Earticle

초록

영어

This study seeks to explore the peculiar impact of critical indicators: dollar index, oil price, sovereign credit default swap (CDS), stock market returns and Libor-OIS on the Korean won (KRW) cross-currency basis (CCB) at the maturity of 1-and- 5-years by segregating the timeframe from March 2003 to September 2019 into four periods: before the global financial crisis (GFC), during GFC, during eurozone crisis and after the crisis. Hence, for this time series data, simple linear regression with ARMA errors is employed to determine the direction and magnitude of regressors’ impact on KRW as well as to deal with possible heteroskedasticity and serial correlation issues. Vector autoregression (VAR) is used to obtain forecast error variance (FEV) decomposition to ascertain the dynamic relationship and predictive influence of these variables, especially in the advent of shocks. It is affirmed that CDS, stocks and Libor-OIS were most significant during GFC. Also, all regressors were relatively significant for the overall dataset with oil having the least impact.

목차

Abstract
Ⅰ. Introduction
1. Interactions among Oil Price, Stocks, Dollar, Sovereign CDS, Deviations from CIP, Libor-OIS in Korea
2. Methodology
3. Results
3.1 Descriptive Statistics
3.2 Simple linear regression with ARMA errors
3.3 Forecast Error Variance (FEV)
3.4 Discussion of Results and Economic Implications
4. Conclusion
References

키워드

저자

• Favour O. Olarewaju [ Baum Tenpers Research Group, Nigeria ] Corresponding Author
• Abdulmuttolib B. Salako [ Baum Tenpers Research Group, Nigeria ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330