신용등급 차이와 주가붕괴위험

전경민,이재형 한국회계학회 2022 회계저널 Vol.31 No.3

In general, credit rating agencies have access to corporate information that is not disclosed to individual investors and provide investors with information on credit rating through professional analysis, thereby reducing the information asymmetry between firm and investor and increasing the efficiency of resource allocation. As such, credit rating provided by credit rating agencies play an important role in the capital market. Since 1995, Korea has been required to receive credit ratings from two or more the credit evaluation agencies to improve the objectivity of credit rating and increase fairness and reliability. However, when there is an information asymmetry between credit rating agencies, credit rating are reported differently. In addition, the credit rating may vary depending on the information environment of the firm and the information analysis ability of the credit rating agency. Credit rating has a signal effect on suppliers and investors of funds in the capital market. Credit rating agencies evaluate the financial risk and business risk based on non-financial information as well as corporate financial data. However, credit rating agencies have no obligation to verify the reliability of the information provided by the firm. In other words, the credit rating agency is not an auditor, so it doesn’t fully understand the accounting assumptions for financial reports and doesn’t fully reflect the problem of information uncertainty in accounting information. Generally, investors use the credit rating provided by credit rating agencies in their investment decisions due to restrictions on information access and analysis capabilities. However, if there is a difference in credit ratings provided by credit rating agencies, the split credit rating is expected to be valuable for investors as additional information as well as the credit rating itself. The purpose of this study is to examine the relationship between split credit rating and stock price crash. Specifically, we examine whether firms with split credit rating have higher stock price crash risk. The sample of this study is 2,545 Korea listed firm-year observations from 2001 to 2019. Empirical findings are summarized as follows. First, we find that firms with split credit rating have significantly higher stock price crash risk. Second, firms have higher stock price crash risk when they are below(above) their expected rating. Specifically, we find higher stock price crash risk when the credit rating reported by credit agencies lower than expected rating. The impact on credit rating evaluation vary depending on firm’s information environment. When firms have higher information asymmetry, they are more likely to have split credit rating. The difference in credit rating is due to information asymmetry, and firms with split credit rating have greater information asymmetry, which can be interpreted as a high risk of stock price crash. Our study makes several contributions to the literature. First, consistent with the literature demonstrating that the information asymmetry leads to stock crash risk, this paper provides evidence that split credit rating, using at least two or more credit ratings, increase stock price crash risk. Second, nowadays, despite of a growing number of study on the effect of split credit rating in various fields, it is largely unexplored in accounting literature. This study extends to the literature by relating credit rating to capital market reaction such as stock price crash. Third, investors may have difficulties in analyzing the financial status only with the information provided by the firm due to restrictions on information access and ability. Therefore, investors use the information provided by credit rating agencies in making their investment decisions. This study provides investors with additional useful information as the meaning of the difference in credit rating by providing the empirical results of the impact of the split credit ... 본 연구는 2001년부터 2019년까지 국내 신용평가기관들에 의해 제공된 국내 상장기업들의 신용등급자료를 이용하여 신용등급 차이와 주가붕괴위험 간의 관계를 실증 분석하였다. 주요결과는 다음과 같다. 첫째, 신용등급 차이(Split credit rating)가 있는 기업은 그렇지 않은 기업에 비해 주가붕괴위험이 유의하게 높은 것으로 나타났다. 둘째, 신용평가기관이 발표하는 발표신용등급과 기업 스스로 추정한 기대신용등급 간의 차이가 있는 기업의 경우에도 주가붕괴위험이 큰 것으로 나타났으며, 구체적으로는 기대신용등급이 발표신 용등급보다 높은 경우 이러한 관계가 더 크게 나타났다. 기업의 정보 환경에 따라 신용등급평가에 미치는 영향은 달라질 수 있으므로 정보불균형이 존재하는 경우 각 신용평가기관이 발표하는 평가등급은 다를 수 있다. 또한 발표신용등급과 기대신용등급의 차이가 존재하는 경우에도 이들 간의 정보비대칭이 기인한 것으로 보인다. 즉, 외부 정보이용자로 알려진 신용평가기관이 정보불균형의 문제를 완전히 제거할 수 없기 때문에 이러한 정보비대칭 문제가 기업의 주가붕괴위험에 영향을 미치는 것으로 해석된다. 최근 신용등급 차이가 미치는 영향을 분석한 연구들이 다양한 분야에서 활발히 이루어지고 있음에도 불구하고 회계 관련 분야에서는 아직 이에 대한 연구가 활발히 이루어지지 않은 실정이다. 따라서 신용등급 차이가 주가붕괴현상에 미치는 영향을 살펴본 본 연구는 다음과 같은 공헌점을 갖는다. 첫째, 신용등급 차이가 자본시장에 미치는 영향을 분석한 연구로서 신용등급의 영향을 살펴본 기존의 선행연구를 확장하였다는데 그 의의가 있다. 둘째, 투자자들은 기업이 제공하는 투자 정보만으로는 기업의 재무상태를 판단하기 어려울 뿐만 아니 라 정보 접근 및 분석능력의 제약으로 인해 투자위험에서 노출될 수 있다. 따라서, 신용평가기관이 제공하는 투자등급⋅투기등급과 같은 신용등급을 투자자들이 의사결정에 활용하기도 하지만, 각 기관들이 제공한 신용등급이 차이가 있는 경우를 파악하는 것도 투자자 에게는 추가적이고 유용한 정보가치가 될 것으로 기대된다.

IMF이후 신용등급의 질이 향상되었는가?

오희장(Hee Jang Oh) 한국경영학회 2003 經營學硏究 Vol.32 No.2

The objective of this study is to teat whether the quality of credit rating after the IMF Bailout for Korea has changed any significant way from the quality of credit rating before the IMF Bailout. The sample of the study consists of 829 observations drawn from credit rating agency A(297) and credit rating agency B(532) from the period of September 1998 to December 2000, The stock price impact of credit rating announcements is estimated by the CP`s ratings, using daily abnormal returns generated by the market adjusted model for 23 trading days from -12 days to +10 days surrounding the credit rating announcement event day 0. Findings of this study include the follows: First. the stock price reactions to the directions of rating changes are different from each other for the period before and after the IMF bailout, Namely, the upgrading of credit ratings would have positive effects on stock prices and the downgrading negative effects in the period before IMF bailout(from January 1995 to June 1997) . but both upgrading and downgrading of credit rating have negative effects on stock prices in the Period after the IMF bailout. Specifically, after the IMF bailout. the upgrading of credit ratings have lower on stock price reactions than the unchanged of credit rating. Second, the stock price reactions to the degree of changes in credit rating differ before and after the IMF bailout, Before the IMF bailout, the greater degree of the changes, the greater Price reactions, and after the IMF bailout, no such expectations Prevail. Third, before the IMF bailout, the higher credit ratings were related to the higher stock prices, vice-versa, no such conditions were met after the IMF bailout. Noteworthy is that the above findings concur on sample data drawn from two different reference credit rating agencies. Implications of this study include the following: as far as credit rating business is concerned, the business has retrogressed, and perhaps the minute analysis is called for .Lenders as well as investors should be aware of the changes in the relationship between changes in credit ratings and their respective price reactions, It is hoped that those concerned with credit ratings and their relevance, and reliability, if not credibility, Pay attention to the findings and implications of this study for further research.

신용등급과 채권시장의 정보 효율성: 개별 주가와 신용스프레드의 동태적 패널 분석

김우철 ( Woo Cheol Kim ),원승연 ( Seung Yeon Won ),이건범 ( Keon Beom Lee ),이기영 ( Gi Young Lee ) 한국금융학회 2009 금융연구 Vol.23 No.1

본 연구는 Merton(1974)의 논의를 기초로, 시장 참여자들이 특정한 기업 정보가 주식 및 채권가격에 미치는 영향을 고려하여 그 정보에 상이하게 반응할 유인이 존재하며, 이러한 시장참여자들의 행태가 주식시장과 채권시장간의 정보의 선행성을 신용등급별로 차별화시킬 가능성을 제시하였다. 한국에서 발행된 회사채의 신용스프레드와 채권 발행 기업의 주가간의 관계를 Arrelano and Bond(1991)의 동태적 패널 추정법을 이용하여 실증 분석한 결과, 신용등급이 높은 기업의 경우에는 주식시장이 채권시장보다 선행적이나, 신용등급이 낮은 등급의 경우 주식시장의 선행성이 존재하지 않을 뿐 아니라 부분적으로는 채권시장이 선행적일 수 있음을 밝혔다. 그리고 신용등급이 높은 기업의 경우 주가가 기업이익의 변화에 반응하나, 신용등급이 낮은 기업의 경우에는 신용스프레드가 기업이익 변화에 반응함을 확인하여, 신용등급별 주식시장과 채권시장간의 선행성이 차별적으로 나타나는 현상이 시장 참여자의 기업정보에 대한 반응, 곧 정보 효율성의 차이에 기인할 수 있음을 제시하였다. Based on Merton (1974)`s argument on asset pricing, this study suggests a possibility that investors in the bond and stock markets have an incentive to respond in a different way to some firm-specific information, noting its different effects on the stock and bond prices. It is also argued that such asymmetric behaviors in the stock and bond markets may generate a different lead-lag relationship between the prices of two markets. Applying the dynamic panel method in Arrelano and Bond(1991), our empirical analysis tries to confirm the above hypotheses through the data set for the stock prices and credit spreads of individual firms in Korea. Our results first show that the lead-lag relationship between the stock and bond markets depends on the credit ratings. In case of whole firms, while the empirical test shows the contemporaneous relationship between the stock and bond markets, it does not show the lead-lag relationship between two markets. However, the stock price leads the credit spread in the case of firms with high credit ratings. On the contrary, the stock price does not lead the credit spread in the case of firms with low credit ratings. Rather, the empirical test suggests that the credit spread may lead the stock price in case of low graded firms. This paper also examines how the responsiveness of stock and bond prices depends on the credit ratings of firms. According to the results, the stock prices of firms with high credit rating effectively respond to public earning news while the credit spreads do not. However, the credit spreads of low graded investible bonds effectively respond to public earning news while stock prices of firms with low grade do not respond to earning news. The empirical results imply that the traders` behavioral difference, not their capabilities for gathering the information, may have influence on the difference of information efficiency between stock and bond markets. In stock market, the traders have the incentive to concentrate on the higher credit rated firms than lower rated firms. Therefore, under the same information, the stock market spreads the information more rapidly than the bond market. On the contrary, the traders will be more concerned with the lower rated firms in bond market. If so, the bond market will spread the information of lower rated firms more rapidly than the stock market. As a result, even if the stock market is more efficient than the bond market in general, the bond market may have more information efficiency in the case of lower rated firms. In conclusion, the traders` behavior can make the difference between two markets in spreading the information and, as a result, lead to the difference of information efficiency.

지렁이 개체군의 최적 사육밀도 추정

이주삼,노진환,박상수,이희충,Lee, Ju-Sam,Noh, Jin-Hwan,Park, Sang-Soo,Lee, Hee-Choong 한국유기농업학회 2012 韓國有機農業學會誌 Vol.20 No.3

사육밀도를 달리 했을 때 지렁이 개체군의 생체량 증가를 위한 최적 사육밀도를 추정하려고 하였다. 실험결과를 요약하면 다음과 같다. 1. 사육밀도 S-2과 S-3에서 상대증체량, 생체중 증가율과 유기물 전환효율이 높은 값을 나타내어, 지렁이 개체군의 최대 생체량을 얻기 위한 최적 사육밀도로 추정되었다. 이를 지렁이 생체중과 먹이량의 비율로 나타내면 1:32-1:48의 범위였다. 2. 사육밀도 S-1(1:16)에서 모든 조사시기의 분립생산량이 유의하게 많았고 분립비율도 유의하게 높았다($$P{\leq_-}0.05$$). 3. 사육밀도 S-3(1:48)에서 지렁이 생체중당 난포수와 분립생산량이 가장 많았다($$P{\leq_-}0.05$$). 4. 사육밀도가 높아지고 사육기간이 길어짐에 따라 분립의 전 질소함량, 유효인산함량, 양이온치환능력(CEC) 및 양이온 함량이 증가되는 경향이었다. 5. 유기농업에서 지렁이 분립은 상토 재와 토양개량제 및 작물보호를 위한 농자재로서 잠재적 유용성은 매우 높다고 판단된다. This experiment was carried out to investigate the optimal stocking rate of earthworm populations grown under different stocking rates. The stocking rate in terms of ratio of biomass of earthworms to biomass of feeds(organic resources) is an important factors for biomass productivity of earthworms and vermicast production. The different stocking rates were 1:16(S-1), 1:32(S-2), 1:48(S-3) and 1:64(S-4), as the ratios of biomass of earthworm to biomass of organic dairy cow manure, respectively. The stocking rate of 1:32(S-2) and 1:46(S-3) were obtained a higher values on increasing rates and conversion efficiency of organic matter to earthworm biomass than other stocking rates. Thus, a stocking rates of 1:32 and 1:46 estimated an optimal stocking rates for maximum biomass productivity of earthworms. A stocking rate of 1:16(S-1) showed a significantly highest values of vermicast production and ratios of vermicasts during the rearing periods.($$P{\leq_-}0.05$$) A stocking rate of 1:48(S-3) showed a highest values of the number of cocoons and vermicasts production per earthworm biomass among the treatment ($$P{\leq_-}0.05$$) The contents of nitrogen, available phosphorus, cation exchange capacity and exchangeable cations of vermicasts tended to increase with stocking rate and rearing progressed. Vermicasts have a great deal of potential for crop production and protection in sustainable organic cropping systems.

IMF 이후 신용등급의 질이 향상되었는가?

오회장 한국경영학회 2003 經營學硏究 Vol.32 No.2

The objective of this study is to test whether the quality of credit rating after the IMF Bailout for Korea has changed any significant way from the quality of credit rating before the IMF Bailout. The sample of the study consists of 829 observations drawn from credit rating agency A(297) and credit rating agency B(532) from the period of September 1998 to December 2000. The stock price impact of credit rating announcements is estimated by the CP's ratings, using daily abnormal returns generated by the market adjusted model for 23 trading days from -12 days to +10 days surrounding the credit rating announcement event day 0. Findings of this study include the follows: First, the stock price reactions to the directions of rating changes are different from each other for the period before and after the IMF bailout. Namely, the upgrading of credit ratings would have positive effects on stock prices and the downgrading negative effects in the period before IMF bailout(from January 1995 to June 1997), but both upgrading and downgrading of credit rating have negative effects on stock prices in the period after the IMF bailout. Specifically, after the IMF bailout, the upgrading of credit ratings have lower on stock price reactions than the unchanged of credit rating. Second, the stock price reactions to the degree of changes in credit rating differ before and after the IMF bailout. Before the IMF bailout, the greater degree of the changes, the greater price reactions, and after the IMF bailout, no such expectations prevail. Third, before the IMF bailout, the higher credit ratings were related to the higher stock prices, vice-versa, no such conditions were met after the IMF bailout. Noteworthy is that the above findings concur on sample data drawn from two different reference credit rating agencies. Implications of this study include the following: as far as credit rating business is concerned, the business has retrogressed, and perhaps the minute analysis is called for. Lenders as well as investors should be aware of the changes in the relationship between changes in credit ratings and their respective price reactions. It is hoped that those concerned with credit ratings and their relevance, and reliability, if not credibility, pay attention to the findings and implications of this study for further research. 본 연구는 IMF이후 신용등급의 공표에 따른 주가반응을 통해 신용등급의 질을 분석하고자 하였다. 이를 위해 1998년 하반기부터 2000년까지 신용평가회사 A에서 기업어음의 신용등급이 공표된 297건과 신용평가회사 B에서 공표된 532건을 표본으로 선정하여, 신용등급의 공표에 따른 변경방향 및 변경정도, 신용등급별 주가반응의 행태를 검증하였다. 분석결과를 요약하면, 먼저 IMF 이후에는 신용등급이 상향변경된 집단이 부(-)의 부호에서 신용등급이 변경되지 않은 집단보다 낮은 주가반응을 보여주었다. 이는 IMF 이전에 신용등급이 상향변경된 집단은 정(+)의 부호에서 신용등급이 변경되지 않은 집단에 비해 높은 주식수익률을 기록하고, 신용등급이 하향변경된 집단은 보다 낮은 부(-)의 비정상수익률을 기록했던 것과는 다른 결과이다. 또한 신용등급이 하향변경된 경우 부(-)의 주가반응을 보인다 하더라도 변경정도에 따른 서열성은 전혀 나타나지 않았다. 마지막으로 IMF 이전에는 신용등급에 따른 순차적인 주가반응을 보인데 비해, IMF 이후에는 이러한 차별성은 나타나지 않았다. 이러한 현상들은 분석을 위해 사용된 2개 신용평가회사에서 공표된 신용등급에서 동일하게 나타났다. 이러한 결과는 IMF 이후 신용등급 공표에 따른 주가반응이 논리적 추론 또는 IMF 이전의 주가반응과는 다른 현상으로, 이는 신용등급의 질이 상대적으로 낙후된 것으로 분석될 수 있다. 본 연구를 통해 얻은 결과는 신용평가의 신뢰성을 제고하는 계기를 제공할 것이며, 또한 신용등급정보의 이용가능성에 대한 자료로 제공될 수 있을 것으로 기대된다. 한편 본 연구에서 사용된 방법론은 신용등급의 질을 분석하거나, 연구자료로서의 이용가능성 등을 탐색하는 모형으로 활용될 수 있을 것이다.

KOSPI지수 및 KOSDAQ지수와 환율과의 상호연관성에 관한 연구

김주일 ( Joo Il Kim ) 한국금융공학회 2013 한국금융공학회 학술발표회 Vol.2013 No.2

본 논문은 한국거래소(KRX)에서 제공한 KOSPI지수 및 KOSDAQ지수와 한국은행에 서 제공한 원 달러 환율간의 지수와 수익률 자료를 가지고 상호간의 연관성을 분석하는 데 있다. 표본자료는 2010년 1월 1일부터 2013년 9월 30일까지의 일별 주가지수와 일별 원 달러 환율을 사용하였으며, VAR모형을 이용하여 그랜저 인과관계분석(Granger Causality test)과 충격반응분석(Impulse Response Function) 및 분산분해(Variance Decomposition)를 실시하였다. 주요 분석결과는 다음과 같다. 첫째, 그랜저 인과관계 분석결과 KOSPI지수 및 KOSDAQ지수와 원 달러 환율 간 F통계량 값이 유의수준에서 모두 기각이 되어 상호간에 예측력이 있음을 알 수 있었다. 둘째, 충격반응분석결과 KOSPI지수는 원 달러 환율에 시차2 까지 음(-)의 영향을 미치다가 사라졌으나, 원 달러 환율은 KOSPI지수에 미세한 영향을 미 치고 있음을 나타내었다. 또한 KOSDAQ지수는 원 달러 환율에 시차2까지 음(-)의 영향을 미치다가 이후 시차4까지 양(+)의 영향을 미치다가 점차 사라졌으며, 원 달러 환율은 KOSDAQ지수에 시차2까지 양(+)의 영향을 미치다가 이후 음(-)의 영향을 미치다가 시차4 에서 사라짐을 발견하였다. 마지막으로 분산분해 분석결과 KOSPI지수는 시차2~시차10 까지는 0.02%의 원 달러 환율 변화량에 의해 영향을 받았으며, 환율의 경우 시차 1~시차10까지 36.09%~35.98%가 KOSPI지수에 의한 변화량에 의한 것임을 알 수 있게 하였다. KOSDAQ지수는 시차2~시차10까지 0.11%~1.35%의 원 달러 환율 변화량에 의해 영향을 받았으며, 원 달러 환율의 경우는 시차1~시차10까지 23.2 3%~23.26%의 KOSDAQ지수에 의한 변화량에 의한 것임을 알 수 있게 하였다. 이 러한 분석결과는 KOSPI지수 및 KOSDAQ지수와 원 달러 환율 상호간에 영향을 미치고 있 음을 알 수 있게 하였으며, 국내 금융시장에서 활발하게 투자하고 있는 외국인들의 투자금 액과 투자비율의 증감에 따라서 환율과 주가지수가 변화한다는 것으로 추론할 수 있다. 즉 외국인들이 국내 주식을 매수하고 매도하는 비중에 따라서 국내주가지수와 환율에 영향을 미치고 있다는 것으로 해석할 수 있다. 이와 같은 분석결과는 통화정책을 수립하는 한국은 행뿐만 아니라, 유가증권시장을 담당하는 한국거래소와 국내외 투자자들이 자산배분정책과 포트폴리오 정책을 수립하는데 유익한 시사점을 제공할 것으로 판단된다. 본 연구의 한계점으로는 유럽의 금융위기 전후인 구조변화를 구분하여 분석을 하지 못했던 점이며, 이에 대 하여는 차후 연구과제로 남기기로 한다. We examine the information transmission between the KOSPI Stock Price Index or the KOSDAQ Stock Price Index and WON/Dollar Exchange Rates, based on the returns data offered by KOREA Bank or KOREA Exchange. The data includes daily return data from January 2010 to September 2012. Utilizing a dynamic analytical too l- the VAR model, Granger Causality test, Impulse Response Function and Variance Decomposition have been implemented. The results of the analysis are as follows. Firstly, results of Granger Causality test suggests the existence of mutual causality the KOSPI Stock Price Index or the KOSDAQ Stock Price Index have explanatory power WON/Dollar Exchange Rates and WON/Dollar Exchange Rates as well precede and have explanatory power over the KOSPI Stock Price Index or the KOSDAQ Stock Price Index. Secondly, the results of impulse response function suggest that the KOSPI Stock Price Index show immediate response to WON/Dollar Exchange Rates are influenced by till time 3. From time 2, the impact gradually disappears. and the KOSDAQ Stock Price Index show immediate response to WON/Dollar Exchange Rates and are influenced by till time 4. From time 2, the impact gradually disappears. Lastly, the variance decomposition analysis showed a low influence of the KOSPI Stock Price Index or the KOSDAQ Stock Price Index on WON/Dollar Exchange Rates and significant influence of WON/Dollar Exchange Rates on the KOSPI Stock Price Index or the KOSDAQ Stock Price Index. This implies that returns on the KOSPI Stock Price Index or the KOSDAQ Stock Price Index have a significant influence over returns on WON/Dollar Exchange Rates. The study is a further extension of existing study on information transmission mechanism between Stock Price and WON/Dollar Exchange Rates. It contributes to the understanding of market price formation function through analysis of detached the KOSPI Stock Price Index or the KOSDAQ Stock Price Index and WON/Dollar Exchange Rates.

Discount-rate uncertainty, holding period, and the cross-section of stock returns

Dong Wook Lee 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.05

The discount rate determining a stock's sale price in the future—that is, the rate that discounts postsale cashflows—remains uncertain until the future sale date. As the stock price is a convex function of the discount rate, this discount-rate uncertainty raises the current stock price and thus lowers the stock’s expected return. In this paper, we gauge the economic importance of this discount-rate uncertainty effect. Specifically, we examine whether: (1) there is a negative cross-sectional relation between a stock’s return volatility and its future return, (2) the negative relation is more pronounced among stocks with a shorter holding period, (3) the negative relation is stronger when the per-share price is higher, and (4) the negative relation persists even when investor sentiment is low and even among stocks with low arbitrage costs. The second prediction is on the grounds that the future sale price is more important in stock valuation when the stock is sold in the nearer future. The third prediction stems from the fact that the convexity of a stock’s price is greater when the discount rate is initially low, or equivalently, when the price is initially high. The fourth prediction is due to no role of mispricing or market inefficiency in our hypothesis. Using data from the U.S., we find strong support for all the four predictions. Our hypothesis and empirical results thus offer an efficient market-based resolution for the so-called volatility puzzle that stocks with greater volatility earns a lower return in the future.

Uncertainty Channel between Stock Prices and Foreign Exchange Rates in Nepal

Do Hyun Kim,Subedi Shyam,Sang Kuck Chung 한국무역연구원 2015 무역연구 Vol.11 No.4

In this paper, three different versions of bivariate GARCH in mean models were considered to explain the relationship between uncertainty and average outcomes of the stock index and exchange rate. From the empirical results, the bivariate EGARCH-M is the best model to explain the volatility in the two markets. This paper revealed four important conclusions. First, there is a negative relationship between the exchange rates return and stock prices return, but the current exchange rates return is positively affected by the lagged stock prices return at 5% significance level. Second, the results provide strong empirical confirmation of the first hypothesis (that uncertainty in foreign exchange market has an effect on average stock prices) and third hypothesis (that uncertainty in stock market has an effect on average stock prices), implying a negative effect of stock index uncertainty and a positive effect of exchange rates uncertainty on average stock index. On the other hand, for the exchange rates equation, the GARCH-in-mean variables in AR modeling are significant. This shows that there is a positive effect of exchange rates uncertainty and a negative effect of stock index uncertainty on average exchange rates. Third, the coefficient on the lagged residual variance is greater for stock index than for exchange rates, implying that stock index shocks have longer lived effects on uncertainty in the stock market than exchange rates shock have on uncertainty in the foreign exchange market. Finally, from the magnitude of coefficient that shows the effect of the last period’s shock, volatility is more sensitive to its own lagged values than it is to new surprises in the foreign exchange market.

주식투자성과에 미치는 기준금리 변동의 영향

김선제(Sun-Je Kim) 한국무역연구원 2022 무역연구 Vol.18 No.6

Purpose – Since base interest rate change information affects stock prices with a time lag, the purpose of this study is to identify how much it affects stock returns for a certain period of time based on the base rate change date. Design/Methodology/Approach – The research method analyzed the effect of changes in the base interest rate, level of the base interest rate, and increase/decrease on stock investment performance with the stock index for ±20 days of base rate change from 2008 to November 2022. Findings – Stock returns for a certain period of time before and after the base rate change date were -0.33% in Korea and -1.08% in the US, respectively. The United States showed -1.46% and -0.70%, respectively. The daily stock return for a certain period was -0.02% in Korea and -0.04% in the US, and the daily stock return before and after the release of the base rate change was -0.07% and 0.03% in Korea and -0.09% and -0.01% in the US, respectively. appear. At the level of the base rate, in Korea, the base interest rate of 0.75% had lower interest rate, but the rate of return was negative, and the base rate of 1.25%, 1.75%, and 2.25% had both positive and negative rates of return. In the US, interest rates of 0.0% and 0.25% were low, but yields were negative, and rates of interest of 1.25% and 1.75% were both positive and negative. Research Implications – By empirically analyzing the impact of changes in the base interest rate on stock returns, it is to establish what investors should pay attention to when the central bank changes the base rate.

VAR모형을 이용한 주가, 금리, 물가, 주택가격의 관계에 대한 실증연구

김재경 한국유통과학회 2013 유통과학연구 Vol.11 No.10

Purpose -This study analyzes the relationship and dynamic interactions between stock price index, interest rate, price index, and housing price indices using Korean monthly data from 2000 to 2013,based on a VAR model. This study also examines Granger causal relationships among these variables in order to determine whether the time series of one is useful in forecasting another, or to infer certain types of causal dependency between stochastic variables. Research design, data, and methodology-WeusedKoreanmonthly data for all variables from 2000: M1 to 2013: M3. First, we checked the correlations among different variables. Second, we conducted the Augmented Dickey-Fuller (ADF) test and the co-integration test using the VAR model. Third, we employed Granger Causality tests to quantify the causal effect from time series observations. Fourth, we used the impulse response function and variance decomposition based on the VAR model to examine the dynamic relationships among the variables. Results -First, stock price Granger affects interest rate and all housing price indices. Price index Granger, in turn, affects the stock price and six metropolitan housing price indices. However, none of the Granger variables affect the price index. Therefore, it is the stock markets (and not the housing market) that affects the housing prices. Second, the impulse response tests show that maximum influence on stock price is its own, and though it is influenced a little by interest rate, price index affects it negatively. One standard deviation (S.D.)shock to stock price increases the housing price by 0.08 units after two months, whereas an impulse shock to the interest rate negatively impacts the housing price. Third, the variance decomposition results report that the shock to the stock price accounts for 96% of the variation in the stock price, and the shock to the price index accounts for 2.8% after two periods. In contrast, the shock to the interest rate accounts for 80% of the variation in the interest rate after ten periods; the shock to the stock price accounts for 19% of the variation;however, shock to the price index does not affect the interest rate. The housing price index in 10 periods is explained up to 96.7% by itself, 2.62% by stock price, 0.68% by price index, and 0.04% by interest rate. Therefore, the housing market is explained most by its own variation, whereas the interest rate has little impact on housing price. Conclusions-The results of the study elucidate the relationship and dynamic interactions among stock price index, interest rate, price index, and housing price indices using VAR model. This study could help form the basis for more appropriate economic policies in the future. As the housing market is very important in Korean economy, any changes in house price affect the other markets, thereby resulting in a shock to the entire economy. Therefore, the analysis on the dynamic relationships between the housing market and economic variables will help with the decision making regarding the housing market policy.