MACROECONOMIC STRUCTURAL CHANGES IN A LEADING EMERGING MARKET: THE EFFECTS OF THE ASIAN FINANCIAL CRISIS

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This study investigates stock market behavior in response to money supply, financial, aggregate spending, and aggregate supply shocks within a structural vector autoregression framework. Analyzing financial and macroeconomic data from the Korean market, a globally leading emerging market, we find that each type of macroeconomic shock has a significant effect on the price level and that real stock returns react positively (negatively) to aggregate supply (spending) shocks. Cumulative impulse response analyses suggest that the Korean economy's structure changed significantly following the Asian financial crisis. The results by industry sector indicate that, although the manufacturing and financial sectors share similar impulse response structures, the financial crisis' effects on the two sectors differ significantly.
Publisher
INST ECONOMIC FORECASTING
Issue Date
2018-07
Language
English
Article Type
Article
Keywords

OIL PRICE SHOCKS; STOCK RETURNS; MONETARY-POLICY; INFLATION ILLUSION; REAL ACTIVITY; VECTOR AUTOREGRESSIONS; INTEREST-RATES; ASSET RETURNS; OPTION MARKET; TIME-SERIES

Citation

ROMANIAN JOURNAL OF ECONOMIC FORECASTING, v.21, no.2, pp.22 - 42

ISSN
1582-6163
URI
http://hdl.handle.net/10203/244675
Appears in Collection
MT-Journal Papers(저널논문)
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