부산대학교 도서관

This study investigates the impact of changes in oil prices on the economies of three Northeast Asian countries which are among largest importers and consumers of oil in the world. Monthly Dubai crude oil prices, stock market indices and nominal exchange rates for the period from January 2000 to February 2015 are used for Vector autoregressive analysis. ADF unit root test, impulse response function(IRF), variance decomposition(VD) and Granger causality test are also employed for estimation. Empirical analysis shows that oil price changes are positively associated with stock markets in Korea and Japan, and the value of Korean Won while oil price changes are not related to Chinese currency and stock market. Past oil price information does not affect exchange rates and stock markets in three countries. Dubai crude oil prices, exchange rates and stock markets are affected only by past information of their own. Response of Korean stock market to the oil price change is positive and short-lived and that of Japan’s market is positive and gets longer for four periods while there exists no response of Chinese stock market to the innovation of oil price. Any changes in crude oil prices do not cause the changes in stock market and exchange rate in any of three countries. For the relationship between currency and stock market performance, only Korean Won has a causal effect on KOSPI.