동아시아 전쟁위협관련 뉴스가 국내금융시장에 미치는 영향

• 영문명: The Effects of War-Related News on Domestic Financial Markets
• 발행기관: 한국동북아경제학회
• 저자명: 이근영(Keun Yeong Lee)
• 간행물 정보: 『동북아경제연구』東北亞經濟硏究 第16卷 第1號, 107~138쪽, 전체 32쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2004.04.30

영문 초록

The paper analyzes the dynamic effects of news about North Korea s nuclear weapon and Iraq War on financial markets which major newpapers reported, by combining war-related dummy variables with VAR models. According to the impulse response analysis, bad news about North Korea s nuclear weapon and Iraq War dynamically decreases KOSPI and won s value. On the other hand, the reverse is the case in good news. But statistical significance is stronger in case of won/dollar exchange rates than in case of KOSPI. The results are not changed, even though Dow Jones index and yen/dollar exchange rates are included in the VAR models.

목차

Ⅰ. 서론

Ⅱ. 자료분석

Ⅲ. 분석모형

Ⅳ. 추정결과

Ⅴ. 충격반응분석

Ⅵ. 요악 및 결어

키워드

VAR 모형 전쟁관련 더미변수 누적충격반응함수 VAR model War-related Dummy Variables Cumulative Impulse Response Analysis