벡터자기회귀모형을 이용한 중국 수출신용보험이 수출에 미치는 효과분석

An Analysis of the China's ECI on Export Using a VAR

This paper examines whether or not China's export credit insurance has promoted export. The actual analysis is made using vector autoregressive model. Since regression analyses using non-stationary variables may lead to spurious regressions, it is necessary to examine the stationarity of the concerned variables. The unit root tests show that all concerned variables are non-stationary. Accordingly, to see the long-term balance relations of variables, which are I(1), when cointregration test is made according to Johansen test, it is found that cointregration vector does not exist. Therefore, this study sets vector autoregressive model with the first differenced data. The empirical evidences show that export credit insurance shocks have permanent positive effects on export. That is, the efficiently managed export credit insurance system may contribute to export promotion significantly in China.