Markov-switching causality test of stock returns and exchange rate changes for six OECD countries during the US financial crisis마르코브 국면전환을 이용한 미국 금융위기 기간 내 OECD 6개국의 주식 수익률과 환율 변화의 인과관계 분석

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This paper investigates the Regime-switching causality between stock returns and exchange rate changes for six OECD countries during the US financial crisis. Using a Markov-switching VAR model, we find changing patterns of causality and show that the lead of exchange rate changes over stock return changes is noticeable in a high-variance regime as compared to low-variance regime. However, UK does not show any causal relationship during this period.
Advisors
Min, Hong-Ghiresearcher민홍기
Description
한국과학기술원 : 경영과학과,
Publisher
한국과학기술원
Issue Date
2013
Identifier
514789/325007  / 020123675
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 경영과학과, 2013.2, [ iii, 36 p. ]

Keywords

Markov-switching VAR model; exchange rate changes; stock returns; US financial crisis; 마르코브 국면전환 VAR 모형; 환율 변화; 주식 수익률; 미국 금융 위기; OECD 6개국; six OECD countries

URI
http://hdl.handle.net/10203/181895
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=514789&flag=dissertation
Appears in Collection
MG-Theses_Master(석사논문)
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