금융시장과 실물경제간의 파급효과: 주식, 채권, 유가, BDI를 대상으로 = An Analysis on the Financial Markets and Real Economy

다국어 초록 (Multilingual Abstract)

We empirically examine the dynamic relationship between financial markets(KOSPI and bond index) and real economy(oil and BDI). The analysis employs the VAR, Granger causality, impulse response function and variance decomposition using daily data from 1/4/05 to 8/28/09. The main results are as follows; The findings in this paper indicate that structural change begins from 8/29/2008. KOSPI returns don`t have predictive power for the oil returns and the BDI returns, and vice versa from Granger causality test. But real economy has predictive power for the bond after structural change. The impulse responses show that it takes three days to reflect information shocks from the bond index returns to the oil returns before structural change. And it takes three days to reflect information shocks from the KOSPI returns to the bond returns after structural change. After structural change, real economy has higher explanatory power than that before structural change.

참고문헌 (Reference)

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