DOI QR코드

DOI QR Code

Statistical testings for common stochastic trends in markets under recession

경기 침체기 시장의 공통확률추세 검정

Cho, Joong-Jae;Lee, Seung-Eun;Kim, Tae-Ho
조중재;이승은;김태호

  • Received : 2015.11.09
  • Accepted : 2016.03.08
  • Published : 2016.06.30

Abstract

A long-run relationship of stock, monetary, realty markets, and business conditions has been suggested to exist due to internal and external shocks. This study investigates whether such a relationship really exists and then performs statistical tests to discern features of the long-run adjustment processes from short-run discrepancies because it is difficult to find studies that examine the market relationship. The comovement relationship of the whole market does not appear to hold for the entire study period; however, it is found to exist for the period before the financial crisis. Estimated error correction models show consistently declining equilibrium errors each period that suggests a recovering process of the long-run equilibrium from short-run secessions.

Keywords

restricted VAR;unrestricted VAR;equilibrium error

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Acknowledgement

Supported by : 충북대학교