• 아태비즈니스연구
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• 제14권4호
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• pp.319-330
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• 2023

Purpose - The purpose of this paper is to examine the connectedness between categorical economic policy uncertainty (monetary, fiscal, trade and foreign exchange policy uncertainty) indexes and option-implied volatility index in Korea, Japan and the US. Design/methodology/approach - This paper employs the Diebold-Ylmaz (2012) model based on a VAR and generalized forecast error variance decomposition. This paper also conducts regression analyses to investigate whether the volatility indexes are explained by categorical policy uncertainty indexes. Findings - First, we find the total connectedness is stronger in Korea and Japan relative to the US. Second, monetary, fiscal, and foreign exchange policy uncertainty indexes are connected to each other but trade policy uncertainty index is not. Third, the volatility index in Japan and the US is mainly associated with monetary policy uncertainty while the volatility index in Korea is explained by fiscal policy uncertainty index. Research implications or Originality - To our knowledge, this is the first study to investigate the connectedness among categorical policy uncertainty indexes and the volatility index in Korea, Japan, and the US. The empirical results on the connectedness suggest that transparent policy and communication with the market in one type of policy would reduce the uncertainty in other policies.

• East Asian Economic Review
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• 제27권1호
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• pp.33-60
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• 2023

This paper analyzes the entire distribution of stock market returns/volatility in five emerging markets (ASEAN5) and figures out the conditional distribution of the CHI_EPU index. The aim is to examine the impact of CHI_EPU on the stock returns/volatility density of ASEAN5 markets. It also examined whether changes in CHI_EPU explain returns at higher or lower points (abnormal returns). This paper models the behaviour of stock returns from March 2011 to June 2018 using a non-parametric conditional density estimation approach. The results indicate that CHI_EPU diminishes stock returns and augments volatility in ASEAN5 markets, except for Malaysia, where it affects stock returns positively. The possible reason for this positive impact is that EPU is not the leading factor reducing Malaysian stock returns; but, other forces, such as dependency on other countries' stock markets and global factors, may have a positive impact on stock returns (Bachmann and Bayer, 2013). Thus, the risk of simultaneous investment in Chinese and ASEAN5 stock markets, except Malaysia, is high. Further, the degree of this influence intensifies at extreme high/low intervals (positive/negative tails). The findings of this study have significant implications for investors, policymakers, market agents, and analysts of ASEAN5.

• 대한지리학회지
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• 제43권1호
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• pp.104-116
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• 2008

투기과열지역은 투기의 발생 가능성이 높은 지역으로, 각종 부동산대책의 주요 대상이 된다. 본 연구에서는 부동산 가격변동의 공간패턴을 모형화함으로써 투기과열지역의 공간패턴을 제안하고자 한다. 부동산 가격은 합리적 또는 적응적 소유자 수요자의 경계행위에 의해서 결정되고, 가격변동의 공간패턴은 이들의 경제행위 경향에 의해서 형성된다고 모형화하였다. 일정 지역에 적응적 소유자와 수요자가 다수인 경우, 이 지역은 타 지역에 비해 가격상승 폭이 높고 주변 부동산과 가격상승이 동시에 일어나는 가격변동 핫스팟 패턴으로 정의하였다. 투기과열지역은 최대의 미래 기대이익을 얻고자하는 적응적 소유자와 수요자에 의해서 형성되기 때문에 이 지역의 공간패턴은 가격변동 핫스팟 패턴으로 정의할 수 있었다.

• KDI Journal of Economic Policy
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• 제40권4호
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• pp.1-22
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• 2018

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the implied volatility of short-dated at-the-money option prices. We conduct MLE in order to estimate the parameters of the stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not available for any of the models in this paper. Therefore, the TPDFs are approximated using the irreducible method introduced in Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for the Korean and US stock markets, respectively. There exist relatively strong leverage effects in both countries. Despite the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either market, the speeds of the mean reversion parameters are statistically significant and meaningful in both markets. The IV is found to return to its long-run mean value more rapidly in Korea than in the US. All parameters related to the volatility function of the IV are statistically significant. Although the volatility of the IV is more elastic in the US stock market, the volatility itself is greater in Korea than in the US over the range of the observed IV.

• East Asian Economic Review
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• 제19권1호
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• pp.3-38
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• 2015

Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama's volatility relations.

• East Asian Economic Review
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• 제19권3호
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• pp.275-322
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• 2015

The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.

• KDI Journal of Economic Policy
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• 제35권4호
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• pp.63-94
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• 2013

주식시장에서 관찰되는 변동성은 시간에 따라 변하는 특징이 있는데, 변동성의 지속성을 기준으로 지속적인 변동성(long-lived volatility)과 일시적인 변동성(short-lived volatility)으로 구분할 수 있다. 본 연구에서는 한국 주식시장의 변동성을 지속적 요소와 일시적 요소로 분해하였으며, 지속적 변동성에서 관찰되는 주요 특징과 거시경제적 관련성을 분석하였다. 전체 변동성을 지속적 요소와 일시적 요소로 분해하기 위해 GARCH-MIDAS 모형을 사용하였으며, 지속적 변동성을 구성하는 정보변수로는 실현된 변동성(realized volatility)을 활용하였다. 1990~2009년의 표본기간에 대해 모형을 추정한 결과, KOSPI 수익률의 지속적 변동성에는 과거 3~4년까지의 정보가 주요하게 반영되는 것으로 나타났다 또한 . 1994~2009년 기간에 있었던 KOSPI 일별 변동성의 변화 중 약 2/3 정도가 지속적 변동성의 변화에 의한 것으로 나타났다. 한편, 주식시장의 변동성에서 관찰되는 장기적인 변화는 그에 상응하는 거시경제여건의 변화와 관련이 있을 수 있는데, 1994~2009년의 기간에 대해 분석한 결과 주식시장의 지속적 변동성은 경기역행적 특징을 보이는 가운데 물가상승률에 대해서는 유의한 양의 상관관계를 보였다. 또한 거시경제적 불확실성이 상승하는 시기에는 주식시장의 지속적 변동성도 상승하는 경향이 있음을 확인할 수 있었다. 주식시장의 지속적 변동성과 거시경제여건과의 관련성에 대한 이상의 분석 결과는 경제안정화를 위한 거시경제정책이 주식시장의 변동성 완화에도 기여할 수 있음을 시사한다.

• 유통과학연구
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• 제11권10호
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• pp.73-79
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• 2013

Purpose - This study examines the impact of oil price volatility on economic activities in Korea. The new millennium has seen a deregulation in the crude oil market, which invited immense capital inflow into Korea. It has also raised oil price levels and volatility. Drawing on the recent theoretical literature that emphasizes the role of volatility, this paper attends to the asymmetric changes in economic growth in response to the oil price movement. This study further examines several key macroeconomic variables, such as interest rate, production, and inflation. We come to the conclusion that oil price volatility can, in some part, explain the structural changes. Research design, data, and methodology - We use two methodological frameworks in this study. First, in regards to the oil price uncertainty, we use an Exponential-GARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity: EGARCH) model estimate to elucidate the asymmetric effect of oil price shock on the conditional oil price volatility. Second, along with the estimation of the conditional volatility by the EGARCH model, we use the estimates in a VECM (Vector Error Correction Model). The study thus examines the dynamic impacts of oil price volatility on industrial production, price levels, and monetary policy responses. We also approximate the monetary policy function by the yield of monetary stabilization bond. The data collected for the study ranges from 1990: M1 to 2013: M7. In the VECM analysis section, the time span is split into two sub-periods; one from 1990 to 1999, and another from 2000 to 2013, due to the U.S. CFTC (Commodity Futures Trading Commission) deregulation on the crude oil futures that became effective in 2000. This paper intends to probe the relationship between oil price uncertainty and macroeconomic variables since the structural change in the oil market became effective. Results and Conclusions - The dynamic impulse response functions obtained from the VECM show a prolonged dampening effect of oil price volatility shock on the industrial production across all sub-periods. We also find that inflation measured by CPI rises by one standard deviation shock in response to oil price uncertainty, and lasts for the ensuing period. In addition, the impulse response functions allude that South Korea practices an expansionary monetary policy in response to oil price shocks, which stems from oil price uncertainty. Moreover, a comparison of the results of the dynamic impulse response functions from the two sub-periods suggests that the dynamic relationships have strengthened since 2000. Specifically, the results are most drastic in terms of industrial production; the impact of oil price volatility shocks has more than doubled from the year 2000 onwards. These results again indicate that the relationships between crude oil price uncertainty and Korean macroeconomic activities have been strengthened since the year2000, which resulted in a structural change in the crude oil market due to the deregulation of the crude oil futures.

• 산학경영연구
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• 제20권2호
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• pp.15-27
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• 2007

본 연구에서는 서울, 대전, 부산의 주택매매가격종합지수 변동성간의 상관관계에 대해 분석하였다. 기존의 연구에서는 시장에서 관찰되는 관측변동성을 이용하여 분석하였으나 본 연구에서는 통계적 방법을 이용하여 관측변동성을 내재가치의 변화에 의해 발생되는 기본적 변동성과 추종거래 등과 같은 잡음거래(noise trading)에 의해 발생되는 일시적 변동성으로 분해하여 락 변동성간의 관계를 분석하였다. 분석 결과 서울 주택매매가격 변동성과 두산 주택매매가격 변동성의 상관관계가 관측변동성 기본적 변동성, 일시적 변동성 모두 높게 나타나고 있다. 기본적 변동성의 경우는 관측변동성의 경우보다 상관관계가 놀게 나타났는데 기본적 변동성은 정보에 의해 발생하는 지속적인 변동성 부분이므로 각 시장에 공통적으로 영향을 주기 때문에 상관관계가 놀게 나타난 것으로 판단된다.

• KDI Journal of Economic Policy
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• 제33권2호
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• pp.1-39
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• 2011

본 연구는 거시경제적 변동성(macroeconomic volatility)이 국가마다 다르게 나타나는 현상의 원인을 산업구조적 차원에서 실증분석을 통해 찾아보려는 시도이다. 특히 우리나라 경제에서 서비스산업이 차지하는 역할에 주목하여, 서비스산업이 경기변동성에 미치는 영향을 국내적인 산업구조 측면과 국가 간 비교를 통해 분석하였다. 분석 결과, 우리나라의 경기 변동성은 국가위험도를 중심으로 과거에 비해 크게 개선되었으나 여전히 대내외적 충격의 영향에 노출되어 있으며, 이는 제조업 중심의 산업구조적 특성에 기인한 것으로 판단할 수 있다. 이러한 산업구조하에서는 우리 경제가 대외부문 충격(global sectoral shock)으로 인한 거시경제적 변동에 지속적으로 노출될 수밖에 없다는 것을 의미하며, 구조적으로 나타나는 변동요인을 완화시키기 위해서는 서비스업이 대부분을 차지하고 있는 비교역재 부문이 상대적으로 활성화되어야 함을 시사하고 있다.