A Study on relationship between exchange rate and Stock prices prior to and post U.S. and Japan Quantitative Easing Monetary Policy - evidence from Korea
Date Issued
2013
Date
2013
Author(s)
CHO, SOOYEON
Abstract
This study mainly investigates how the U.S. and Japan Quantitative Easing Policy affect the relationships between Korea stock prices and exchange rates. In this research, use the series of econometric analysis methods (Unit Root Test, Co integration Test, VAR, VECM, Granger Causality Test and Impulse Response) to estimate whether the relationships between Korea stock prices (KRX100, KRX IT, KOSPI, KOSPI 200, KOSDAQ, KOSDAQ Star and KOSDAQ IT) and exchange rates(KRW/USD and KRW/JPY) had changed after U.S. and Japan Quantitative Easing Policy.
This Paper divided into four parts: Prior to U.S QE1, post U.S QE1, Prior to and Post Japan’s Abenomics.
Consequently, this study shows that: 1) Before the U.S. QE1, there are bilateral relationships between KRW/USD and KRX100, KRX IT, KOSPI, KOSPI 200. But KRW/USD and KOSDAQ, KOSDAQ Star and KOSDAQ IT have uni- directional causality running from exchange rate to stock prices. 2) After the U.S QE1, KRW/USD and KOSDAQ, and KOSDAQ Star and KOSDAQ IT have uni- directional causality running from exchange rate to stock prices. But relationships between KRW/USD and KRX100, KRX IT, KOSPI, KOSPI 200 are independent.3) Before the Japan Abenomics, there is uni- directional causality running from stock prices to exchange rate. 4) After the Japan Abenomics, relationships between KRW/USD and KRX100, KOSPI, KOSPI 200 have changed to independent.
This paper concludes that in Korea, the correlation between stock and foreign exchange markets becomes lower after the U.S. and Japan Quantitative Easing Policy.
Subjects
量化寬鬆貨幣政策
匯率
股價
共整合
向量自我回歸模型
誤差修正模型
Granger因果關係檢定
衝擊反應函數
Type
thesis
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