d1ddf06e5d
- Replace hardcoded DEFAULT_PD_FLOORS with build_complete_pd_floor_table() (KAP bond YTM) - Fix ADF test: autolag='AIC' -> 'BIC' for small sample (N=26) robustness - Expand variable search: 40 -> 226 vars (log/diff/return/lag2), 1.9M combos - Select Model #2: HOUSING_PRICE + CREDIT_SPREAD_LAG1 + CURRENT_ACCOUNT_R - Add 6-test diagnostics table to AR1 sheet (ADF/LB/DW/BP/ARCH/Shapiro) - Add Korean variable names for transformed variables - Generate report v7 with full diagnostics
5.7 KiB
5.7 KiB
| 1 | YEAR | GDP_GROWTH | UNEMPLOYMENT | BASE_RATE | CD_RATE | CPI_GROWTH | LEADING_INDEX | GOVT_3Y | GOVT_10Y | CORP_AA | CORP_BBB | IPI | EXPORT | IMPORT_AMT | USDKRW | M2 | CSI | KOSPI | IMPORT_PRICE | DISHONOR_RATE | HOUSING_PRICE | HOUSEHOLD_DEBT | FACILITY_INVEST | RETAIL_SALES | CURRENT_ACCOUNT | EMPLOYED | EMPLOYMENT_RATE | OIL_PRICE | COINCIDENT | BSI_MANUF | CONSTRUCTION_DONE | SPI | CONSTR_INVEST_GR | GFCF_GROWTH | SAVING_RATE | INVEST_RATE | TRADE_GNI | MANUF_CAPACITY |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 2000 | 8.9 | 4.4 | 5.25 | 7.09 | 2.3 | 101.2 | 8.35 | 8.55 | 9.35 | 11.9 | 102.5 | 172268.0 | 160481.0 | 1131.0 | 651.8 | 101.0 | 504.0 | 78.5 | 0.46 | 55.2 | 194.0 | 62.5 | 72.0 | 123.5 | 2115.0 | 58.5 | 26.2 | 99.8 | 90.0 | 56.3 | 58.0 | -1.4 | 11.4 | 33.7 | 31.0 | 72.5 | 109.5 |
| 3 | 2001 | 4.5 | 4.0 | 4.0 | 5.34 | 4.1 | 99.5 | 6.7 | 7.05 | 8.12 | 11.27 | 99.5 | 150439.0 | 141098.0 | 1291.0 | 736.5 | 96.5 | 694.0 | 73.6 | 0.28 | 56.8 | 225.0 | 58.5 | 73.5 | 80.3 | 2118.0 | 59.0 | 22.8 | 98.0 | 82.0 | 53.8 | 60.2 | 5.6 | 0.6 | 31.7 | 29.3 | 66.3 | 105.8 |
| 4 | 2002 | 7.4 | 3.3 | 4.25 | 4.99 | 2.8 | 102.3 | 6.06 | 6.58 | 7.02 | 9.75 | 108.5 | 162471.0 | 152126.0 | 1251.0 | 816.3 | 105.0 | 628.0 | 72.1 | 0.18 | 65.3 | 306.0 | 63.2 | 76.0 | 53.9 | 2217.0 | 60.0 | 23.7 | 101.5 | 92.0 | 55.2 | 63.5 | 6.5 | 6.7 | 31.3 | 29.1 | 62.4 | 110.5 |
| 5 | 2003 | 2.9 | 3.6 | 3.75 | 4.24 | 3.5 | 98.8 | 4.93 | 5.45 | 5.7 | 8.97 | 109.8 | 193817.0 | 178827.0 | 1192.0 | 879.2 | 96.0 | 811.0 | 81.3 | 0.12 | 71.5 | 360.0 | 60.5 | 74.0 | 119.5 | 2212.0 | 59.5 | 26.8 | 99.2 | 85.0 | 58.0 | 64.8 | 10.0 | 4.0 | 32.6 | 30.0 | 65.0 | 108.2 |
| 6 | 2004 | 4.9 | 3.7 | 3.25 | 3.77 | 3.6 | 100.5 | 4.11 | 4.73 | 4.72 | 7.53 | 119.2 | 253845.0 | 224463.0 | 1145.0 | 935.3 | 97.0 | 896.0 | 90.5 | 0.08 | 71.0 | 394.0 | 66.5 | 74.5 | 284.2 | 2272.0 | 59.8 | 33.5 | 100.8 | 88.0 | 63.5 | 66.0 | 1.8 | 2.1 | 34.8 | 30.3 | 73.5 | 113.8 |
| 7 | 2005 | 3.9 | 3.7 | 3.75 | 3.81 | 2.8 | 101.8 | 4.27 | 4.95 | 4.68 | 6.51 | 126.0 | 284419.0 | 261238.0 | 1024.0 | 1002.7 | 100.5 | 1011.0 | 99.2 | 0.06 | 73.5 | 440.0 | 68.0 | 76.5 | 149.8 | 2297.0 | 60.3 | 49.3 | 101.2 | 92.0 | 66.0 | 68.5 | -0.4 | 1.9 | 33.4 | 29.7 | 72.5 | 114.5 |
| 8 | 2006 | 5.2 | 3.5 | 4.5 | 4.72 | 2.2 | 102.5 | 4.83 | 5.17 | 5.25 | 7.08 | 136.0 | 325465.0 | 309383.0 | 955.0 | 1089.9 | 106.0 | 1434.0 | 107.8 | 0.05 | 80.2 | 497.0 | 73.5 | 78.5 | 53.9 | 2334.0 | 60.9 | 61.5 | 102.8 | 95.0 | 69.5 | 71.2 | 0.5 | 3.4 | 32.5 | 29.6 | 73.2 | 115.8 |
| 9 | 2007 | 5.5 | 3.2 | 5.0 | 5.36 | 2.5 | 103.1 | 5.23 | 5.42 | 5.7 | 7.44 | 144.5 | 371489.0 | 356846.0 | 929.0 | 1181.6 | 108.5 | 1897.0 | 109.3 | 0.04 | 83.5 | 560.0 | 78.5 | 80.0 | 59.5 | 2371.0 | 61.3 | 68.4 | 103.5 | 97.0 | 72.8 | 74.0 | 1.4 | 4.2 | 32.4 | 29.4 | 77.8 | 115.2 |
| 10 | 2008 | 2.8 | 3.2 | 3.0 | 5.7 | 4.7 | 96.5 | 5.27 | 5.57 | 7.02 | 10.73 | 148.2 | 422007.0 | 435275.0 | 1103.0 | 1263.2 | 86.0 | 1124.0 | 132.5 | 0.11 | 84.0 | 630.0 | 76.0 | 79.0 | -57.8 | 2385.0 | 61.5 | 94.3 | 98.5 | 72.0 | 74.5 | 75.5 | -2.8 | -1.9 | 31.5 | 31.2 | 96.5 | 112.8 |
| 11 | 2009 | 0.8 | 3.6 | 2.0 | 2.63 | 2.8 | 98.2 | 4.04 | 4.85 | 5.8 | 9.24 | 140.0 | 363534.0 | 323085.0 | 1276.0 | 1404.4 | 85.0 | 1683.0 | 104.2 | 0.1 | 84.8 | 694.0 | 60.5 | 77.5 | 328.1 | 2355.0 | 60.1 | 61.8 | 96.5 | 68.0 | 68.2 | 76.0 | 0.2 | -1.0 | 31.4 | 26.3 | 82.0 | 102.5 |
| 12 | 2010 | 6.8 | 3.7 | 2.5 | 2.8 | 2.9 | 103.0 | 3.72 | 4.49 | 4.66 | 7.98 | 161.5 | 466384.0 | 425212.0 | 1156.0 | 1504.3 | 107.0 | 2051.0 | 115.8 | 0.06 | 87.0 | 776.0 | 80.5 | 80.5 | 282.1 | 2397.0 | 60.4 | 78.1 | 103.0 | 95.0 | 72.0 | 78.5 | -1.4 | 5.8 | 33.5 | 29.5 | 87.9 | 113.0 |
| 13 | 2011 | 3.7 | 3.4 | 3.25 | 3.55 | 4.0 | 101.2 | 3.62 | 4.05 | 4.41 | 7.75 | 168.0 | 555214.0 | 524413.0 | 1108.0 | 1586.5 | 100.0 | 1826.0 | 130.2 | 0.05 | 89.5 | 857.0 | 82.0 | 82.0 | 184.1 | 2424.0 | 60.7 | 106.0 | 102.5 | 90.0 | 73.5 | 80.0 | -4.9 | 0.8 | 34.0 | 29.4 | 96.7 | 112.5 |
| 14 | 2012 | 2.4 | 3.2 | 2.75 | 3.13 | 2.2 | 100.3 | 3.13 | 3.35 | 3.76 | 6.56 | 168.2 | 547870.0 | 519584.0 | 1127.0 | 1673.5 | 100.5 | 1997.0 | 123.5 | 0.04 | 89.0 | 934.0 | 79.0 | 83.5 | 508.4 | 2468.0 | 61.3 | 109.1 | 100.5 | 85.0 | 72.0 | 82.5 | -3.2 | -0.5 | 33.8 | 28.4 | 96.8 | 110.2 |
| 15 | 2013 | 3.2 | 3.1 | 2.5 | 2.72 | 1.3 | 100.8 | 2.79 | 3.28 | 3.19 | 5.87 | 168.8 | 559632.0 | 515586.0 | 1095.0 | 1756.2 | 103.0 | 2011.0 | 115.0 | 0.04 | 88.8 | 980.0 | 77.5 | 85.0 | 812.1 | 2503.0 | 61.6 | 105.5 | 101.0 | 88.0 | 71.5 | 84.0 | 5.4 | 3.3 | 34.0 | 28.7 | 93.2 | 108.0 |
| 16 | 2014 | 3.2 | 3.5 | 2.0 | 2.36 | 1.3 | 101.0 | 2.56 | 2.92 | 2.99 | 5.22 | 168.5 | 572665.0 | 525515.0 | 1053.0 | 1871.0 | 104.0 | 1916.0 | 105.6 | 0.04 | 90.2 | 1050.0 | 81.0 | 86.5 | 843.5 | 2546.0 | 62.4 | 96.7 | 101.5 | 90.0 | 73.8 | 86.0 | 1.1 | 3.1 | 34.5 | 29.0 | 87.6 | 108.8 |
| 17 | 2015 | 2.8 | 3.6 | 1.5 | 1.72 | 0.7 | 100.5 | 1.8 | 2.25 | 2.18 | 4.61 | 168.0 | 526757.0 | 436499.0 | 1131.0 | 2010.0 | 103.5 | 1961.0 | 79.5 | 0.03 | 95.0 | 1145.0 | 84.5 | 88.0 | 1059.4 | 2567.0 | 62.6 | 51.2 | 101.0 | 86.0 | 77.5 | 88.5 | 9.1 | 5.1 | 36.0 | 28.8 | 79.8 | 107.2 |
| 18 | 2016 | 2.9 | 3.7 | 1.25 | 1.48 | 1.0 | 99.8 | 1.44 | 1.8 | 1.88 | 4.6 | 168.5 | 495426.0 | 406193.0 | 1161.0 | 2151.1 | 100.0 | 2026.0 | 78.0 | 0.03 | 97.5 | 1250.0 | 82.0 | 89.5 | 992.4 | 2597.0 | 63.0 | 41.3 | 100.2 | 85.0 | 89.5 | 90.0 | 10.3 | 5.6 | 36.4 | 29.2 | 74.5 | 106.0 |
| 19 | 2017 | 3.2 | 3.7 | 1.5 | 1.52 | 1.9 | 101.5 | 1.8 | 2.33 | 2.28 | 4.83 | 174.2 | 573694.0 | 478478.0 | 1131.0 | 2347.2 | 105.0 | 2467.0 | 90.5 | 0.02 | 100.0 | 1364.0 | 92.0 | 92.0 | 752.6 | 2620.0 | 63.2 | 53.1 | 101.8 | 92.0 | 90.0 | 92.5 | 7.3 | 9.8 | 36.6 | 31.1 | 77.3 | 107.5 |
| 20 | 2018 | 2.9 | 3.8 | 1.75 | 1.85 | 1.5 | 100.8 | 2.1 | 2.56 | 2.67 | 5.41 | 178.0 | 604860.0 | 535202.0 | 1100.0 | 2508.9 | 102.0 | 2041.0 | 100.0 | 0.03 | 102.0 | 1497.0 | 94.5 | 94.0 | 774.7 | 2633.0 | 63.1 | 69.5 | 101.5 | 88.0 | 85.5 | 94.5 | -4.6 | -2.4 | 35.9 | 30.3 | 77.3 | 107.0 |
| 21 | 2019 | 2.2 | 3.8 | 1.25 | 1.63 | 0.4 | 99.3 | 1.5 | 1.74 | 1.93 | 4.52 | 175.5 | 542233.0 | 503343.0 | 1166.0 | 2694.0 | 97.0 | 2198.0 | 92.5 | 0.03 | 104.5 | 1573.0 | 89.0 | 96.5 | 597.0 | 2660.0 | 63.5 | 63.4 | 100.0 | 82.0 | 82.0 | 97.0 | -3.1 | -2.1 | 34.6 | 30.5 | 72.1 | 102.8 |
| 22 | 2020 | -0.7 | 4.0 | 0.5 | 0.76 | 0.5 | 97.0 | 0.98 | 1.52 | 2.03 | 5.25 | 170.0 | 512498.0 | 467633.0 | 1180.0 | 3070.2 | 90.0 | 2873.0 | 85.0 | 0.02 | 110.0 | 1723.0 | 100.0 | 100.0 | 752.8 | 2630.0 | 62.5 | 42.3 | 97.5 | 76.0 | 79.0 | 100.0 | -0.1 | 2.6 | 36.3 | 31.3 | 65.8 | 100.0 |
| 23 | 2021 | 4.3 | 3.7 | 1.0 | 1.09 | 2.5 | 102.8 | 1.43 | 2.12 | 2.26 | 5.64 | 183.0 | 644400.0 | 615093.0 | 1144.0 | 3415.8 | 106.0 | 2978.0 | 110.5 | 0.01 | 122.0 | 1853.0 | 108.5 | 105.0 | 883.0 | 2672.0 | 63.8 | 69.3 | 103.0 | 96.0 | 77.5 | 104.5 | -1.5 | 3.1 | 35.8 | 31.6 | 74.5 | 105.2 |
| 24 | 2022 | 2.6 | 2.9 | 3.25 | 3.77 | 5.1 | 99.2 | 3.14 | 3.6 | 4.25 | 8.18 | 186.5 | 683585.0 | 731370.0 | 1292.0 | 3561.0 | 95.0 | 2237.0 | 140.2 | 0.02 | 128.0 | 1903.0 | 105.0 | 107.5 | 258.3 | 2726.0 | 64.5 | 97.0 | 100.5 | 85.0 | 76.0 | 108.0 | -3.5 | -0.7 | 34.5 | 31.8 | 85.2 | 104.5 |
| 25 | 2023 | 1.4 | 2.7 | 3.5 | 3.75 | 3.6 | 98.8 | 3.55 | 3.78 | 4.4 | 8.4 | 183.0 | 632744.0 | 642756.0 | 1305.0 | 3680.0 | 96.5 | 2655.0 | 120.0 | 0.03 | 118.0 | 1920.0 | 102.0 | 106.0 | 355.2 | 2750.0 | 65.0 | 82.5 | 99.2 | 80.0 | 72.0 | 109.5 | -0.5 | 1.5 | 34.0 | 30.8 | 80.5 | 101.0 |
| 26 | 2024 | 2.2 | 2.8 | 3.0 | 3.3 | 2.3 | 99.5 | 3.2 | 3.42 | 3.9 | 7.5 | 185.0 | 660000.0 | 650000.0 | 1350.0 | 3800.0 | 98.0 | 2400.0 | 115.0 | 0.03 | 115.0 | 1950.0 | 103.5 | 105.5 | 380.0 | 2760.0 | 65.2 | 80.0 | 99.5 | 82.0 | 68.0 | 110.0 | -3.3 | 0.8 | 33.5 | 30.0 | 82.0 | 101.5 |
| 27 | 2025 | 1.8 | 3.0 | 2.75 | 3.0 | 1.8 | 99.8 | 2.8 | 3.1 | 3.5 | 6.8 | 184.0 | 650000.0 | 640000.0 | 1380.0 | 3900.0 | 99.0 | 2500.0 | 110.0 | 0.03 | 112.0 | 1980.0 | 104.0 | 106.0 | 350.0 | 2770.0 | 65.5 | 75.0 | 100.0 | 84.0 | 65.0 | 111.0 | -2.0 | 1.0 | 33.0 | 29.5 | 81.0 | 101.0 |