가계패널조사 저축과 순자산 변화의 불일치에 관하여 (On the Failure of the Identity Between Savings and Net Assets Changes of Household Panels)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 38권 / 2호 / 71 ~ 119페이지
· 저자명 : 김대환

초록

한국의 네 개 가계패널조사(노동패널, 복지패널, 재정패널, 가계금융복지조사) 자료를 이용하여 가계 별 저축과 순자산 변화를 비교해 보았다. 회계원리에 따르면 저축(=소득-지출)과 순자산 변화(=자산의 변화-부채의 변화)가 일치해야 하지만, 실제 데이터에서는 이 두 수치가 일치하지 않는다. 여기에는 두 가지 이유가 있는데, 첫째, 미실현자본이득 등과 관련 소득, 지출, 자산, 부채 항목의 정의가 일관되지 않기 때문이고, 둘째, 가계설문조사 응답자가 부정확한 수치를 답하기 때문이다. 분석 결과, 저축과 순자산 변화 간 차이(이를 현금흐름오차라 부르겠다)는 관련 항목 정의의 비일관성만으로 설명하기에는 너무 크다는 것과, 설문 응답의 정확성과 상관관계가 높을 것으로 예상되는 가계 특성 및 설문 특성이 현금흐름오차에 대한 높은 설명력을 가지는 것을 확인하였다. 가계패널조사의 순자산을 활용하는 실증분석에서는 현금흐름오차가 큰 관측치를 제외하고 분석을 진행하는 것이 분석의 신뢰도를 높일 수 있음을 소비함수의 순자산효과 추정을 통해 확인하였다.

영어초록

I compare savings and net asset changes of households using four Korean household panels--the Korean Labor and Income Panel Study, the Korea Welfare Panel Study, the National Survey of Tax and Benefit, and the Survey of Household Finances and Living Conditions. Accounting principles require savings (= income - expenditures) to be identical to net asset changes (= asset changes - debt changes); this identity does not hold in actual data. There are two reasons for the failure of the identity: First, income, expenditures, assets, and debt items are not consistently defined due to inconsistent treatment of unrealized capital gains and other issues. Second, respondents of household surveys provide incorrect answers. My analysis shows that the gaps between savings and net asset changes (which I call cash flow errors) are too large to be explained by inconsistent definition of survey items, and that household and survey characteristics likely to be correlated with survey response accuracy have strong explanatory power for cash flow errors.
I first examine summary statistics of cash flow errors calculated for each household-year of the four Korean household panels. The mean of absolute cash flow errors exceeds 60 million KRW (about 43,000 USD at the exchange rate of 1 USD = 1,400 KRW), and the mean of absolute cash flow errors divided by expenditures exceeded 2.0. Then I examine how household and survey characteristics are associated with absolute cash flow errors. I find that absolute cash flow errors are especially large when household members change and when households move. Income and education levels of heads of households reduce absolute cash flow errors; assets and ages of heads of households increase absolute cash flow errors. In the National Survey of Tax and Benefit, respondents are asked to submit copies of tax return files; when respondents comply with this request, absolute cash flow errors are smaller. In the Survey of Household Finances and Living Conditions, starting from the survey year of 2017, some income, expenditures, and liabilities items are filled by administrative data; this use of administrative data, however, does not reduce absolute cash flow errors.
Cash flow errors imply inaccuracies of household savings and net assets variables. Concerns for the inaccuracies of household net assets have been expressed by many empirical researchers. To explore the possibility that excluding observations with large cash flow errors may improve empirical analysis utilizing net assets of household panels, I estimate the wealth effects from the household consumption function after applying alternative sample selection criteria. I find that wealth effect estimates vary across household panels when observations are not selected. However, when observations with large absolute cash flow errors are excluded, wealth effect estimates from the 4 household panels become similar to one another.

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