표 5 그랜저 인과관계 분석 결과

구 분	Logs 1		Logs 2		Logs 3		Logs 4		Logs 5		Logs 6
구 분	F값	Prob.	F값	Prob.	F값	Prob.	F값	Prob.	F값	Prob.	F값	Prob.
국채→잔액	0.002	0.957	0.399	0.671	3.221	0.025^**	2.181	0.075^*	2.795	0.020^**	2.023	0.068^*
잔액→국채	5.320	0.022^**	3.929	0.022^**	3.141	0.027^**	4.854	0.001^***	4.124	0.001^***	3.199	0.006^***
CP→잔액	0.033	0.854	1.510	0.224	2.857	0.039^**	2.351	0.058^*	1.893	0.100	1.471	0.194
잔액→CP	6.125	0.014^**	3.787	0.025^**	3.056	0.031^**	6.154	0.000^***	6.600	0.000^***	4.850	0.000^***
CD→잔액	1.090	0.298	2.368	0.097^*	2.020	0.114	1.477	0.213	1.178	0.324	1.432	0.208
잔액→CD	18.625	0.000^***	3.950	0.021^**	4.656	0.004^***	3.621	0.008^***	5.442	0.000^***	4.094	0.000^***
Call→잔액	1.694	0.195	1.776	0.173	1.410	0.243	2.051	0.091^*	2.034	0.079^*	2.820	0.013^**
잔액→Call	26.975	0.000^***	5.014	0.008^***	4.136	0.007^***	2.536	0.043^**	2.130	0.066^*	2.095	0.059^*
RMPI→잔액	1.647	0.201	1.254	0.289	1.223	0.304	0.719	0.580	1.201	0.313	1.044	0.400
잔액→RMPI	3.143	0.078^*	1.783	0.172	1.259	0.291	1.149	0.336	2.054	0.076^*	2.244	0.044^**
CP→국채	0.016	0.898	0.482	0.618	0.393	0.757	0.567	0.687	0.621	0.683	0.653	0.686
국채→CP	0.479	0.489	0.220	0.802	0.441	0.723	0.647	0.629	0.597	0.701	1.166	0.329
CD→국채	12.083	0.000^***	2.411	0.093^*	4.288	0.006^***	2.998	0.021^**	1.771	0.124	1.432	0.208
국채→CD	109.224	0.000^***	28.749	0.000^***	18.646	0.000^***	14.507	0.000^***	12.518	0.000^***	9.940	0.000^***
Call→국채	8.638	0.003^***	4.544	0.012^**	4.340	0.006^***	2.646	0.036^**	1.702	0.139	1.059	0.391
국채→Call	113.421	0.000^***	28.472	0.000^***	15.695	0.000^***	9.895	0.000^***	7.749	0.000^***	6.848	0.000^***
RMPI→국채	1.793	0.182	0.229	0.795	0.288	0.833	0.302	0.875	0.565	0.725	0.504	0.804
국채→RMPI	7.738	0.006^***	6.789	0.001^***	4.654	0.004^***	3.632	0.007^***	3.348	0.007^***	2.989	0.009^***
CD→CP	8.711	0.003^***	1.380	0.255	2.034	0.112	2.145	0.079^*	1.730	0.133	1.521	0.177
CP→CD	52.194	0.000^***	14.999	0.000^***	10.127	0.000^***	8.619	0.000^***	7.080	0.000^***	5.353	0.000^***
Call→CP	7.100	0.008^***	3.866	0.023^**	3.063	0.030^**	2.256	0.067^*	1.869	0.105	1.306	0.260
CP→Call	78.973	0.000^***	19.456	0.000^***	9.945	0.000^***	6.961	0.000^***	5.565	0.000^***	4.398	0.000^***
RMPI→CP	2.875	0.092^*	0.442	0.643	0.298	0.826	0.359	0.836	0.603	0.697	0.466	0.831
CP→RMPI	8.289	0.004^***	8.029	0.000^***	5.923	0.000^***	4.626	0.001^***	3.734	0.003^***	3.233	0.005^***
Call→CD	7.677	0.006^***	3.544	0.031^**	3.010	0.032^**	2.693	0.034^**	2.296	0.049^**	2.137	0.054^*
CD→Call	40.632	0.000^***	11.452	0.000^***	5.187	0.002^***	3.174	0.016^**	2.611	0.028^**	2.617	0.020^**
RMPI→CD	2.424	0.121	0.513	0.599	0.316	0.813	0.240	0.914	0.251	0.938	0.566	0.756
CD→RMPI	1.062	0.304	3.703	0.027^**	4.213	0.007^***	3.488	0.009^***	3.790	0.003^***	3.257	0.005^***
RMPI→Call	11.528	0.000^***	2.395	0.095^*	1.644	0.182	1.310	0.270	1.149	0.338	0.934	0.473
Call→RMPI	0.308	0.579	2.759	0.067^*	3.685	0.014^**	4.618	0.001^***	4.969	0.000^***	4.371	0.000^***

주 : 1) p<0.10,
p<0.05,
p<0.01.
2) CP, commercial paper; CD, certificate of deposit; RMPI, real estate market pressure index.