A-DCC GARCH모형을 이용한 주식, 채권 및 외환시장의 변동성 간의 동적 관계

The Dynamic Relationship among Stock, Bond, and Exchange Rate Market Volatility using A-DCC GARCH Models

Purpose - This research aims to analyze the interrelationship among the volatility of stock price, interest rate, and exchange rate in Korea. The main topics are volatility spillovers and the asymmetric behaviors of each market’s volatility and correlation. Design/Methodology/Approach - This research adopts Engle et al.’s (2006) asymmetric dynamic conditional correlation (A-DCC) GARCH models with student t error distribution. The models are a GJR GARCH model with spillovers and a revised Koutmos (1996) EGARCH model. The full sample is divided into four sub-sample periods, including the global financial crisis and the COVID-19 pandemic. Findings - The results show no volatility spillovers among the returns of stock price, interest rate, and exchange rate. However, there are unidirectional spillovers originating from the exchange rate in the global crisis period, and from stock price to exchange rate in the COVID-19 period. Volatility asymmetry is consistently shown in stock price, while the others vary by period. Finally, the asymmetric correlation effects are found only in recent times. Research Implications - In the long-run, the volatility spillovers among financial markets are not shown. However, there is also evidence that volatility spillovers are time-varying, intensifying in times of stress. In the global financial crisis period, the exchange rate influences other markets, while in recent the COVID-19 period stock price seems to play that role. Asymmetric volatility is also time-varying, except in stock price, and recently correlation asymmetry is shown very significantly.