한·미간 주식 및 채권시장에서의 상호전이효과 (Mutual Shock Spillover Effects among Stock and Bond Markets in Korea and USA)

서지정보

· 발행기관 : 한국생산성학회
· 수록지 정보 : 생산성연구: 국제융합학술지 / 28권 / 4호 / 121 ~ 146페이지
· 저자명 : 김병준

초록

This paper analyzes mutual spillover effects between stock and bond markets of Korea and US, using the multivariate GARCH-BEKK (generalized autoregressive conditional heteroscedasticity - Baba, Engle, Kraft, and Kroner) framework without any prior restrictions on conditional correlations among time-varying volatilities of these four market returns. The whole sample period consists of 3,914 days from December, 1997 to December, 2012. In particular, the Global Financial Crisis Period of July, 2008 to June is additionally chosen in this analysis.
In particular, separate multivariate asymmetric GARCH model by GJR(Glosten, Jaganathan, and Runkle) is used to check further asymmetric volatility transmission effect in the unexpected up-market shock and the unexpected down-market shock. Additionally, global common factors such as difference of T-Bill rate and change of VIX(US S&P 500 volatility index) and country-specific factors such as change of foreign exchange rate are set up as explanatory variables in the mean equations of the above-mentioned GARCH model to differentiate their own special shock factors of these two stock and bond markets.
Major findings in this analysis are as follows.
First, shock spillovers from the unexpected change of returns in these two stockmarkets are generally more active than those in the bond markets, regardless of model forms of symmetric or asymmetric GARCH-BEKK.
Second, shock spillovers from US to Korea are generally stronger than those from Korea to US in both of the total sample period and the Global Financial Crisis times.
Third, stock market shock spillovers are more active in the Global Financial Crisis times than in the total sample period.
Fourth, particularly in the bond market, some positive shock spillovers, although not significant, from Korea to US is found to exist in the Global Financial Crisis times.
With all these four findings above, Korean stock market is found to be fragile to the outside shocks. Therefore, some policy designs need to begin with mitigating shock spillovers from outside in the Korean stock market.

영어초록

This paper analyzes mutual spillover effects between stock and bond markets of Korea and US, using the multivariate GARCH-BEKK (generalized autoregressive conditional heteroscedasticity - Baba, Engle, Kraft, and Kroner) framework without any prior restrictions on conditional correlations among time-varying volatilities of these four market returns. The whole sample period consists of 3,914 days from December, 1997 to December, 2012. In particular, the Global Financial Crisis Period of July, 2008 to June is additionally chosen in this analysis.
In particular, separate multivariate asymmetric GARCH model by GJR(Glosten, Jaganathan, and Runkle) is used to check further asymmetric volatility transmission effect in the unexpected up-market shock and the unexpected down-market shock. Additionally, global common factors such as difference of T-Bill rate and change of VIX(US S&P 500 volatility index) and country-specific factors such as change of foreign exchange rate are set up as explanatory variables in the mean equations of the above-mentioned GARCH model to differentiate their own special shock factors of these two stock and bond markets.
Major findings in this analysis are as follows.
First, shock spillovers from the unexpected change of returns in these two stockmarkets are generally more active than those in the bond markets, regardless of model forms of symmetric or asymmetric GARCH-BEKK.
Second, shock spillovers from US to Korea are generally stronger than those from Korea to US in both of the total sample period and the Global Financial Crisis times.
Third, stock market shock spillovers are more active in the Global Financial Crisis times than in the total sample period.
Fourth, particularly in the bond market, some positive shock spillovers, although not significant, from Korea to US is found to exist in the Global Financial Crisis times.
With all these four findings above, Korean stock market is found to be fragile to the outside shocks. Therefore, some policy designs need to begin with mitigating shock spillovers from outside in the Korean stock market.

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