DCC-MGARCH모형을 이용한 우리나라 금융시장의 동태적 조건부 상관관계 분석

초록

In this paper, volatilities of financial markets and dynamic conditional correlations between financial markets are explored using Engle(2002)'s DCC-MGARCH(dynamic conditional correlation-multivariate generalized autoregressive conditional heteroskedasticity) model. The won/dollar foreign exchange market, the domestic stock market, and the corporate bond (three-year maturity) market are considered. After the financial crisis, volatilities of domestic stock and won/dollar foreign exchange markets are increased as a result of widening liberalization of stock and foreign exchange markets. The volatility in the corporate bond, however, was decreased as a result of a change in the monetary policy regime that the volatility of the call rate was restricted by the central bank after introducing the inflation targeting. Regarding the behavior of conditional correlation, the speed parameter of mean-reversion and the width of DCC's oscillation are larger after than before the financial crisis. This is because volatilities of both stock and won/dollar foreign exchange markets increased after the crisis as domestic financial markets response sensitively to information of domestic and foreign financial markets in the era of more open domestic financial markets.

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