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An Analysis of the Relationship between Asset Returns
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자산수익률 간 연관성 분석

논문 기본 정보

Type
Academic journal
Author
Shin Jong Hyup (부산대학교)
Journal
Research Imstitute for Market Economy 시장경제연구 시장경제연구 제48권 제3호 KCI Accredited Journals
Published
2019.1
Pages
43 - 67 (25page)

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An Analysis of the Relationship between Asset Returns
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Abstract· Keywords

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Using multivariate VAR-GARCH models, this study analyzes the relationship between stock returns, yield to maturity of bonds, house price change rates, and exchange rate change rates. The results indicate that changes in stock returns create a substitutional relationship between stocks and bonds, but changes in bond yields do not appear to trigger such a relationship. House prices are not affected by other assets. The rate of change of exchange rates is more related to stock returns than bond yields, and the correlation between the foreign exchange and stock markets has increased with the global financial crisis.
#다변량 VAR-GARCH 모형 #주식수익률 #채권수익률 #주택가격변화율 #환율변화율

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References (16)

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금기조 / 2015 / KOSPI지수와 금융변수가 주택매매가격과 전세가격에 미치는 영향 분석 / 부동산학보 (60):182~195 dbpia 김재경 / 2013 / VAR모형을 이용한 주가, 금리, 물가, 주택가격의 관계에 대한 실증연구 / 유통과학연구 11(10):63~72 dbpia 윤재형 / 2012 / 금리, 환율, 주식수익률의 상호의존성 분석- 다변량 VAR-EGARCH 모델을 중심으로 / 산업경제연구 25(4):2485~2503 dbpia 이한식 / 2019 / 주식시장의 변동성 이전효과 및 효율성 분석 / 시장경제연구 35(2):137~170 google schola 임대봉 / 2015 / 유동성이 주가 및 주택가격에 대한 파급효과 분석 / 부동산학보 (61):80~93 google schola

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