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Mapping Korea's international linkages using generalised connectedness measures

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Frame of Image es, University of York, Heslington, York, YO10 5DD, UK. Email: yongcheol.shin@york.ac.uk. Tel: +44(0)1904 433757. We are grateful for the helpful comments of Woon Gyu Choi and Junhan Kim and for the discussion of seminar participants at the Bank of Korea and University of York. In particular, we are greatly indebted to Matthew Greenwood-Nimmo and Viet Ngyuen who kindly help us to construct all of the figures and tables in this paper. They also provide further constructive and valuable comments. Any remaining errors or omissions are the responsibility of the authors.
Contents
Ⅰ. Introduction ······················································································ 1
Ⅱ. Literature Review ············································································ 5
Ⅲ. Empirical Methodology ································································· 9 3.1 The Global Vector Autoregressive (GVAR) Model ····························· 9 3.2 Generalised Connectedness Measures (GCMs) ·································· 12
Ⅳ. Empirical Results ··········································································· 17 4.1 Pre-Crisis Average Connectedness, 1980–2007 ·································· 17 4.2 Recursive Sample Analysis of Spillover Dynamics, 2005-2012 ····· 38
Ⅴ. Concluding Remarks ···································································· 43
References ····························································································


Full Text
Title Mapping Korea's international linkages using generalised connectedness measures
Similar Titles
Material Type Reports
Author(English)

Park, Hail; Shin, Yongcheol

Publisher

[Seoul]:The Bank of Korea

Date 2014-06
Pages 51
Subject Country South Korea(Asia and Pacific)
Language English
File Type Documents
Original Format pdf
Subject Economy < Economic Administration
Holding The Bank of Korea; KDI School

Abstract

Korea is a textbook example of a small open economy which is susceptible to conditions overseas but cannot affect them itself. Policymakers in Korea would therefore naturally benefit from an enriched understanding of the connections that exist between the Korean and global economies. We provide a detailed summary of these linkages using the generalised connectedness methodology introduced by Greenwood-Nimmo, Nguyen and Shin (2013b). Among our principal findings is the observation that domestic conditions are only generally important in the short to medium term, with overseas conditions exerting a dominant influence on Korea’s economic prospects in the long run. The economies which exert the strongest effect on Korea are the US, Europe, China and the ASEAN group, with a considerable role also played by global energy markets.