산유국의 경제정책 불확실성이 글로벌 금융․상품시장에 미치는 영향

This study is to investigate the effect of economic policy uncertainty in oil-producing countries that produce and export crude oil on the global financial market. Using the Economic Policy Uncertainty Index of oil-producing countries (U.S, Russia, Canada, China, Brazil), we will examine the impact on major global financial markets (stock, credit, energy, commodity markets) using the Diebold and Yilmaz (2014)’s spillover index method. The analysis results are as follows. First, it was found that the inter-connectedness between markets was time-varying and strengthened during the financial crisis. Second, it was seen that the connectedness to the global financial market over the whole period is dominated by the U.S and Canada, and the role of the stock market has become quite important since the 2008 global financial crisis. Third, as a result of network analysis by identifying the regimes, the impact of the country that is the main of the economic crisis is large depending on the period, and The China was a net recipient, but its role changed to a net transmitter since 2015 Chinese stock market turbulence. These results help policy makers understand national economic policy uncertainty and connectedeness to global financial markets and intuitively identify transmission paths, providing useful information for policy makers to respond to economic crises, and help investors form a more efficient portfolio.