The Impacts of Macroeconomic and Non-macroeconomic Variables on Stock Return Volatility: An Empirical Investigation of the Tourism Industry

( Hayat Benourrad ),( Hyunjoon Kim ) 한국항공경영학회 2021 한국항공경영학회 춘계학술대회 Vol.2020 No.-

Volatility within the securities market is one of the factors eroding investor trust. Understanding causes that affect stock return volatility is a vital concern for investors, researchers, and portfolio managers. The ability of investors to forecast the long-run macroeconomic and nonmacroeconomic factors that affect stock volatility is extremely important in making profitable investment decisions. Researchers have been trying to understand and predict stock volatility since the global financial crisis of 2008 and its effects on stock markets and the global economy. Theories in finance have strongly related stock volatility to changes in several macroeconomic variables such as capital markets, fluctuations in interest rates, inflation rate, exchange rate, oil prices, and gold prices. Various studies have attempted to establish relations between macroeconomic factors and stock fluctuations. Chen, Roll, and Ross (1986) were the first to use macroeconomic variables to predict stock returns in the United States, using seven macroeconomic variables: term structure, industrial productivity, risk premium, inflation, market return, consumption, and oil prices. Their results showed a positive relationship between macroeconomic variables and expected stock returns. They pointed out that when these selected macroeconomic variables are extremely volatile, they can significantly explain expected returns. Caner and Onder (2005), outline sources of stock volatility as dividend yield, exchange rate, interest rate, inflation rate, and movement of world market index. Abugri (2008); Hwang & Young (2000) identify inflation rate, interest rate, exchange rate, dividend yield, and money supply as notable factors influencing stock volatility. Volatility forecasting research has been for long a hot topic in empirical finance. Nevertheless, in the Tourism field exploring problems in volatility and their resolution across different models have received little interest and still lack proper investigations. While macro-economic factors often affect stock volatility, Uncontrollable circumstances such as pandemics, natural disasters, political events, mega events, and economic crises could have a huge impact on stock volatility. Global tourism and economics have marked a wide range of crises and disastrous events such as the September 11 terrorist attacks (2001), the global economic crisis in 2008/2009, the eruptions of Eyjafjallajökull (2010) that hit hard the equity market and contributed to high volatility. And, the recent COVID-19 crisis has impacted heavily on international travel, tourism demand, and the hospitality industry. The relationship between the tourism industry performance and uncertain non-macroeconomic factors has received limited academic coverage. This study sought to examine the impact of five macro-economic variables namely; interest rate, inflation rate, exchange rate, unemployment rate, and Oil price changes, and other five nonmacroeconomic variables namely; COVID-19 crisis, the U.S Presidential Election, the World Expo, FIFA World Cup, and the Olympics on the stock return volatility of airlines, hotels and restaurant firms in the U.S for a period of 11 years (January 2010 to December 2020). The study results showed that stock return volatility has a significant relationship with all macroeconomic variables. However, only unemployment rate has positively impacted stock return volatility. The results show also that among all non-macroeconomic variables, only the COVID-19 pandemic has a positive significant impact on the stock return volatility. It has been indicated that that the new coronavirus COVID-19 has dramatically affected the performance of the Tourism industry. Airlines, hotels, and restaurants reported a sharp decline in revenues after the emergence of the COVID-19 outbreak. Further explanation is discussed in the paper.

미국 국채 수익률곡선 및한․미 거시경제변수의 변화가한국 국채 수익률곡선에 미치는 영향:거시경제변수를 포함한2국가 Dynamic Nelson and Siegel 모형을 이용하여

권도근,정용국 한국금융학회 2019 금융연구 Vol.33 No.2

This paper extends the Dynamic Nelson and Siegel model with macroeconomic variables (Diebold and Li, 2006; Diebold et al., 2006) to two countries, U.S. and Korea, with macro variables and analyzes it using the Structural VAR. This study contributes to the literature in that it analyzes the financial and the macroeconomic relationship between two economies, with yield curve factors and macro variables, in a single model composed of transition equations and state equations. In addition, it is confirmed that the predictive power of this model, two-country yield-macro model, is superior to that of the existing model, two-country yield-only model, even when the structural change after the Global Financial Crisis is reflected by separating the period after the GFC. The results of the study can be summarized as follows. First, there are valid impulse responses between the yield curve factors and the macroeconomic variables, as well as valid responses in the yield curve factors and in the macroeconomic variables of the two countries. We can find that the U.S. Curvature factor has a significant effect on U.S. macroeconomic variables such as the manufacturing capacity utilization index. Korea’s Slope factor is shown to be affected by most macroeconomic variables of U.S. and Korea, which means that Slope factor is not only sensitive to Korea’s macroeconomic cycle but also to the U.S. and Korean financial and real market conditions, and that the economic conditions of the two countries are reflected in the Korean government bonds’ yield curve through the slope variables. Second, for all of the yield curve factors, shocks of the yield curves are influential in the short run and shocks of the macroeconomic variables are influential in the long run. In particular, the two countries’ Slope factors are responsive to the macroeconomic shocks. The variance decomposition of the yields shows that Korean governmen bond yields are affected more by macroeconomic variables than the US yields are, and two countries’ macroeconomic variables have strong effects on Korea short-term interest rates. Lastly, in the predictability of Korean government bond yields, it is analyzed that the Yield-Macro model is superior, across most forecast horizons, to the Yield-only model. This result is valid for analysis focus on the period after the financial crises, and the same result is confirmed regardless of the bonds’ maturity. In light of the results, we believe that the macroeconomic variables of Korea and of the U.S. should be considered as well as the U.S. government bond yields in order to more precisely predict the Korean yield curve, especially the change of the Slope factor and short-term yields. It is also necessary to consider the possibility that the influence of Korean monetary policy can be extended or curtailed by other external factors, as it has been confirmed that Korean Slope factor and short-term yields are affected by U.S. government bond yields and macroeconomic variables as well as domestic monetary policies. As this SVAR model analyzes the impact of shocks in economic variables on the Korean government bond yield curve, the model is expected to be used as a tool to predict changes happening in the Korean government bond market. In addition, the model is expected to be expanded in a useful way to improve predictability and to determine policy validity by adding additional macroeconomic variables of the two countries. 본고는 거시변수를 포함한 Dynamic Nelson and Siegel 모형을 2국가로 확장한 후, 이를 2단계 접근법을 사용한 구조적 벡터자기회귀 모형을 통해 분석하였다. 본 연구는 양국의 수익률곡선과 거시경제변수를 전환방정식과 상태방정식으로 구성된 하나의 모형에서 분석함으로써 국가 간, 금융 및 거시변수 간 상관관계를 확인하였다는 점에서 기존 연구와 차별된다. 실증분석 결과의 주요 내용을 살펴보면 우선, 양국의 수익률곡선 변수 간, 거시경제변수 간 유효한 충격반응이 나타나는 것으로 분석되었을 뿐만 아니라 수익률곡선 변수와 거시경제변수 사이에도 유효한 충격반응이 관찰되었다. 또한, 한․미 양국의 수익률곡선 변수 모두에 대해 단기적으로는 수익률곡선 변수의 충격이 장기적으로는 거시경제변수의 충격이 큰 영향을 미치는 것으로 분석되었다. 국채수익률에 대한 분산분해에서는 한국 국채수익률이 미국에 비해 거시경제변수의 영향을 상대적으로 크게 받는 것으로 나타났으며, 한국 단기 국채수익률의 경우 한․미 양국 거시경제지표의 영향력이 50% 내외의 큰 비중을 차지하였다. 마지막으로, 예측력 비교에 있어서 거시경제지표를 포함한 모형이 수익률곡선 변수만을 포함한 모형에 비해 한국 국채수익률 예측 시 대부분의 예측시계에 걸쳐 우수한 것으로 확인되었다.

중국 거시경제의 변동이 주식시장에 미치는 영향

운소 ( Xiao Yun ),최기홍 ( Ki Hong Choi ),윤성민 ( Seong Min Yoon ) 아시아.유럽미래학회 2015 유라시아연구 Vol.12 No.4

The analysis on the returns and volatility of stock price in stock market is one of the important research field in economics, and the issue such as the influence of macroeconomic variables on stock price has been examined over time. Since the fluctuation of a country’s stock market is always closely associated with the changes of macro-economy, it is highly possible that the variation of macroeconomic variables exert significant influences on the stock price and many literatures consider this relationship. However, the study on the Chinese stock market has it own especially important meanings. Firstly, due to the relatively short of the establishment period of Chinese stock market, the stock market in China is still not developed enough and has many inefficiency problems. The individual investment also takes up comparatively large proportions in market. These features thereby cause the instability of Chinese stock market. Therefore, different characteristics might be found on the relationship between macroeconomic variables and stock price in China. Secondly, compared with developed capitalist countries, the interference of Chinese government on the economic development is relatively severe, and the stock market is also often intervened under national regulations and controls. Thus, the relationship between the volatility of macroeconomic variables and stock price may present different features from those developed countries. Thirdly, unlike export-oriented emerging stock market such as Korea, Chinese stock market might be more affected by its national economic policies and the change of macroeconomic variables. Altogether, it is hard to determine, how can the variation of macro-economy will affect the fluctuation of stock price in China based on theoretical works. The empirical analysis should be conducted to judge the relationship between them. In addition, due to the existence of two stock exchanges in China, Shanghai stock exchange and Shenzhen stock exchange, the comparisons also should be analyzed to investigate how these two stock market react differently to the change of macroeconomic variables. This paper makes comparisons between macroeconomic variables and two stock markets. The paper adopts the macro-economic climate index, money supply, consumer price index, exchange rate, interest rate, total import and export volume as macroeconomic variables, two composite indexes of Shanghai Stock Exchange and Shenzhen Stock Exchange as the stock market variables to investigate the relationship between the macro economy and stock market by employing VAR-GARCH-BEKK model. The mean equation is set to be vector autoregressive (VAR) model for measuring the return spillover effect between macroeconomic variables and stock market index. Variance equation utilizes the bivariate GARCH-BEKK model for observing the volatility spillover effect between them. The analysis tries to figure out whether the stock market of Shanghai Stock Exchange and Shenzhen Stock Exchange has the different return and volatility spillover effect or not. The main findings of this study are summarized as follows: The return of macroeconomic variables has no significant impact on the returns of Chinese stock markets, implying there is no return spillover effect. However, the volatility of consumer price index exert significant influence on the volatility of Shanghai composite index. The volatility of the macroeconomic variables including money supply, consumer price index, and exchange rate significantly affect the volatility of Shenzhen composite index, and the influence of the volatility of exchange rate on the volatility of Shenzhen composite index is the strongest among them. The volatility spillover effect between macroeconomic variables and Shenzhen composite index is stronger than that between macroeconomic variables and Shanghai composite index. In addition, the volatility spillover effect between macroeconomic variables and stock market is more obvious than return spillover effect between them. These results can Chinese stock market investors to increase the returns and reduce the investment risks as far as possible. More attention shall be given to the change of macro economy, especially the change of the consumer price index.

경제환경 변화에 따른 주가 결정요인의 장기균형관계

홍영복(Youngbog Hong),황련희(Huang Lianji),김재일(Jaeil Kim) 인하대학교 산업경제연구소 2010 경상논집 Vol.24 No.2

본 연구는 경제환경 변화에 따른 거시경제변수들과 주가의 장기균형관계를 분석하는데 그 초점을 두고 있다. 우리나라 경제의 특성을 감안하여 거시경제변수들을 금융부문, 실물부문, 해외부문으로 나누어 선정하였다. 금융부문에서는 금리, 물가, 통화량을 선정하였으며, 실물부문에서는 실물경기와 원유가격을, 그리고 해외부문에서는 국제수지, 환율, 미국 주가를 선정하였다. 본 연구에서는 주가에 심대한 영향을 미칠만한 경제변화 시점을 외국인에게 증권시장을 개방한 시점과 외환위기 시점으로 구분하였다. 이들 시점을 기준으로 외국인에게 주식시장을 개방하기 이전 5년간을 개방 이전기로, 개방 후부터 외환위기가 본격적으로 경제지표에 반영되기 이전 5년간을 부분개방기로, 그리고 외환위기로부터 완전히 벗어난 이후 5년간을 완전개방기로 분류하였다. 주가와 거시경제변수간의 인과관계를 검토한 결과, 자본시장이 개방되기 이전에는 물가, 국제원유가격, 환율, 미국주가가 주가에 대한 원인변수임을 알 수 있다. 그러나 부분개방기에는 주가가 통화량, 국제수지, 실물경기 등의 거시경제변수에 영향을 미치는 원인변수로서 작용하고 있다. 그러나 외환위기가 지나고 경제가 다시 안정된 이후에는 본 연구에서 검토한 모든 거시경제변수가 주가에 대해 원인 또는 결과변수로서의 역할을 하고 있다. 통화량, 물가, 금리, 국제원유가격, 국제수지, 환율, 미국주가 등은 주가에 대해 원인변수 역할을 하고 있으며, 실물경기는 주가의 영향을 받는 것으로 나타났다. 개방이전기에 주가 변동의 원인이 되는 경제변수가 3개에 불과하였으나, 완전개방기에는 거시경제변수 8개 모두가 주가에 대해 원인변수 역할을 하고 있다. 뿐만 아니라 양방향으로 원인변수 역할을 하는 변수도 대폭 증가하였다. 이러한 연구 결과 경제환경 변화에 따라 거시경제변수들과 주가의 장기균형관계가 구조적으로 변화하고 있는 것을 발견하였다. This study focuses on analyzing the long-run equilibrium relationship between macroeconomic variables and stock prices according to changes in the economic environment. By taking Korea’s economic characteristics into consideration, the selected macroeconomic variables are divided into financial sector, real sector, and foreign sector. The following variables are selected in each sector: interest rate, prices, money supply in the financial sector, the real economic activity and crude oil price in the real economy sector, and balance of international payments, exchange rate, and the U.S. stock prices in the foreign sector. In particular, the cointegration hypothesis between variables are tested. The times of economic changes that may have had tremendous influences on stock prices are defined as the time of opening the stock market to foreigners and the Korea’s financial crisis in 1979. With these two time periods, the five years prior to the opening of the stock market to foreigners are labeled as the “pre-opening period,” the five years before the financial crisis was fully reflected on economic indicators after the opening as the “partial opening period,” and the five years after being completely overcoming the financial crisis as the “complete opening period.” The Granger test and Johansen maximum likehood procedure are used to explain the long-run equilibrium relationship between the stock price and the economic variables. The main findings were as follows. The prices, crude oil price, exchange rate, and the U.S. stock prices served as causal variables in the pre-opening period. During the partial opening period, however, the stock prices acted as causal variable that affects macroeconomic variables such as money supply, balance of international payments, and the real economic activity. It was also revealed that money supply, prices, interest rate, international market crude oil price, balance of international payments, exchange rate, and the U.S. stock prices act as causal variables for stock prices, and that real economic activity is influenced by stock prices in the complete opening period. Whereas there were only three economic variables that caused stock prices to fluctuate in the pre-opening period, all eight macroeconomic variables act as causal variables for stock prices in the complete opening period. Through such study result, it was discovered that the long-run equilibrium relationship between macroeconomic variables and stock prices undergo structural changes according to changes in the economic environment.

거시경제 및 비 거시경제변수가 항공운송업의 경영성과에 미치는 영향

김수정(Su-Jeong Kim) 한국콘텐츠학회 2013 한국콘텐츠학회논문지 Vol.13 No.3

본 연구는 거시경제 및 비 거시경제변수가 항공운송업의 경영성과에 미치는 영향을 분석하여 경영자에게 유용한 정보를 제공하는데 그 목적이 있다. 이를 위해 1991년부터 2011년까지의 거시경제지표인 회사채수익률, 유가, 실업률, 통화량, 무역수지, 원/달러 환율, 소비자물가지수, 산업생산성지수와 경영성과 지표인 총자산순이익률을 사용하여 선형회귀분석을 실시하였다. 그 결과 환율 변동은 정의 유의적인 영향을, 소비자물가지수 증가율은 부의 유의적인 영향을 총자산순이익률 변동에 미친 것으로 나타났다. 또한 거시경제변수의 위험성을 통제하는 비 거시경제변수의 영향력을 파악하기 위해 비 거시경제변수로 대만 대지진, 아시아 경제 위기, 미국 911테러, 이라크 전쟁, 베이징 올림픽, 신종 플루 발병, 대통령 선거(1차), 대통령 선거(2차)을 축출하여 유의적인 영향을 미치는 것으로 나타난 환율 변동과 소비자물가지수 증가율을 함께 사용하여 선형회귀분석을 실시하였다. 분석 결과 아시아 경제 위기와 신종 플루 발병은 총자산순이익률 변동에 부의 유의적인 영향을 미친 것으로 나타났다. 그 외에 대만 대지진, 미국 911테러, 이라크 전쟁, 베이징 올림픽, 1,2 차 대통령 선거는 총자산순이익률 변동에 통계적으로 유의적인 영향을 미치지 않는 것으로 나타났으나 이라크 전쟁을 제외한 다른 변수들은 부의 관계가 있는 것으로 나타났다. 항공운송업의 경영자들은 거시경제변수가 통제가 어려운 변수이긴 하지만 거시경제변수와 거시경제변수의 위험성을 통제하는 비 거시경제변수의 변화를 주의 깊게 관찰하고 분석한다면 경영성과를 극대화 시키는데 도움이 될 것이다. The purpose of this study is to analyse the impact of macroeconomic and non-macroeconomic forces on the management performance of the air transport firms and offer the useful information to the managers. To conduct the regression analysis, eight macroeconomic and non-macroeconomic variables were selected individually as an independent variable. Macroeconomic variables were the return of corporate bond, West Texas Intermediate, the unemployment rate, the money supply, the trade balance, the won to USD exchange rate, the consumer price index and the index of industrial production. And non-macroeconomic variables were Taiwan earthquake, the Asian economic crisis, the 911 terrorist attacks in the US, the Iraq war, Beijing Olympic, the outbreak of a swine flu epidemic, the 1st presidential election and the 2nd presidential election. And ROA was selected as a dependent variable. As the result of analysis, it was found that the changing rates of won to USD exchange rate and consumer price index affected the changing rate of ROA significantly. And also as the result of analysing the impact of two significant macroeconomic variables and eight non-macroeconomic variables on the changing rate of ROA, it was found that the Asian economic crisis and the outbreak of a swine flu epidemic had a negative impact on it. Therefore managers should take note of a change in macroeconomic and non-macroeconomic variables carefully to improve the management performance.

The relationship between Stock prices and Macroeconomics variables: The Evidence from Mongolia and Korea

( Enkhzul Mendee ),( Sang Soo Park ),( Gi Choon Kang ) 국제지역학회 2012 국제지역학회 춘계학술대회 Vol.2012 No.-

The purpose of this study is to examine the relationship between the stock market movement and macroeconomic variables in Mongolia and Korea. It is interesting and important to understand the relationship between the stock market and macroeconomic variables of Mongolia as a just developing stock market. The analysis was based on the Engle Granger methodology with the framework of the Vector Error Correction model (VECM). To do this, the unit root test and cointegration analysis were examined. The data are based on the period of January, 2000 to December, 2009 in the case of Mongolia, and from January, 2002 to December, 2009 in the case of Korea. Macroeconomic variables include Consumer price index (CPI), Interest rate of one year savings (IR), Money supply (M2) and Exchange rates: US dollar for both countries and Korean won for the case of Mongolia. There were a long-rung relationship between the stock market and macroeconomic variables environment, in the two countries. The unit root test results show that all variables are non-stationary at level, but they were stationary at first difference. The cointegration test result showed that there was one cointegration in Mongolian data, and two cointegrations in Korean data. Finally, from the Granger causality test results, Mongolian stock prices cause to the money supply and CPI. In the case of Korea, there were bidirectional causality between the stock prices and the interest rate. Therefore, all macroeconomic variables cause to the stock prices by unidirectional way.

거시경제상태가 자본구조의 조정속도에 미치는 영향

신민식 ( Min Shik Shin ),김수은 ( Soo Eun Kim ) 한국금융공학회 2011 한국금융공학회 학술발표회 Vol.2011 No.1

본 연구는 2000년 1월 1일부터 2009년 12월 31일까지 한국거래소의 유가증권시장과 코스닥시장에 상장된 기업을 대상으로 거시경제상태가 자본구조의 조정속도에 미치는 영향을 실증분석 하였다. 기간 스프레드, 신용 스프레드, GDP 성장률과 같은 거시경제변수를 사용하여, 거시경제상태가 좋은 기간과 나쁜 기간으로 구분한다. 거시경제상태가 좋은 기간은 기간스프레드가 크거나, 신용 스프레드가 작거나, GDP 성장률이 높은 기간을 말하고, 나쁜 기간은 그 반대의 경우를 말한다. 그리고 자본시장 접근성이나 신용평점 수준과 같은 재무적 제약변수를 사용하여 표본기업을 재무적 비제약기업과 제약기업으로 구분한다. 자본구조의 조정속도는 부분조정모형을 사용하여 측정하며, 주요한 분석결과는 다음과 같다. 자본구조의 조정속도는 거시경제상태가 좋을 때가 나쁠 때보다 더 빠르다. 즉, 기간 스프레드가 클수록, 신용 스프레드가 작을수록, 그리고 GDP 성장률이 높을수록 거시경제상태는 좋다고 할 수 있으며, 이러한 기간 동안에 자본구조의 조정속도는 더 빨라진다. 이러한 결과 는 기업의 재무적 제약 여부와 관계 없이 성립한다. 즉, 기업의 자본시장 접근성이나 신용평점 수준과 같은 재무적 제약변수와 관계 없이, 자본구조의 조정속도는 거시경제상태가 좋을 때가 나쁠 때보다 더 빠르다. 따라서 전통적인 자본구조이론에서 제시된 기업특성변수뿐만 아니라 기간 스프레드, 신용스프레드, GDP 성장률과 같은 거시경제변수를 기준으로 판단할 수 있는 거시경제상태도 자본구조의 조정속도에 영향을 미친다. 그리고 거시경제상태는 자본시장 접근성이나 신용평점수준과 같은 재무적 제약변수와 관계 없이 자본구조의 조정속도에 영향을 미친다. 즉, 자본구조의 조정속도는 재무적 제약 여부와 관계 없이 거시경제상태가 좋을 때가 나쁠 때보다더 빠르다. 따라서 기업 경영자들은 기업특성변수뿐만 아니라 거시경제상태를 종합적으로 고려하여 자본구조를 신속하게 조정함으로써 기업가치를 극대화시킬 수 있다. In this paper, we analyse empirically the effects of macroeconomic conditions on the adjustment speed of capital structure of firms listed on Korea Securities Market and Kosdaq Market of Korea Exchange. Macroeconomic conditions are classified into good states and bad ones on the basis of macroeconomic variables such as term spread, credit spread, and GDP growth rate. Good states are defined as higher term spread, lower credit spread, and higher GDP growth rate, and bad states are defined as the opposite sides of those macroeconomic variables. Moreover, firms are classified into the financially unconstrained firms and the financially constrained ones on the basis of financial constraints variables such as capital market accessibility and credit rating score level. The main results of this study can be summarized as follows. Using the partial adjustment capital structure models to estimate the effects of macroeconomic conditions on the adjustment speed of capital structure toward target leverage, we find evidence that firms adjust their leverage faster toward target leverage in good macroeconomic states than in bad ones. This holds whether or not firms are subject to financial constraints. So to speak, regardless of firms` capital market accessibility and credit rating score level, they exhibit a faster adjustment speed of capital structure in good macroeconomic states compared to bad ones. This results are also consistent with the evidence in the literature that the financially unconstrained firms tend to adjust faster than the financially constrained ones. This paper may have a few limitations because it may be only early study about the effects of macroeconomic conditions on the adjustment speed of capital structure of Korean firms. Therefore, we think that it is necessary to expand sample firms and control variables, and use more elaborate analysis methods in the future studies.

생명보험회사 경영실태평가제도의 개선에 관한 연구

이호철,이경룡 한국보험학회 2005 保險學會誌 Vol.70 No.-

The purpose of this paper is to test the predictability of the current management evaluation model used by the Financial Supervisory Service for the financial soundness of life insurance companies, and to develop a new and improved model. To this end, the authors examine the predictability of the current evaluation model using three different statistical models (i.e the logistic regression model, multidiscriminant analysis model, and artificial neural network model) based on 5 years of data from 1998 to 2002. The results show that insolvency predictions by the current evaluation model are only 54.5%, 45.5%, and 58.3%, respectively for the three statistical models. The major reasons for the low level of predictability are due to two factors: (1) the current evaluation model uses only internal financial variables of life insurance companies, and (2) there is a high multicollinearity among the variables. Subsequently, to improve the management evaluation model, problems within the current model must be addressed. As such, the authors test the significance of the 9 quantitative variables contained within the models, and select several significant variables to decrease the multicollinearity. These variables are included in the new model with various macroeconomic variables such as the economic growth rate, inflation rate, unemployment rate, interest rate, etc. The final model, which contains the selected significant internal financial variables and several significant external macroeconomic variables, shows relatively high insolvency prediction ratios. This indicates that to improve the predictability of financial insolvency for life insurance companies, the management evaluation model should include not only internal financial variables but also external macroeconomic variables. 본 연구에서는 금융감독기관에서 실시하고 있는 생명보험회사의 경영실태평가제도를 개선하기 위해 실증분석을 시도하였다. FY1998~2002 기간 동안 생명보험회사의 재무자료를 로지스틱모형, MDA모형, 인공신경망모형에 적합시킨 결과 현행모형의 부실예측력이 각각 54.5%, 45.5%, 58.3%로 매우 낮다는 사실을 밝혀냈다. 이는 현행 경영평가제도에서 기업내부의 재무변수들을 주로 사용하기 때문에 다중공선성 등의 문제가 존재하여 부실예측력이 떨어지는 것으로 분석되었다. 이에 따라 현행 모형에서 유의변수를 선정한 후 경제성장율, 주가수익율 등의 거시경제변수를 함께 각 모형에 투입한 결과 부실예측력이 16.7%p 높아지는 사실을 확인하였다. 따라서 생명보험회사에 대한 경영평가를 실시할 경우 기업내부의 재무변수이외에 거시경제변수 등의 외생변수도 함께 고려해야 적정한 평가가 이루어질 것이다.

생명보험회사 경영실태평가제도의 개선에 관한 연구

이경룡,이호철 한국보험학회 2005 保險學會誌 Vol.70 No.-

본 연구에서는 금융감독기관에서 실시하고 있는 생명보험회사의 경영실태평가제도를 개선하기 위해 실증분석을 시도하였다. FY1998~2002 기간 동안 생명보험회사의 재무자료를 로지스틱모형, MDA모형, 인공신경망모형에 적합시킨 결과 현행모형의 부실예측력이 각각 54.5%, 45.5%, 58.3%로 매우 낮다는 사실을 밝혀냈다. 이는 현행경영평가제도에서 기업내부의 재무변수들을 주로 사용하기 때문에 다중공선성 등의문제가 존재하여 부실예측력이 떨어지는 것으로 분석되었다. 이에 따라 현행 모형에서 유의변수를 선정한 후 경제성장을, 주가수익을 등의 거시경제변수를 함께 각 모형에 투입한 결과 부실예측력이 IS.7%p 높아지는 사실을 확인하였다. 따라서 생명보험회사에 대한 경영평가를 실시할 경우 기업내부의 재무변수이외에 거시경제변수 등의 외변수도 함께 고려해야 적정한 평가가 이루어질 것이다. The purpose of this paper is to test the predictability of the current management evaluation model used by the Financial Supervisory Service for the financial soundness of life insurance companies, and to develop a new and improved model. To this end, the authors examine the predictability of the current evaluation model using three different statistical models (i.e the logistic regression model, multidiscriminant analysis model, and artificial neural network model) based on 5 years of data from 1998 to 2002. The results show that insolvency predictions by the current evaluation model are only 54.5%, 45.5%, and 58.3%, respectively for the three statistical models. The major reasons for the low level of predictability are due to two factors: (1) the current evaluation model uses only internal financial variables of life insurance companies, and (2) there is a high multicollinearity among the variables. Subsequently, to improve the management evaluation model, problems within the current model must be addressed. As such, the authors test the significance of the 9 quantitative variables contained within the models, and select several significant variables to decrease the multicollinearity. These variables are included in the new model with various macroeconomic variables such as the economic growth rate, inflation rate, unemployment rate, interest rate, etc. The final model, which contains the selected significant internal financial variables and several significant external macroeconomic variables, shows relatively high insolvency prediction ratios. This indicates that to improve the predictability of financial insolvency for life insurance companies, the management evaluation model should include not only internal financial variables but also external macroeconomic variables.

국제 환율 변동으로 인한 주식시장과 거시경제변수의 상호 연관성 : 한국과 미국 비교 분석

백재승(Jae Seung Baek),이윤복(Yoon bok Lee) 한국산업경영학회 2016 한국산업경영학회 발표논문집 Vol.2016 No.-

본 연구에서는 국제통화시장의 원-달러, 원-유로, 원-위안과 원-엔 환율 변동이 한국과 미국 주식시장 및 거시경제변수(금리, 유가 등)과 맺고 있는 상호 연관성을 비교 분석하였다. 연구방법으로는 그랜저 인과관계 검정과 벡터오차수정모형(VECM)을 사용하여 실증분석하였다. 본 연구는 기존 연구와 달리 하나의 통화만이 아닌 한국 경제와 연관성이 높은 네 가지 통화 즉, 원-달러, 원-유로, 원-위안 및 원-엔 환율의 영향을 조사했다는 점에서 차별되고 기여하는 바가 있다. 또한 동일한 내용에 대하여 미국의 주식시장에도 적용하여 한국의 결과와 비교해 보았다. 연구결과 코스피 지수의 경우 네 가지 주요 국제통화의 환율 변동과 깊은 관련성을 보였으며, 다우존스지수나 국제유가와 같은 범세계적 경제지표도 유의적인 영향을 미쳤다. 미국의 경우 다우존스지수가 달러-원, 달러-엔, 달러-유로 환율과도 높은 상관관계를 보였다. 2008년 금융위기를 고려한 분석 결과, 금융위기 이전과 이후에 한국과 미국의 주식시장에 영향을 주는 환율이나 경제변수는 조금 달랐지만 금융위기 이후 2008년부터 한국과 미국 모두 주가지수에 대해 환율이나 경제변수 및 타 국가의 주가지수의 영향이 차츰 높아졌음을 확인할 수 있었다. 본 연구의 결과는 기존의 연구와 달리 여러 국제통화의 환율이 주식시장에 주요한 영향을 미친다는 점을 제시하였다는 점에서 의의가 있다. The purpose of this paper is to determine of the interconnectedness between foreign exchange rate on stock index and macroeconomic variables. The data included monthly return data from June 2005 to July 2013, included financial crisis in 2008. The empirical results using granger causality test and vector error correction model, significant relationship were found between foreign exchange rate (US dollar, Japanese yen, Euro and Chinese yuan) and macroeconomic variables such as interest rate and oil price. Korean stock prices are determined by foreign exchange rates and macroeconomic variables. We examine the same test to U.S. Stock index (Dow Jones) and U.S. macro-variables. As we expected, macroeconomic variables that significantly affected to both Korean and U.S stock index but different currency and macro-variables. We separate the financial crisis year from data set, result was solid except year of crisis. Also, there was significant effects are shown after the crisis, both in Korea and U.S. The main finding suggest that relations between stock prices, exchanges rates and macro-valuables are much stronger than before the crisis or year 2008. The study is a further extension of existing study on stock market other than Korea and USA. It contributes to the how foreign exchange rate effected to stock market and macroeconomic variables.