IDEAS home Printed from https://ideas.repec.org/a/bok/journl/v25y2019i3p70-99.html
   My bibliography  Save this article

The Effects of Financial Market Uncertainty: Does Regime Change Occur During Financial Market Crises? (in Korean)

Author

Listed:
  • Seewon Kim

    (Department of Economics, Chonnam National University)

Abstract

Using a stochastic volatility-in-mean VAR model consisting of the KOSPI index, the foreign exchange rate, the government bond rate, and the credit spread, this study investigates the effects of financial market uncertainty on financial markets. We find that higher uncertainty has recessionary effects on financial markets. The effects are especially stronger in equity markets and in won-dollar exchange markets. We also find that the effects of uncertainty become stronger during times of financial market stress compared to normal times. Finally, the results imply that financial market uncertainty may potentially affect the real sector, too.

Suggested Citation

  • Seewon Kim, 2019. "The Effects of Financial Market Uncertainty: Does Regime Change Occur During Financial Market Crises? (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 25(3), pages 70-99, September.
    • Handle: RePEc:bok:journl:v:25:y:2019:i:3:p:70-99
    as

    Download full text from publisher

    File URL: https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?menuNo=500783&atchFileId=FILE_000000000013555&fileSn=1
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Uncertainty; Stochastic volatility; Economic crisis; SV-in-mean VAR model; Regime change;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bok:journl:v:25:y:2019:i:3:p:70-99. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Economic Research Institute (email available below). General contact details of provider: https://edirc.repec.org/data/imbokkr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.