유가와 환율, 주가 및 금리 간의 상호연계성 추정 = Estimating the Interconnection between Oil Prices and Exchange Rates, Stock Prices, and Interest Rates

다국어 초록 (Multilingual Abstract)

[Purpose]This paper analyses the volatility transmission mechanism between oil prices, exchange rates, stock prices, and interest rates.
[Methodology]I combine the Markov－switching VAR model to extend the Diebold and Yilmaz (2014) spillover index model.
[Findings]First, the aggregate volatility spillovers exhibit considerable time－series variability, with significantly higher aggregate volatility spillovers during the crisis, when volatility was high. Second, the volatility spillovers are asymmetric and market－specific, i.e., crude oil and foreign exchange markets are net importers of volatility from other markets, while equity and bond markets are net exporters. Third, the net position of each market did not change over the sample period. Fourth, the interdependencies and non－linearities between financial markets resulted in complex dynamics that made it difficult to predict their behaviour.
[Implications]This research suggests that global financial markets are closely interconnected and that shocks in one market can have a significant impact on other markets, which can be useful in designing effective risk management strategies in global markets. There is a need to institutionalise market stability programmes to prevent further volatility in financial markets. Several bodies need to be established and operationalised to monitor interdependencies and non－linearities across financial markets.

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