Connectedness Approaches to Macroeconomic and Financial Time Series
- 발행기관 서강대학교 일반대학원
- 지도교수 이한식
- 발행년도 2020
- 학위수여년월 2020. 2
- 학위명 박사
- 학과 및 전공 일반대학원 경제학과
- UCI I804:11029-000000064871
- 본문언어 영어
- 저작권 서강대학교 논문은 저작권보호를 받습니다.
초록/요약
Measuring and monitoring connectedness from both macroeconomic and financial markets are essential for understanding transmission mechanisms among markets and their evolutions. This thesis uses the connectedness approach developed by Diebold and Yilmaz (2014, 2016). The advantage of the connectedness methodology is to analyze the degree of interdependence among various economic and financial markets. We investigate the cross-regional connectedness in the Korean housing market, the connectedness among Northeast Asian housing markets and business cycles, and the volatility connectedness among Northeast Asian financial markets. We also discuss the implications of time-varying spillover effects depending on policy implementation and/or economic conditions. The thesis consists of three empirical studies. The first chapter examines the cross-regional connectedness in the Korean housing market. The basic finding is that, among various combinations of regional housing markets in Korea, Seoul has been the most influential one. We also present evidence that other metropolitan cities affect only the neighboring regions. As for the results from the rolling-sample analysis, the net directional connectedness of Seoul appears to have declined over the sample period. Although Seoul still remains the center of the Korean housing market, neighboring regions have become increasingly more influential in affecting other regional markets. These findings suggest that the policy for balanced national development might have changed the transmission mechanisms in the Korean housing market. The second chapter investigates the connectedness among Northeast Asian housing markets and business cycles. We first examine the international linkages among housing markets in Northeast Asian countries: namely, China, Japan, and Korea. We then extend the analysis by including GDP to analyze the connectedness among housing markets and business cycles. The basic finding is that connectedness measures vary over the business cycles, with a surge during the global financial crisis. However, the international linkages among the three Asian housing markets seem rather weak. By including GDP in the model, we also find that housing market in one country is more affected by its own economic conditions than that of neighboring countries. Given earlier evidence that cross-regional spillover among domestic housing markets is high, this result suggests that housing market connectedness is more of a domestic cross-regional phenomena, rather than an international one. The third chapter discusses volatility connectedness among financial markets in Northeast Asia. In particular, we investigate various aspects of international linkage across different asset-class (stock, bond, foreign exchange) markets in China, Japan, and Korea. The basic finding is that the connectedness among Northeast Asian countries seems rather weak, while the US markets are an important source of network effects on financial markets in this region. As for the dynamic aspects of connectedness, we observe time-varying patterns in connectedness measures, with a surge around the global financial crisis. We also find evidence that the China has become more influential with the development of Chinese financial markets since the “new normal (Xinchangtai)” period.
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