주가ㆍ금리ㆍ환율 간의 가격 및 변동성 전이효과

Price and Volatility Transmission Effects between Stock Price, Interest Rate, and Foreign Exchange Rate

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 pre- and 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.