환율, 금리가 주가에 미치는 영향에 관한 계량적 분석 = (A) time series analysis of the effects of exchange rates and interest rates on the stock prices

다국어 초록 (Multilingual Abstract)

A Time Series Analysis of the Effects of Exchange Rates and Interest Rates on the Stock Prices
Lee, Hang Seok
Department of Economics
Graduate School
Sung Kyun Kwan University
This paper explores dynamic correlations between Stock Prices and Interest Rates, Exchange Rates as using the daily data from Jan. 4. 1993 to Dec. 31. 2003 as using VAR model. The analysis period is divided into two periods :Before and after the currency crisis. This study is based on the results of original papers that have studied relationship between stock market and foreign exchange market, financial market. The impulse response analysis provides that plus shocks to KOSPI decrease won/dollar exchange rates but shocks to won/dollar exchange rates are not effected to KOSPI. The impulse response analysis provides that plus shocks to Interests Rates decrease KOSPI and increase won/dollar exchange rates. To conclude correlations become more apparent after the currency crisis in Korea.

목차 (Table of Contents)

• 목차 = i
• 제1장 서론 = 1
• 1.연구배경 및 의의 = 1
• 2.연구방법 및 구성 = 3
• 3.논문의 구성 = 4
• 제2장 환율, 금리, 주가의 추이, 이론적 배경 = 5
• 1.환율·금리·주가의 추이 =5
• 2.환율과 금리간의 상관관계 = 6
• 3.금리와 주가간의 상관관계 = 10
• 4.주가와 환율간의 상관관계 = 11
• 5.선행연구분석 = 12
• 제3장 실증분석 = 14
• 1.실증분석방법 = 14
• 1.1.Granger 인과관계 검정 = 14
• 1.2.벡터자기회귀모형(VAR모형) = 15
• 가.충격반응함수(Impulse Reaponse Function) = 20
• 나.예측오차 분산분해(Forecast Error Variance Decomposition) = 21
• 2.실증분석 = 24
• 2.1.Granger 인과관계 검정(Granger Causality Test) = 25
• 2.2.벡터자기회귀모형(Vector Autoregression Model) = 29
• 가.충격반응함수(Impulse Reaponse Function) = 29
• 나.예측오차 분산분해 = 37
• 제4장 결론 = 44
• [참고문헌] = 48
• [ABSTRACT] = 51