지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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This study analyzed the price and volatility transmission effects between Korean stock price, interest rate, and exchange rate using the bivariate VAR-CC GARCH model. The sample period was from Jan. 1, 2001 to July 31, 2013 and divided by the pre- and post-crisis period based on previous results of Bai and Perron(2003).
The main results of this study can be summarized as follows. First, during the pre-crisis period, the price spillover effects were found just in from stock price to exchange rate. However, during the post-crisis period, the effects were found in from stock price to exchange rate, from exchange rate to stock price, and from interest rate to exchange rate. Second, volatility transmission effects were found almost all cases. So there were bidirectional effects between stock price, interest rate and exchange rate. Third, comparing the results of the preand post-crisis period, some price spillover effects were observed in post-crisis period. And the volatility transmission effects were shown more strengthened than in pre-crisis period. This implied the degree of integration between Korean financial markets was more intensified by 2007 global economic crisis.
목차
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참고문헌 (23)
참고문헌 신청
Apergis, N. / 2001 / Asymmetric cross-market volatility spillovers: Evidence from daily data on equity and foreign exchange markets / Manchester School 69
Bai, J. / 2003 / Computation and analysis of multiple structural change models / Journal of Applied Econometrics 18 (1)
Bollerslev, T. / 1990 / Modelling the coherence in the short-run nominal exchange rates / Review of Economics and Statistics 72
Bollerslev, T. / 1992 / Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances / Econometric Reviews 11
Darbar, Salim M. / 1999 / Linkage Among Asset Market in U.S: Test in a Bivariate GARCH Framework
Bai, J. / 2003 / Computation and analysis of multiple structural change models / Journal of Applied Econometrics 18 (1)
Bollerslev, T. / 1990 / Modelling the coherence in the short-run nominal exchange rates / Review of Economics and Statistics 72
Bollerslev, T. / 1992 / Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances / Econometric Reviews 11
Darbar, Salim M. / 1999 / Linkage Among Asset Market in U.S: Test in a Bivariate GARCH Framework
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