VKOSPI를 이용한 통화정책신호가 시장참여자의 기대형성에 미치는 영향에 관한 연구 = A Study on the Impact of monetary policy signal using VKOSPI on the expectation of market participation

다국어 초록 (Multilingual Abstract)

The objective of this study is to investigate response of market in the period of monetary policy. This study conducts the event-study methodology. I employ the VKOSPI index as the proxy of market expectation. I find that the change of implied volatility index in the period of monetary policy announcement. The VKOSPI index is significantly dropped before the policy meeting day. After the meeting day, The index is significantly increased. I analysis the movement of implied volatility that the deference of high and low volatility period The movement of implied volatility is deferent between the high and low volatility period. Then, I analysis the movement of implied volatility that each kind of policy meeting. I find the deference movement pattern of implied volatility by each meeting.

목차 (Table of Contents)

• Ⅰ. 서론 1
• Ⅱ. 이론적 배경 및 선행연구 4
• 1. 이론적 배경 4
• 1.1 통화정책의 목표 4
• 1.2 통화정책의 파급효과 5
• 2. 선행연구 8
• Ⅲ. 자료 및 연구방법론 13
• 1. 자료 13
• 2. 변동성 지수의 계산 14
• 2.1 VIX의 계산 15
• 2.2 VKOSPI의 적용 17
• 3. 연구방법론 19
• Ⅳ. 실증분석 22
• 1. VKOSPI와 KOSPI200지수의 특징 및 기초통계 22
• 2. 금융통화위원회기간동안의 VKOSPI, 기초 자산 수익률의 움직임 29
• Ⅴ. 요약 및 결론 50
• 참고 문헌 53
• Abstract 56