Earticle

초록

영어

This paper analyzes mutual spillover effects between stock and bond markets of Korea and US, using the multivariate GARCH-BEKK (generalized autoregressive conditional heteroscedasticity - Baba, Engle, Kraft, and Kroner) framework without any prior restrictions on conditional correlations among time-varying volatilities of these four market returns. The whole sample period consists of 3,914 days from December, 1997 to December, 2012. In particular, the Global Financial Crisis Period of July, 2008 to June is additionally chosen in this analysis. In particular, separate multivariate asymmetric GARCH model by GJR(Glosten, Jaganathan, and Runkle) is used to check further asymmetric volatility transmission effect in the unexpected up-market shock and the unexpected down-market shock. Additionally, global common factors such as difference of T-Bill rate and change of VIX(US S&P 500 volatility index) and country-specific factors such as change of foreign exchange rate are set up as explanatory variables in the mean equations of the above-mentioned GARCH model to differentiate their own special shock factors of these two stock and bond markets. Major findings in this analysis are as follows. First, shock spillovers from the unexpected change of returns in these two stock markets are generally more active than those in the bond markets, regardless of model forms of symmetric or asymmetric GARCH-BEKK. Second, shock spillovers from US to Korea are generally stronger than those from Korea to US in both of the total sample period and the Global Financial Crisis times. Third, stock market shock spillovers are more active in the Global Financial Crisis times than in the total sample period. Fourth, particularly in the bond market, some positive shock spillovers, although not significant, from Korea to US is found to exist in the Global Financial Crisis times. With all these four findings above, Korean stock market is found to be fragile to the outside shocks. Therefore, some policy designs need to begin with mitigating shock spillovers from outside in the Korean stock market.

목차

Ⅰ. 서론
 Ⅱ. 선행연구 검토
 Ⅲ. 자료 및 추정모형
 Ⅳ. 추정결과 분석
 Ⅴ. 요약과 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