Long-run and Short-run Dynamic Relationships between Exchange Rates, Macroeconomic Variables and Stock Prices in Korea

Jung Wan Lee,Tantatape Brahmasrene 한국유통과학회 2017 KODISA ICBE (International Conference on Business Vol.2017 No.-

The paper examines short-run and long-run dynamic relationships between exchange rates, selected macroeconomic variables and stock prices in the Korea Stock Exchange. The data is restricted to the period in which monthly data are available from January 1986 to October 2016 (370 observations) retrieved from the Economic Statistics System database sponsored by the Bank of Korea. The study employs unit root test, cointegration test, vector error correction estimates, impulse response test, and structural break test. The results of the Johansen cointegration test indicate at least three cointegrating equations exist at the 0.05 level in the model, confirming that there is a long-run equilibrium relationship between stock prices and macroeconomic variables in Korea. The results of VECM estimates indicate that money supply and short-term interest rate are not related to stock prices in the short-run. However, industry productivity and exchange rate are positively related to stock prices in the short-run, while inflation is negatively related to stock prices in the short-run. In the meantime, the results of VECM estimates indicate that the external shock (i.e. regional and global financial crisis shocks) neither affects changes in the endogenous variables nor causes instability in the cointegrating vector in the VECM.

Long-run and Short-run Causality from Exchange Rates to the Korea Composite Stock Price Index

Jung Wan Lee,Tantatape Brahmasrene 한국유통과학회 2019 The Journal of Asian Finance, Economics and Busine Vol.6 No.2

The paper aims to test long-term and short-term causality from four exchange rates, the Korean won/$US, the Korean won/Euro, the Korean won/Japanese yen, and the Korean won/Chinese yuan, to the Korea Composite Stock Price Index in the presence of several macroeconomic variables using monthly data from January 1986 to June 2018. The results of Johansen cointegration tests show that there exists at least one cointegrating equation, which indicates that long-run causality from an exchange rate to the Korean stock market will exist. The results of vector error correction estimates show that: for long-term causality, the coefficient of the error correction term is significant with a negative sign, that is, long-term causality from exchange rates to the Korean stock market is observed. For short-term causality, the coefficient of the Japanese yen exchange rate is significant with a positive sign, that is, short-term causality from the Japanese yen exchange rate to the Korean stock market is observed. The coefficient of the financial crises i.e. 1997-1999 Asian financial crisis and 2007- 2008 global financial crisis on the endogenous variables in the model and the Korean economy is significant. The result indicates that the financial crises have considerably affected the Korean economy, especially a negative effect on money supply.

An Exploration of Dynamic Relationships between Macroeconomic Variables and Stock Prices in Korea Revisited

LEE, Jung Wan,BRAHMASRENE, Tantatape Korea Distribution Science Association 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.10

The paper revisits the author's previous paper to examine short-run and long-run dynamic relationships between macroeconomic variables and stock prices in Korea. The data is updated to the period for which monthly data are available from January 1986 to June 2018 (390 observations) retrieved from the Bank of Korea. The results of Johansen cointegration test indicate that at least one cointegrating equation exists, confirming there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Korea. The results of vector error correction estimates confirm that: 1) the coefficient of the error correction term is significant with a negative sign, which is, a long-run dynamic relationship is observed between macroeconomic variables and stock prices; 2) for short-run dynamics, the nominal exchange rate of the Korean won per the US dollar is positively related to stock prices, while interest rates are negatively related to stock prices in the short-run; 3) the coefficient of global financial crises is insignificant, that is, the changes of stock prices are determined largely by their own dynamics in the model. The results suggest only that the global financial crises neither cause instability in the cointegrating vector, nor affect significant changes in the endogenous variables in the model.

An Exploration of Dynamical Relationships between Macroeconomic Variables and Stock Prices in Korea

Jung Wan Lee,Tantatape Brahmasrene 한국유통과학회 2018 The Journal of Asian Finance, Economics and Busine Vol.5 No.3

This paper examines short-run and long-run dynamic relationships between selected macroeconomic variables and stock prices in the Korea Stock Exchange. The data is restricted to the period for which monthly data are available from January 1986 to October 2016 (370 observations) retrieved from the Economic Statistics System database sponsored by the Bank of Korea. The study employs unit root test, cointegration test, vector error correction estimates, impulse response test, and structural break test. The results of the Johansen cointegration test indicate at least three cointegrating equations exist at the 0.05 level in the model, confirming that there is a long-run equilibrium relationship between stock prices and macroeconomic variables in Korea. The results of vector error correction model (VECM) estimates indicate that money supply and short-term interest rate are not related to stock prices in the short-run. However, exchange rate is positively related to stock prices while the industrial production index and inflation are negatively related to stock prices in the short-run. Furthermore, the VECM estimates indicate that the external shock, such as regional and global financial crisis shocks, neither affects changes in the endogenous variables nor causes instability in the cointegrating vector. This study finds that the endogenous variables are determined by their own dynamics in the model.

ICT, CO2 Emissions and Economic Growth: Evidence from a Panel of ASEAN

Jung Wan Lee,Tantatape Brahmasrene 연세대학교 동서문제연구원 2014 Global economic review Vol.43 No.2

This study examines relationships among information communications technology (ICT), carbon dioxide (CO2) emissions and economic growth. The panel annual data are constructed from 1991 to 2009 for nine members from the Association of Southeast Asian Nations. The study examines the long-run equilibrium relationship using cointegration techniques and the short-run relationships using cointegrating regression estimation methods. Test results indicate a long-run equilibrium relationship exists among these variables. Among these relationships, ICT shows significant to highly significant positive effects on both economic growth and CO2 emissions. Significant to highly significant inverse bidirectional relationships between economic growth and CO2 emissions are found in the region. Based on these empirical findings, further policy implications for economic growth, ICT and CO2 emissions are discussed.

Long-Run and Short-Run Dynamics Relationships between Exchange Rate Fluctuations and Foreign Direct Investment Flows in China

Lee,Jung Wan,Brahmasrene,Tantatape 한국유통과학회 2019 KODISA ICBE (International Conference on Business Vol.2019 No.-

This research explores the short-run and long-run dynamic relationships between exchange rate fluctuations and foreign direct investment (FDI) inflows in China. Monthly time series data from the National Bureau of Statistics of the People’s Republic of China are analyzed by employing co-integration tests, vector error correction models, Wald tests and impulse responses. The empirical results indicate that a change in exchange rates negatively affects FDI inflows in the long run while there exists no evidence of short-run dynamics and reciprocal feedback between exchange rate fluctuations and FDI inflows. Furthermore, a structural break occurs during the 2007-2009 Asian financial crisis shock to FDI inflows in China.

전자상거래 제공자의 외형적 환경(環境)이 사용자 편익(便益) 평가와 전자상거래 채택(採擇)에 미치는 영향

이정완 ( Jung Wan Lee ),김영이 ( Young Ei Kim ),Tantatape Brahmasrene 한국유통경영학회 2009 유통경영학회지 Vol.12 No.5