학술논문
Long-run and Short-run Causality from Exchange Rates to the Korea Composite Stock Price Index
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- 영문명
- 발행기관
- 한국유통과학회
- 저자명
- Jung Wan LEE Tantatape BRAHMASRENE
- 간행물 정보
- 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 6 No.2, 257~267쪽, 전체 11쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2019.04.30
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- sam무제한 이용권 으로 학술논문 이용이 가능합니다.
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국문 초록
영문 초록
The paper aims to test long-term and short-term causality from four exchange rates, the Korean won/$US, the Korean won/Euro, the Korean won/Japanese yen, and the Korean won/Chinese yuan, to the Korea Composite Stock Price Index in the presence of several macroeconomic variables using monthly data from January 1986 to June 2018. The results of Johansen cointegration tests show that there exists at least one cointegrating equation, which indicates that long-run causality from an exchange rate to the Korean stock market will exist. The results of vector error correction estimates show that: for long-term causality, the coefficient of the error correction term is significant with a negative sign, that is, long-term causality from exchange rates to the Korean stock market is observed. For short-term causality, the coefficient of the Japanese yen exchange rate is significant with a positive sign, that is, short-term causality from the Japanese yen exchange rate to the Korean stock market is observed. The coefficient of the financial crises i.e. 1997-1999 Asian financial crisis and 2007-2008 global financial crisis on the endogenous variables in the model and the Korean economy is significant. The result indic ates that the financial crises have considerably affected the Korean economy, especially a negative effect on money supply.
목차
1. Introduction
2. Literature Review and Hypotheses
3. Empirical Specification
4. Data and Methodology
5. Empirical Results
6. Discussion
7. Conclusions
References
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