국내외 주가 및 환율 간의 상호작용 분석: 이분산성을 이용한 식별

• 영문명: Examining the Interaction among Stock Prices and Exchange Rates of Home and Foreign Countries: Identification through Heteroscedasticity
• 발행기관: 한국무역연구원
• 저자명: 조정구(CheongGu Cho)
• 간행물 정보: 『무역연구』제12권 제1호, 411~432쪽, 전체 22쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2016.02.29

영문 초록

This paper analyzes the interaction among stock prices and exchange rates of Korea, Japanand the U.S., using daily data from January 2001 to June 2015. We identify contemporaneousinteraction parameters among stock prices and exchange rates, employing the identificationmethod of Bacchiocchi and Fanelli (2015) which exploits heteroscedasticity. We find that thereexists significant bi-directional contemporaneous interaction between the KOSPI and the wonto U.S. dollar exchange rate. A rise in the KOSPI leads to an appreciation of the Korean wonimmediately, whereas an appreciation of the Korean won leads to a fall of the KOSPI, whichcould be due to portfolio rebalancing. The impulse-response analysis further indicates that (a)a shock in the KOSPI has a permanent negative effect on the won to U.S. dollar exchangerate; (b) a shock in the won to U.S. dollar exchange rate has a permanent positive effect onthe KOSPI; (c) a shock in the Nikkei225 or in the S&P500 has a positive effect on theKOSPI and a negative effect on the won to U.S. dollar exchange rate permanently; (d) ashock in the yen to U.S. dollar or the euro to U.S. dollar exchange rate has a permanentpositive effect on the won to U.S. dollar exchange rate. Large fractions of the forecast errorvariance of the KOSPI and the won to U.S. dollar exchange rate are accounted for byinnovations in the other variables of the VAR system.

목차

Abstract

I. 서론

Ⅱ. 이론적 배경 및 선행연구

Ⅲ. 실증분석 모형설정 및 방법론

Ⅳ. 실증분석 결과

Ⅴ. 요약 및 결언

References

키워드

Exchange Rates Identification through Heteroscedasticity Stock Prices Structural VAR