexing and forecasting of individual economic conditions.