Bayesian Time-Varying Parameter VAR 모형을 이용한 아시아 주식시장과 경제정책 불확실성에 관한 연구

In this study, the economic policy uncertainty indexes and stock indexes of five Asian countries (Korea, China, Japan, India and Singapore) were used from January 2003 to July 2020 to analyze the uncertainty concentration of four other countries on one country's stock market and the impact of US economic policy uncertainty. The cross coefficients between the two indicators for calculating concentrations were estimated using the Time-Varying Parameter VAR model, and the impact of economic policy uncertainty on the stock market was also identified through the impulse response function. The results of the empirical analysis during the sample period presented in this study are as follows. First, the impact of economic policy uncertainty in Korea, Japan and Singapore stock markets was increasing, and the fall in China and India was shown, and the highest-level affected stock market was China. Second, the influence of uncertainties in U.S. economic policies reflected in the stock markets in Korea and Singapore has increased, while those in China, Japan and India have fallen. Third, the impact of the shock in the impluse response function is valid in the short term, while in Korea, China and Japan, the shock on the stock market is positive, but in India and Singapore, negative shocks have emerged. However, the impact of the U.S. economic policy uncertainty has been negative in four countries except Korea. These results suggest that while economic policy uncertainty is valuable investment information, the impact of the stock market shock will be considered in the short term.