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http://dx.doi.org/10.5351/KJAS.2009.22.1.017

Causal Analysis between the Korean and the U.S. Monthly Business Conditions  

Kim, Tae-Ho (Dept of Information Statistics, Chungbuk National University)
Publication Information
The Korean Journal of Applied Statistics / v.22, no.1, 2009 , pp. 17-28 More about this Journal
Abstract
This study attempts to perform the statistical test for the causality between the Korean and the U.S. business conditions in association with the lead-lag relationship between the domestic stock price and the business condition. Their causal relationships are clearly identified after the outbreak of the IMF financial crisis. The vector autoregression for the corresponding period appears to reflect the strong interrelationships between the market variables and the dependency of the domestic business conditions on the U.S. market. The estimation results validate the leading effect of the stock price and the U.S. business behavior.
Keywords
Difference vector autoregression; vector error correction; level vector autoregression;
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