예상도산확률(EDP)에 대한 거시경제변수의 영향분석

The purpose of this study is to analyze if macroeconomic variables which are known as the impact on stock price(KOSPI)) have an impact on EDP(expected default probability) in Korea Stock Market using VECM (Vector Error Correction Model). The results are as follows: First, the correlation coefficient between KOSPI and EDP is about -61.8%. Therefore, the correlation between KOSPI and EDP is highly negative. Second, as results of unit root tests, the level variables of KOSPI, EDP, macroecnomic vables[index of industrial procuct(IP), oil price(WTI), liquidity aggregates of financial institutions(LF), bond rate(BOND), consumer price index(CPI), the ratio of unit value indexes of exports divided by unit value indexes of import(EXIM), and exchange rate(EX)] which have unit roots are non-stationary, but the first differenced variables which don't have not unit roots are stationary. Third, as results of Johansen cointegration tests, between KOSPI and macroeconomic variables and between EDP and macroeconomic variables, there are at least more than 2 cointegration relation. Fourth, as results of estimation of long run equilibrium relation, macroeconomic variables except BOND show the reversal impact on KOSPI and EDP. Finally, the reponses of KOSPI and EDP to the impulse of macroeconomic variables also have the reversal impact. In conclusion, the study shows that macroeconomic variables which are known as the impact on stock price(KOSPI) have an interactive impact on EDP in Korea Stock Market.