지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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Purpose - We study the dynamic linkages of the economic policy uncertainty (EPU) in the US on the manufacturing stock market returns in Korea. In detail, we examine the casual link between EPU index in the US and the manufacturing stock indexes in Korea. Research design, data, and methodology - We measure mainly the distribution effect of the US EPU on the manufacturing stock market in Korea of 1990-2017 by the vector error correction model (VECM). Result - In result, we estimate the impact of the US EPU index has significantly a negative response to the manufacturing stock market in Korea such as non-metal stock index, chemical stock index, food stock index, textile·clothes stock index, automobile·shipbuilding stock index, machinery stock index, steel·metal stock index. Also the remaining variables such as electric·electronics stock index, S&P 500, and producer price index in Korea have a negative relationship with US EPU index. Conclusions - We find out that the relationship between EPU index of the US and the manufacturing stock market in Korea has the negative relationships. We determine the EPU of the US has the spillover effect on the industry stock markets in Korea.
목차
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참고문헌 (25)
참고문헌 신청
Abel, A. / 1983 / Optimal Investment under Uncertainty / American Economic Review 73(1):228~233
Antonakakis, N. / 2015 / Dynamic co-movements between economic policy uncertainty and housing market returns / Journal of Real Estate Portfolio Management 21(1):53~60
Bachmann, R. / 2013 / Uncertainty and Economic Activity : Evidence from Business Survey Data / American Economic Journal : Macroeconomics 5(2):217~249
Baker, S. R. / 2016 / Measuring Economic Policy Uncertainty / Quarterly Journal of Economics 131(4):1593~1636
Beltratti, A. / 2010 / International house prices and macroeconomic fluctuations / Journal of Banking & Finance 34(3):533~545
Antonakakis, N. / 2015 / Dynamic co-movements between economic policy uncertainty and housing market returns / Journal of Real Estate Portfolio Management 21(1):53~60
Bachmann, R. / 2013 / Uncertainty and Economic Activity : Evidence from Business Survey Data / American Economic Journal : Macroeconomics 5(2):217~249
Baker, S. R. / 2016 / Measuring Economic Policy Uncertainty / Quarterly Journal of Economics 131(4):1593~1636
Beltratti, A. / 2010 / International house prices and macroeconomic fluctuations / Journal of Banking & Finance 34(3):533~545
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