국면전환모형을 고려한 주가와 환율간의 관련성에 대한 연구

This paper was to investigate the relationship between the stock market and foreign exchange market for Korea and the BRICS countries with the Markov-switching models. First, the coefficients in regime 1 for Russia and China and regime 2 for Korea corresponded with the results of the flow-oriented models. And the coefficients in regime 2 for Korea and Russia coincided with the results of the stock-oriented models. Second, we used MS-VAR to discover regime shifts behavior in the stock returns and exchange rates of Korea and the BRICS countries, and found evidence to support the distinct regimes for all markets, a low volatility regime and a high volatility regime. Third, by taking into account the volatility of the stock returns and the exchange rates during the late 1990s including Asia's financial crisis and the late 2007s the global financial crisis originated in the U.S., we found that the stock and the exchange markets of the time-varying BRICS countries reacted differently significantly to these major events, with the movements of the U.S. dollar value and this results showed that there were instable prominent structural changes. Thus, the dynamic linkages between the stock returns and the foreign exchange rates in Korea and the BRICS countries showed that the exchange rate changes affected partly the stock returns, and vice versa through the MS-VAR models. We confirmed that simultaneous structural changes were markedly occurred in the contraction regime due to the strong symmetric or asymmetric volatility shocks.