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The effect of changes in the US monetary policy on China's capital market stability and trade between China and Korea

Related Document
Frame of Image Korea by KIEP ISBN 978-89-322-2407-7 94320 978-89-322-2064-2 (set) Price USD 5
ⓒ 2015 KIEP
Contents
Contributors I. Introduction
1. The current status of bilateral trade between China and Korea 2. Degree of integration, trade combined index, and trade structure between China and Korea 3. Problems of the bilateral trade between China and Korea 4. Overview of China’s international capital flow 5. Overview of Korea’s international capital flow 7 9 9 12 14 15 17
II. Empirical Study of China and Korea’s International Capital Flow and Impacts of Federal Funds’ Rate
1. Background and overview 2. Decomposition of equity flow return 3. Data and description 4. Benchmark model 5. Extended model
20 20 22 25 32 40
III. Effects of USD Appreciation on Bilateral Trade between China and Korea IV. Effects of the U.S. Monetary Policy on China’s Capital Market Stability V. Policy Implications and Concluding Remarks References Executive Summary
49
53 55 56 58
Tables
Table II-1. Summary Statistics Table II-2. Augmented Dickey-Fuller Test Results Table II-3. Basic AR(1) Model of Federal Fund Rate and UIP Table II-4. Estimates of VAR Model of China Table II-5. Estimates of VAR Model of Korea Table II-6. Estimates of VAR-MGARCH-DCC Model of China Table II-7. Estimates of VAR-MGARCH-DCC Model of Korea 27 29 30 33 35 43 45
Figures
Figure I-1. The Export and Import of China to and from Korea Figure I-2. China’s Deficit from Trading with Korea Figure I-3. Share of Bilateral Trading Volume between China a


Full Text
Title The effect of changes in the US monetary policy on China's capital market stability and trade between China and Korea
Similar Titles
Material Type Reports
Author(English)

Gang, Jianhua; Qian, Zongxin; Zhang, Chao; Zhang, Jiarui

Publisher

세종:대외경제정책연구원

Date 2015-12
Series Title; No 연구보고서 / 15-03
ISBN 978-89-322-2407-7; 978-89-322-2064-2(set)
Pages 63
Subject Country United States(Americas)
China(Asia and Pacific)
South Korea(Asia and Pacific)
Language English
File Type Documents
Original Format pdf
Subject Economy < Financial Policy
Economy < Trade
Holding 대외경제정책연구원; KDI국제정책대학원

Abstract

This paper first reviews the trade structure between China and the
Republic of Korea (hereafter referred as Korea) and the two countries'
international capital flow. Then it discusses the effect of the Federal Reserve
rate on UIP in both China and Korea, which turns out to be uninfluential
through our analysis. Then we use VAR model and the extended model, the
multivariate GARCH-DCC model to examine interaction between different
factors. The result shows that positive-legged equity return would induce
outflow and flow positively affects equity return. Sharp offshore RMB
devaluation would cause domestic market plummets and higher legged
spread means higher carry trade return. Besides, in the respect of capital
control effects, offshore RMB devaluation would cause spread to be wider
because of inelasticity of the onshore RMB rate. Carry trade return has
positive and significant intercept. (The rest omitted)