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Long-run and Short-run Dynamic Relationships between Exchange Rates, Macroeconomic Variables and Stock Prices in Korea

The paper examines short-run and long-run dynamic relationships between exchange rates, selected macroeconomic variables and stock prices in the Korea Stock Exchange. The data is restricted to the period in which monthly data are available from January 1986 to October 2016 (370 observations) retrieved from the Economic Statistics System database sponsored by the Bank of Korea. The study employs unit root test, cointegration test, vector error correction estimates, impulse response test, and structural break test. The results of the Johansen cointegration test indicate at least three cointegrating equations exist at the 0.05 level in the model, confirming that there is a long-run equilibrium relationship between stock prices and macroeconomic variables in Korea. The results of VECM estimates indicate that money supply and short-term interest rate are not related to stock prices in the short-run. However, industry productivity and exchange rate are positively related to stock prices in the short-run, while inflation is negatively related to stock prices in the short-run. In the meantime, the results of VECM estimates indicate that the external shock (i.e. regional and global financial crisis shocks) neither affects changes in the endogenous variables nor causes instability in the cointegrating vector in the VECM.

Abstract

1. Introduction

2. Variables and Indicators

3. Methodology

References

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