10·21 부동산대책이 외환시장과 주식시장에 미친 영향에 관한 실증적 연구

Stock market return has less the reverse movement of foreign-exchange market return before 10·21 real estate policies. but Stock market return has more the reverse movement of foreign-exchange market return after 10·21 real estate policies. So this paper investigates on the influence of 5·23 real estate policies on return of the stock market and foreign-exchange market. We examine on the influence of 10·21 real estate policies on return of tthe stock market and foreign-exchange market for 500 daily data from October 10. 2006 to October 20. 2008 before 10·21 real estate policies and 500 daily data from October 21. 2008 to October 19. 2010 after 10·21 real estate policies. The analysis employs the vector-autoregression, impulse response function and variance decomposition using daily returns on the stock market and foreign-exchange market. This research showed following main results. First, from basic statistic analysis, both fthe stock market and foreign-exchange market have unit roots. Second, there is at least one cointegration between them. In addition, we find that the stock market return has the reverse movement of the foreign-exchange market return after 10·21 real estate policies.