무역기업의 위험관리를 위한 유가와 금융위험 분석

This paper estimates interest rate, stock price, and exchange rate changes in Korean financial market to identify the structural effects of external factors and presents a statistical decomposition of the rate by means of a structural VAR using daily and monthly data. Key findings include the following: First, the responses of oil price, interest rate, stock price, and exchange rate to structural shocks are appeared very weakly and most of responses were caused by the shocks itself. Second, theoretical relationship among variables in this study is more realized in the long-run than short-run. Third, the correlation between oil price and stock price is appeared relatively large in monthly data analysis. It implies that oil price shock have an effect on stock price and exchange rate as a cost factor as well as the shocks of stock price and exchange rate effect on oil price change with demand factor as a result of economic activities. It is recommended, for more correct forecast and effective financial risk management, that considering with variable related factors such as trade volume in the short run and the trend of domestic and world economic performance in the long run.