한국의 자본자유화에 따른 미국 금융변수의 한국 금융변수에 대한 영향 분석

Abstract

The main objective of this thesis is to investigate the direction and magnitude of reponses in the major financial variables (stock price, exchange rate and interest rate) of Korea, which were induced by the change of exchange rate regime after the IMF crisis of 1997 and by the financial shocks from the U S. For analytical tools, I used the methodology of the Impulse Response Function arid the Variance Decomposition in order to find of the effect of the financial shocks in the two variables (stock price and interest rate) of the US. on the three financial variables (stock price, exchange rate and interest rate) of the Korea. Since those variables are found to be nonstationary and cointegrated, I used the VECM (vector error correction model) rather than traditional VAR model.. The main results could be summarized as follows. After the IMF crisis of 1997, it is confirmed that the degree of interconnection between the economy of the U.S. and ours has been notably increased due to the enhanced degree of the so-called 'globalization' and the 'global standard' in our society. Hence the effect of financial shocks from the U.S. on the our economy has been remarkably increased. That is to say, after the IMF crisis of 1997, our financial variables (stock price, exchange rate and interest rate) became more sensitive to any kinds of the changes or events which were originated in the U.S.