글로벌 금융위기 이후, 한국의 환율과 주가 지수간의 선후행 관계 분석
The lead-lag relationship between exchange rate and stock price index in South Korea after the global financial crisis
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
본고는 시계열 분석을 이용하여 한국의 환율과 주가지수 간의 선행 및 후행 관계에 대하여 분석하였다. 즉, 2008년 글로벌 금융 위기 이후, 한국 금융 시장의 두 중요한 변수의 관계에 어떤 변화가 일어났는지 실증 분석하였다. 이전 문헌은 글로벌 금융 위기 이전, 특히 아시아 신흥 시장의 경우, 환율의 변화가 주가 지수의 변화를 선행한다는 많은 증거를 제시하였다. 본고는 글로벌 금융 위기 이후, 글로벌 금융 위기 이전의 아시아 신흥 시장 및 우리나라의 환율과 주가지수의 관계와는 달리 우리나라의 환율 변화와 주가 지수의 변화가 서로 피드백 상호작용 관계에 있음을 발견했다. 이 결과는 미국이 금융 위기를 극복하는 방법으로서의 비전통적인 금융정책을 시행했음에도 변하지 않았다. 이는 미래에 또 다른 국제적인 금융위기 발생시, 한국의 정책 담당자들에게 금융 시장 대응을 위한 정책적 함의를 제공한다.
Abstract
This paper investigates the lead–lag relationship between exchange rate and stock price index in South Korea by employing the time-series analysis. We empirically analyze how the relationship between the two financially important variables changed in South Korea before and after the global financial crisis in 2008. Previous literature provided much evidence confirming that the change in exchange rate led to the change of stock price indexes especially in the case of emerging markets in Asian countries before the global financial crisis. Our analysis found that unlike the relationship between the two variables in emerging market economies in Asia, there was a feedback lead–lag relationship between the change of exchange rate and the change of the stock market index in South Korea after the global financial crisis. Our result remains consistent even after considering the US non-traditional monetary policies. This provides crucial information for Korean policy-makers in the event of an international financial crisis in the future.
참고문헌 (18)
- 이진, "거시경제적 요인의 KOSPI 주가지수 선물 변동성에 대한 영향 추정", 시장경제연구, 49(2), pp.27~54 (2020), 지암남덕우경제연구원[DOI]
- Abdalla, I. S. A., "Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan, and Philippines", Applied Financial Economics, 7, pp.25~35 (1997)
- Aggarwal, R., "Exchange Rates and Stock Prices : A Study of the US Capital Markets Under Floating Exchange Rates", Akron Business Economics Review, 12, pp.7~12 (1981)
- Amihud, Y., "Exchange rates and corporate performance" (1993), Irwin
- Bahmani-Oskoee, M., "Stock Prices and the Effective Exchange Rate of the Dollar", Applied Economics, 24, pp.459~464 (1992)
- Bartov, E., "Firm Valuation, Earnings Expectations and the Exchange Rate Exposure Effect", Journal of Finance, 49, pp.1755~1786 (1994)
- Benhabib, J., "Avoiding Liquidity Traps", Journal of Political Economy, 110, pp.535~563 (2002)
- Bondnar, G. M., "Exchange Rate Exposure and Industry Characteristics : Evidence from Canada, Japan and the US", Journal of International Money Finance, 12, pp.29~45 (1993)
- Dickey, D. A., "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of American Statistics Association, 74, pp.427~431 (1979)
- Engle, R. F., "Cointegration and Error Correction : Representation, Estimation, and Testing", Econometrica, 55, pp.251~276 (1987)
- Granger, C. W. J., "A Bivariate Causality between Stock prices and Exchange Rates : evidence from Recent Asian Flu", The Quarterly Review of Economics and Finance, 40, pp.337~354 (2000)
- Johansen, S., "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, 59, pp.1551~1580 (1991)
- Jorion, P., "The Exchange Exposure of US Multinational Firm", Journal of Business, 63, pp.331~345 (1990)
- Krugman, P. R., "International Economics: Theory and Policy" (2008), Addison-Wesley Inc
- Lütkepohl, H., "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time", Econometrica, 72, pp.647~662 (2004)
- Tsai, I., "The Relationship between Stock Price Index and Exchange Rate in Asian Markets : A Quantile Regression Approach", Journal of International Financial Markets, Institutions & Money, 22, pp.609~621 (2012)
- Zivot, E., "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis", Journal of Business and Economics Statistics, 10, pp.251~270 (1992)
- Zubair, A., "Causal Relationship between Stock Market Index and Exchange Rate : Evidence from Nigeria", CBN Journal of Applied Statistics, 4, pp.87~110 (2013)