Interrelationships and volatility of the financial asset prices under capital flows: The case of Korea

被引:5
作者
Lee, Ki Seong [1 ]
Yoon, Seok [1 ]
机构
[1] KonKuk Univ, Dept Econ, Seoul 143701, South Korea
关键词
capital mobility; imperfect substitutability model between stocks and bonds; interrelationship; volatility;
D O I
10.1016/j.econmod.2006.09.002
中图分类号
F [经济];
学科分类号
02 ;
摘要
This study aims to clarify how the interrelationships among financial asset prices have changed after the Korean currency crisis in 1997. The empirical analysis shows that volatility of the financial asset prices increases substantially in the case of stock price shock and exchange rate shock. Strong effects of a stock price shock on the won/dollar exchange rate and the call rate implies that stabilization of the stock market is important for sustaining financial stability. Therefore, these results support imperfect substitutability between stocks and bonds in the framework of an asset market approach to exchange rate determination in Korea. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码:386 / 397
页数:12
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