Earticle

초록

영어

In this study, I examine the mutual spillover effect among trade balance, stock price, and foreign exchange rate denoted as value of Korean won per one US dollar during the monthly sample period from the beginning of 1980 to the end of 2013, using the multivariate GARCH BEKK model framework. Major findings are as follows. First, from the estimation results of the mean equations in the multivariate GARCH model, trade balance is positively affected by rise in the stock market and won depreciation in the foreign exchange market, reassuring the price effect in the capital market and J curve effect in the foreign exchange market. Second, in the symmetric GARCH BEKK model estimation of the variance equations in the above multivariate model, the shock from the capital market affects the volatility of trade balance positively, whereas that from the trade balance does not affect the capital market, showing the transmission mechanism between capital and real markets. Third, on the contrary, in the asymmetric GARCH BEKK model estimation of the variance equations in the above model, the downside shock from the trade balance change has a significant positive effect on the stock market volatility whereas those from the stock and exchange market do not show any positive spillover effects to the trade balance. Fourth, results from the sub-sample period of pre- and post- IMF bailout program of 1997 are different from those from the total sample period owing to the difference of openness in the capital market. The downside shocks from the trade balance and the stock market to the foreign exchange market in the pre-IMF subsample period turned out to be significantly negative, whereas those in the post-IMF subsample period showed significantly positive signs. This can be explained as an evidence of well development of foreign exchange market liberalization plan during the post-IMF bailout program. In other words, foreign exchange market during the post-IMF period reflects changes in real and capital markets more evidently. It is confirmed that continuous trade surplus is essential for stock market stabilization from the above results.

목차

Ⅰ. 서론
 Ⅱ. 추정 모형
 Ⅲ. 자료
 Ⅳ. 추정결과 분석
 Ⅴ. 결론 및 시사점
 참고문헌
 Abstract

키워드

저자

• 김병준 [ Byoung Joon Kim | 강남대학교 실버산업학부 부교수 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  생산성연구: 국제융합학술지 [Productivity Research: An International Interdisciplinary Journal]

• 간기

  격월간

• pISSN

  1225-3553

• 수록기간

  1987~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 325 DDC 330