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한국금융시장의 국내외 연관성 분석(Decomposition of domestic and international linkages of the Korean financial markets)

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  • 한국금융시장의 국내외 연관성 분석(Decomposition of domestic and international linkages of the Korean financial markets)
  • Lee, Taiki; Yoo, Byoung Hark이대기; 유병학
  • 대외경제정책연구원(Korea Institute for International Economy Policy)


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Title 한국금융시장의 국내외 연관성 분석(Decomposition of domestic and international linkages of the Korean financial markets)
Similar Titles
Material Type Articles
Author(English)

Lee, Taiki; Yoo, Byoung Hark

Author(Korean)

이대기; 유병학

Publisher

[서울(Seoul)]:대외경제정책연구원(Korea Institute for International Economy Policy)

Date 2009-12
Journal Title; Vol./Issue 대외경제연구(Journal of East Asian Economic Integration):vol. 13(no. 2)(December 2009)
Pages 30
Subject Country South Korea(Asia and Pacific)
Language Korean
File Type Link
Subject Economy < Financial Policy
Holding 대외경제정책연구원(Korea Institute for International Econom

Abstract

A large degree of co-movements across financial markets within and between countries has been frequently observed worldwide and these co-movements intensify in times of financial crisis such as the recent financial turmoil triggered by the US sub-prime mortgage crisis. The aim of this paper is to analyze the degrees of financial linkages between four major markets of the US and Korea: money markets, bond markets, equity markets and foreign exchange markets. To break down the structures of these linkages, we fully identify a structural VAR without any ad-hoc restrictions using the methodology of Rigobon (2003). In addition to confirming that there are significant contemporaneous linkages across US asset prices and across Korean asset prices, we quantify and analyze the channels of international cross-market transmission of shocks between the US and Korea, comparing them with the Japanese cases. The main results are as follows. First, there are no significant substitution effects between bond and equity markets in Korea. Second, the US equity market shocks have a substantial effect on the Korean stock market while the US bond and equity market shocks don’t on the Korean interest rates. Third, the Korea stock market shocks have a significant impact on the won-dollar exchange rate while the Korean bond market shocks don’t. Fourth, Japan shows the similar international linkages as Korea even though it is a large open economy. However, the yen-dollar exchange rate responses to the Japanese bond market shocks, not the Japanese stock market shocks.