Economics at your fingertips  

Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis

Dohyun Chun, Hoon Cho and Doojin Ryu ()
Additional contact information
Dohyun Chun: College of Business, Korea Advanced Institute of Science and Technology, Seoul, Korea.
Hoon Cho: College of Business, Korea Advanced Institute of Science and Technology, Seoul, Korea.
Doojin Ryu: College of Economics, Sungkyunkwan University, Jongno-gu, Seoul 03063, Republic of Korea.

Journal for Economic Forecasting, 2018, issue 2, 22-42

Abstract: This study investigates stock market behavior in response to money supply, financial, aggregate spending, and aggregate supply shocks within a structural vector autoregression framework. Analyzing financial and macroeconomic data from the Korean market, a globally leading emerging market, we find that each type of macroeconomic shock has a significant effect on the price level and that real stock returns react positively (negatively) to aggregate supply (spending) shocks. Cumulative impulse response analyses suggest that the Korean economy’s structure changed significantly following the Asian financial crisis. The results by industry sector indicate that, although the manufacturing and financial sectors share similar impulse response structures, the financial crisis’ effects on the two sectors differ significantly.

Keywords: Asian financial crisis; Emerging market; Financial Economics; Macroeconomic shock; Structural VAR (search for similar items in EconPapers)
JEL-codes: E44 E49 E52 G15 G19 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ().

Page updated 2018-07-21
Handle: RePEc:rjr:romjef:v::y:2018:i:2:p:22-42