국제 금융시장 간 동조화와 거시경제 요인의 관련성에 대한 연구: 미국과 한ㆍ중ㆍ일 주식시장을 중심으로

초록

This study measures the degree of comovement of stock returns of three major Asian countries with those of the United States using a time-varying parameter (TVP) regression analysis model and analyzes whether the asymmetric shocks of macroeconomic factors can explain the changes in the comovement of international stock returns. In this process, the interest rate variable utilized the shocks to the level and slope of the yield curves of each country, which were estimated through the dynamic Nelson-Siegel (DNS) model. The analysis covering the period from 2006 to 2023 shows that in the case of the MSCI index, Korea maintained a heightened degree of comovement during the global financial crisis for a considerable period and later exhibited a stable pattern, while Japan showed a stable pattern throughout. In contrast, China displayed a very unstable pattern, demonstrating a distinct behavior compared to Korea and Japan. The empirical analysis did not find any distinct macroeconomic shock factors that influence the degree of comovement with the U.S. stock market. While the impacts of consumer prices and the shocks to the level and slope of the yield curve vary by period, country, and index, there were instances where they could explain stock market comovement. However, there were no instances where industrial production shocks could explain stock market comovement.

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