• 제목/요약/키워드: Monetary Stock

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The Contagion Effect from U.S. Stock Market to the Vietnamese and the Philippine Stock Markets: The Evidence of DCC - GARCH Model

  • LE, Thao Phan Thi Dieu;TRAN, Hieu Luong Minh
    • The Journal of Asian Finance, Economics and Business
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    • 제8권2호
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    • pp.759-770
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    • 2021
  • Using a DCC - GARCH model analysis, this paper examines the existence of financial contagion from the U.S. stock market to the Vietnamese and the Philippine stock markets during the global financial crisis and the COVID-19 pandemic crisis. We use daily data from the S&P 500 (U.S.), VN-Index (Vietnam), and the PSEi (the Philippines). As a result, there is no evidence of contagion from the U.S stock market to the Philippine stock market that can be found during global financial crisis, while the Vietnamese market is influenced by this effect. Besides, both these developing stock markets (the Vietnamese and Philippine stock markets) are influenced by the contagion effect in COVID-19 pandemic crisis. Another finding is that the contagion effect during the coronavirus pandemic crisis in Vietnam is smaller than that during the global financial crisis, however, the opposite is the case for the Philippines. It is noticed that the Philippines seems to be more affected by the contagion effect from the COVID-19 pandemic than Vietnam at the time of this study. Because financial contagion is important for monetary policy, asset pricing, risk measurement, and portfolio allocation, the findings in this paper may give some useful information for policymakers and investors.

중국 통화정책 변화가 한국에 미치는 영향 (Transmission of Chinese Monetary Policy Shocks: Evidence from Korea)

  • 조유정
    • 경제분석
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    • 제27권4호
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    • pp.43-69
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    • 2021
  • 한국은 중국과의 교역 규모가 큰 데다 금융부문의 연계성 또한 점차 강화되고 있어 중국 통화정책 변화가 다양한 경로를 통해 한국 경제에 파급영향을 미치고 있다. 이에 본 연구는 중국 통화정책 운영상의 특징과 최근 운영 현황을 살펴보고, VAR 모형을 이용하여 중국 통화정책 변화가 한국 경제에 미치는 영향과 파급경로에 대해 분석하였다. 중국 통화정책 변화의 파급경로를 대중 수출 및 무역수지 등 한국 교역변수(무역경로)와 이자율, 주가, 물가 등 금융변수(금융경로, 원유가격경로)에 미치는 영향으로 나누어 분석한 결과, 중국 통화정책 완화 충격은 무역경로 중 수직적 무역통합 경로를 통해 한국의 대중 중간재 수출을 증가시킨 것으로 나타났다. 반면 지출전환 경로와 소득수요 경로는 유의하지 않은 것으로 나타났다. 금융경로 및 원유가격경로에서는 글로벌 투자자금 흐름 재조정, 금리차 및 원자재가격 변동 등을 통해 중국 통화정책 완화 충격이 한국 금리 하락과 주가 및 물가 상승을 유발하는 것으로 나타났다.

A Dynamic Study on Housing and Stock Market in Europe : Focused on Greece

  • JEONG, Dong-Bin
    • 동아시아경상학회지
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    • 제8권1호
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    • pp.57-69
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    • 2020
  • Purpose - This study examines what are the asset market fluctuations in Europe and how each economic variable affects major variables, and explore the dynamics of housing and stock market through Greece. The variables under consideration are balance on current account (BCA), index of stock (STOCK), gross domestic product (GDP), housing price indices (HOUSING), M3, real rate of interest (IR_REAL) and household credits (LOAN). We investigate the functional and causal relationships between housing and stock market. Research design, data, and methodology - Vector error correction model (VECM) is used to figure out the dynamic relationships among variables. This study also contains the augmented Dickey-Fuller unit root, cointegration, Granger causality test, and impulse response function and variance decomposition analysis by EViews 11.0. Results - The statistical tests show that all variables under consideration have one unit root and there is a longterm equilibrium relationship among variables for Greece. GDP, IR_REAL, M3, STOCK and LOAN can be considered as causal factors to affect real estate market, while GDP, LOAN, M3, BCA and HOUSING can bring direct effects to stock market in Greece. Conclusions - It can be judged that the policy that affects the lending policy of financial institutions may be more effective than the indirect variable such as monetary interest rate.

The Effect of Non-Oil Diversification on Stock Market Performance: The Role of FDI and Oil Price in the United Arab Emirates

  • BANERJEE, Rachna;MAJUMDAR, Sudipa
    • The Journal of Asian Finance, Economics and Business
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    • 제8권4호
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    • pp.1-9
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    • 2021
  • UAE has rapidly developed into one of the leading global financial hubs, with significant transformations in its stock exchanges. In its attempt at economic diversification in the last two decades, the country has also taken a lead in the GCC region in introducing extensive reforms to attract FDI to the Emirates. However, oil price volatilities have posed a significant challenge to all oil-exporting countries. The main aim of this study is to explore the impact of economic diversification and oil price on the UAE stock market. The study applies Granger Causality and Vector Autoregressive Model on monthly Abu Dhabi stock exchange index, Dubai Fateh crude oil spot price, and FDI inflows during 2001-19. The short-term interbank rate has been included as a monetary policy variable. The results show a substantial difference between the two phases of reforms. Oil price and Abu Dhabi stock index show bidirectional relationship during 2001-09 but no causality was found during 2010-19. Furthermore, the second phase was characterized by unidirectional causation from FDI to ADX index. This study highlights FDI inflows as a key driver of stock market performance during the last decade and emphasizes the success of the intense reforms in the UAE initiated for the diversification of its economy.

한국 주식 수익률에 대한 Extreme 분포의 적용 가능성에 관하여 (On the Applicability of the Extreme Distributions to Korean Stock Returns)

  • 김명석
    • 경영과학
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    • 제24권2호
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    • pp.115-126
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    • 2007
  • Weekly minima of daily log returns of Korean composite stock price index 200 and its five industry-based business divisions over the period from January 1990 to December 2005 are fitted using two block-based extreme distributions: Generalized Extreme Value(GEV) and Generalized Logistic(GLO). Parameters are estimated using the probability weighted moments. Applicability of two distributions is investigated using the Monte Carlo simulation based empirical p-values of Anderson Darling test. Our empirical results indicate that both the GLO and GEV models seem to be comparably applicable to the weekly minima. These findings are against the evidences in Gettinby et al.[7], who claimed that the GEV model was not valid in many cases, and supported the significant superiority of the GLO model.

Asymmetric Effects of Global Liquidity Expansion on Foreign Portfolio Inflows, Exchange Rates, and Stock Prices

  • Rhee, Dong-Eun;Yang, Da Young
    • East Asian Economic Review
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    • 제18권2호
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    • pp.143-161
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    • 2014
  • This paper examines the effects of global liquidity expansion on advanced and emerging economies by using panel VAR methodology. The results show that global liquidity expansion tends to boost economy by increasing GDP growth and stock prices. However, we find that the effects are asymmetric. The effects of global liquidity on GDP and stock prices are greater and more persistent in emerging economies than in liquidity recipient advanced economies. Moreover, global liquidity appreciates emerging economies' exchange rates more persistently than those of advanced economies. Lastly, while global liquidity expansion increases foreign portfolio investment inflows to Asian countries and liquidity recipient advanced economies, there is no evidence for Latin American countries.

Turnbull 분포무관모형을 이용한 월악산국립공원의 자산가치 평가 (Estimating the Stock Value of Woraksan National Park Using Turnbull Distribution-Free Model)

  • 한상열
    • 한국산림과학회지
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    • 제96권3호
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    • pp.283-289
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    • 2007
  • 편익-비용분석은 국립공원 보전과 같은 공공투자 정책의 상대적 가치에 관련된 정보를 파악하는데 매우 유용한 분석도구이다. 편익과 비용이 화폐단위로 계산될 수 있으면 순편익을 계산하여 공공후생을 최대로 얻을 수 있는 정책적 대안을 규명할 수 있다. 그러나 국립공원에서 파생되는 재화와 용역은 일반시장에서 판매되지 않기 때문에 국립공원의 보존정책 결과를 금액으로 계산하는 것은 그리 쉽지 않다. 이 경우 비시장재의 편익가치를 측정하기 위하여 이선선택형 가상가치평가법이 가장 널리 적용된다. 본 연구는 이선선택형 가상가치평가법의 일종인 Turnbull 분포무관모형을 이용하여 월악산국립공원의 경제적 가치를 추정하고 최종적으로 자산가치를 평가하였다. 평가결과, 연간이용가치는 65억원, 연간보존가치는 1,374억원으로, 프로우(flow)인 연간총가치는 1,439억원으로 추정되었으며, 스톡(stock)인 총자산가치는 약 3조217억원으로 평가되었다.

정책수용성의 변화와 예측: 고준위방사성폐기물처분장 입지사례 (Policy Acceptance's Change and Forecasting: Simulation Modelling for High Level Radioactive Repository Site)

  • 오영민
    • 한국시스템다이내믹스연구
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    • 제12권1호
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    • pp.39-57
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    • 2011
  • This paper is the result of simulation modeling concerning high-level radioactive waste repository(HLRWR) and people's mind for the facility. We describe a procedure of simulation modeling for resident's policy acceptance and perceived risk of HLRWR facility by using System Dynamics approach. To Complete some complicated works, we made the 20 pieces of stock-flow diagrams based on the causal loop diagram that is a blue print of whole variables and relations. The simulation outputs clearly show that cental government efforts to siting the HLRWR will be failed if nothing to give for the region's residents. On the contrary, a monetary incentive and a regional development program help to turn this gloomy situation into a desirable and acceptable condition dramatically. Government has to prepare the schemes considering the HLRWR acceptance and total supporting program including the cash and local development programs.

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Macro-Economic Factors Affecting the Vietnam Stock Price Index: An Application of the ARDL Model

  • DAO, Hoang Tuan;VU, Le Hang;PHAM, Thanh Lam;NGUYEN, Kim Trang
    • The Journal of Asian Finance, Economics and Business
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    • 제9권5호
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    • pp.285-294
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    • 2022
  • Using the ARDL approach, this study examined the impact of macro factors on Vietnam's stock market in the short and long run from 2010 to 2021. The State Bank of Vietnam and the International Monetary Fund provided time series data for this study. Research results show that in the long run, money supply and exchange rate respectively affect the stock market. The money supply had a positive effect on the VN-Index, while the exchange rate showed the opposite effect. However, the study did not find a relationship between world oil price and interest rates on VN-Index in the long run. On the other hand, in the short term, there are relationships between variables; specifically, interest rates and exchange rates have a negative impact on the VN-Index, while the world oil price and the fluctuation of money supply M2 of the previous one and two months showed an impact in the same direction on this index. The differences in the regression results on the impact of exchange rate and oil price on the VN-Index compared to previous studies come from the characteristics of Vietnam's stock market, with the large capitalization of companies in the oil and gas sector, and the structure of Vietnam's economy with export heavily depends on FDI sector.

资产价格波动对中国宏观经济风险的影响 (Asset Price Volatility and Macroeconomic Risk in China)

  • Jishi, Piao;Mengjiao, Liu
    • 분석과 대안
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    • 제3권1호
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    • pp.135-157
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    • 2019
  • The linkages between asset prices and macroeconomic outcomes are long-standing issue to both economists and monetary authorities. This paper explores the impact of asset prices on output and price in China. It focuses on the impacts of asset prices on the low quantiles of GDP gap and high quantiles of price gaprespectively. The main findings are the following: the influence of stock price gap, stock returns, and money growth on the different quantile of GDP gap and price gap are noticeable different, and there are significant impacts on the left tail of GDP gap distribution and on the right tail of price gap distribution. This implies that the results coming from simple regression will underestimate the economic risk imposed by asset price volatility. Moreover, these results also provide the caveat that one should cautiously distinguish the meaning of asset price gap and asset price growth rate and use them, through their contents are similar in some sense. One implication for monetarypolicy is that authority should interpret the relationship between asset prices and macro-economy in wider perspectives, and make the policy decision taking the impacts of asset prices on the tails of economy.

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