동아시아 전쟁위협관련 뉴스가 국내금융시장에 미치는 영향

The Effects of War-Related News on Domestic Financial Markets

The paper analyzes the dynamic effects of news about North Korea s nuclear weapon and Iraq War on financial markets which major newpapers reported, by combining war-related dummy variables with VAR models. According to the impulse response analysis, bad news about North Korea s nuclear weapon and Iraq War dynamically decreases KOSPI and won s value. On the other hand, the reverse is the case in good news. But statistical significance is stronger in case of won/dollar exchange rates than in case of KOSPI. The results are not changed, even though Dow Jones index and yen/dollar exchange rates are included in the VAR models.