미국 금융위기 전후 독일 주식시장과 유로 채권시장에 미친 영향에 관한 실증적 연구 = An Empirical Study on the Effects between the Euro Bond Market and the Federal Republic of Germany Stock Market Around the International Financial Crisis

다국어 초록 (Multilingual Abstract)

This study is an empirical study on the effects between the euro bond market and the federal republic of germany stock market around the international financial crisis. The DAX is the Federal Republic of Germany stock index. The Base date for the DAX is 30 December, 1987 and it was started from a base value of 1,000. The euro bond interest rate with the introduction of the single currency and a common monetary policy, government bond yields converged swiftly in all countries.
We examine the interdependence of the euro bond market and the federal republic of germany stock market around the international financial crisis for 68 monthly data from june 2004 to February 2010. We employ Granger causality, impulse response function based on VAR model as well as variance decomposition after unit root tests and cointegration test. The finding that many macro time series may contain a unit root has spurred the development of the theory of non-stationary time series analysis. Engle and Granger(1987) pointed out that a linear combination of two ro more non-stationary series may be stationary. If such a stationary linear combination exists, the non-stationary time series are said to be cointegrated. The stationary linear combination is called the cointegrating equation and may be interpreted as a long-run equilibrium relationship among the variables. The purpose of the cointegration test is to determine whether a group of non-stationary series are cointegrated or not. The vector autoregression(VARs) is commonly used for forecasting systems of interrelated time series and for analyzing the dynamic impact of random disturbances on the system of variables. The VAR approach sidesteps the need for structural modeling by treating every endogenous variable in the system as a function of the lagged values of all of the endogenous variables in the system.
This research showed following main results. First, from basic statistic analysis, both DAX index and the euro bond interest rate has unit roots, Second, there is at least one cointegration between them. In addition, we find that while the effect from DAX index and the euro bond interest rate is relatively strong after the international financial crisis.

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