주택가격지수, 원/달러환율, 코스피간의 상호 관련성에 관한 연구

The purpose of the paper is to investigate the information spillover effects among won-dollar exchange rate, KOSPI, national apartment price index, Seoul apartment price index. The paper employs monthly data covering from January, 1986 to April, 2020. The main results are as follows. Firstly, the returns of KOSPI have predictive power for the returns of won-dollar exchange rates is rejected at the 10% statistically significant level. But the returns of won-dollar exchange rates don’t have predictive power for the returns of KOSPI. Secondly, the returns of KOSPI have predictive power for the returns of national apartment price index is rejected at the 5% statistically significant level. But the returns of national apartment price index don’t have predictive power for the returns of KOSPI. Thirdly, the returns of KOSPI have predictive power for the returns of Seoul apartment price index is rejected at the 5% statistically significant level. But the returns of Seoul apartment price index don’t have predictive power for the returns of KOSPI. This results can suggest the policy makers should consider won-dollar exchange rate and KOSPI when they manage the housing price policy. In spit of above results, the paper doesn't suggest the causes of the information spillover effects among won-dollar exchange rate, KOSPI, national apartment price index, Seoul apartment price index.