미국과 중국의 거시경제지표가 우리나라 주가에 미치는 영향 = Impact of U.S. and Chinese Macroeconomic Indicators on Korea’s Stock Markets

다국어 초록 (Multilingual Abstract)

The study analyzes the impact of U.S. and Chinese macroeconomic indicators on the Korea’s stock market. Monthly data from January 2010 to December 2016 were used. It analyzed four macroeconomic indicators in the United States (Nonfarm Payrolls, ISM Manufacturing, Leading Economic Indicators and Industrial Production) and five macroeconomic indicators in China(Consumer Price Index, Core Consumer Price Index, Purchasing Managers Index, Non-Manufacturing Purchasing Managers Index and Producer Price Index). This study was conducted in order to analyze the Johansen’s cointegration, the VECM model, and the impulse response function. Johansen’s cointegration test shows that there exists cointegration in the KOSPI200 and KOSPI200 sectors. As a result of the VECM analysis, there appeared 6 plus signs (+) in Chinese producer price index(PPI), 4 minus signs (-) in U.S. Industrial Production. The impulse response function showed that China's macroeconomic indicators get more (+) positive reaction compared to the U.S., that shows China’s influence has been expanded.

목차 (Table of Contents)

• 제1장 서론 1
• 제2장 선행연구 3
• 제3장 연구방법 6
• 제1절 표본선정 및 데이터 6
• 제2절 기초통계량 13
• 제4장 실증분석 16
• 제1절 단위근 점검 16
• 제2절 공적분 검정 및 벡터오차수정(VECM)모형 19
• 제3절 충격반응함수 34
• 제5장 결론 50
• 참고문현 52
• Abstract 54