부산대학교 도서관

This paper examines whether macroeconomic variables have different effects on each Korean industry using the industry-specific index of the Korean securities market. This paper analyzed this effect using the EGARCH(1,1)-GED model during the period from January 2000 to December 2018. This provides implications for how managers and investors in each industry should cope with changes in macroeconomic variables and how industrial restructuring should be implemented with changes in macroeconomic variables. In summary, the analysis results of this paper are as follows. First, based on the size of the coefficient, the effect was largely due to short-term interest rates, international oil prices and won-dollar exchange rates among the three macroeconomic variables. However, while short-term interest rates and the won-dollar exchange rate have a significant impact on some industries, international oil prices have been shown to have a significant impact on most industries. Second, the won-dollar exchange rate had a significant impact only on the transportation equipment and medicine industries. The won-dollar exchange rate has had a significant negative impact on the transportation equipment industry, but it has been shown to have a significant negative impact on the pharmaceutical industry. Third, while short-term interest rates have negative effects on most industries, they have only significant negative effects on transportation storage, electricity, securities, steel and metal, and chemical industries. Fourth, international oil prices have been shown to have a positive effect on all industries except the textile, food and medical products and paper wood industries. The textile, food and medical products and paper wood industries are representative domestic industries, and international oil prices have been shown to have a significant positive impact on almost all industries except domestic ones. Fifth, it was found that in all industries, when the magnitude of market shock is greater than market expectations, there is an increased leverage effect with conditional dispersion, and there is an asymmetrical effect that responds more sensitively to good news than bad news. Sixth, international oil prices alone have a significant impact on the machinery and electronics industries belonging to the main industries of the nation's Therefore, for the nation's major export industries, the electric and electronic industries, it is necessary to keep a close eye on recent trends in international oil prices, which tend to be linked with the prices according to the global economy, and seek industrial restructuring accordingly. Seventh, both won-dollar exchange rates and international oil prices have significant impacts on transportation equipment industries, which are major industries of exports and belong to major sectors of industrial restructuring in Korea, such as automobiles and ships, and transportation equipment industries are more affected by won-dollar exchange rates than by international oil prices. Therefore, it will be necessary to seek industrial restructuring by predicting the possibility of a recession in the global economy and the resulting flow of won-dollar exchange rates. Eighth, interest rates have a significant negative effect on the steel and metal industries and chemical industries belonging to the major industries of exports, and international oil prices have a significant amount of effect. And both industries were more affected by interest rates. Therefore, in the case of steel and metal industries and chemical industries, it is deemed that preemptive restructuring will be necessary accordingly if interest rates are forecast to rise. Finally, the won-dollar exchange rate, both in manufacturing and service sectors, showed minimal impact. Based on the size of the coefficient, the effect of international oil prices was found to be greater for manufacturing than for short-term rates, while for service industries, short-term rates were relatively greater than those of international oil prices. The empirical analysis results show that manufacturing industries should seek industrial restructuring and development strategies based on long-term forecasts of international oil prices, which are a barometer of the global economy, and that in the service industry, they need to actively seek industrial restructuring and growth strategies in accordance with the long-term prediction of global oil prices as well as the possibility of a recession in the global economy, the resulting global interest rate and the nation's interest rate. The nation's industrial restructuring should be carried out with a relatively greater weight on the growth of the service sector, while seeking balanced development of manufacturing and service industries, reflecting trends in advanced countries. It is also believed that industrial restructuring for the growth of the service sector will require restructuring based on the possibility of a recession in the global economy, the resulting global interest rate and the long-term prediction of the nation's interest rate. In addition, investors who invest in the nation's securities market should seek investment by taking into account the impact of macroeconomic variables such as exchange rates, interest rates and oil prices on their respective industries, and it will be necessary to seek long-term investments in consideration of the trends and restructuring of the global economy and the nation's economy. In this paper, only won-dollar exchange rates, short-term interest rates and international oil prices were considered as macroeconomic variables. But it will also need to be analyzed, including other variables such as gross domestic product, consumer prices and so on. The company also used West Texas Intermediate for international oil prices, but comparison could be made using Dubai crude and other oil prices. Future studies look forward to more comprehensive and comprehensive studies taking these into account.Key word: Exchange Rates, Short-term Interest Rates, International Oil Prices, Industry-specific Stock Index, EGARCH
본 논문은 2000년 1월부터 2018년 12월까지의 기간 동안 한국 유가증권시장의 산업별지수를 이용하여 환율, 금리, 유가 등 거시경제변수가 각 산업주가지수에 미치는 영향이 차이가 있는지를 EGARCH 모형을 이용하여 분석하였다. 본 논문의 주요 내용은 다음과 같다. 첫째, 거시경제변수가 산업주가지수에 미치는 차별적 영향에 대해 일별 산업지수를 이용하여 분석하였으며, 이러한 영향의 변화를 분석하기 위해 글로벌 금융위기 이전과 글로벌 금융위기 기간 및 글로벌 금융위기 이후의 기간으로 보다 세밀하게 구분하여 분석한다. 둘째, 본 논문은 이전의 연구들과는 달리 주요 거시경제변수의 수익률 변화뿐만 아니라 변동성 변화가 각 산업에 미치는 차별적 영향에 대해서도 분석한다. 셋째, 제조업과 서비스업에 대한 거시경제변수의 영향에 차이가 있는지를 분석한다. 본 논문의 목적은 다음과 같다. 거시경제변수들이 각 산업에 미치는 영향을 살펴보고, 그 주요한 차이는 무엇인지를 규명하고자 한다. 또한 거시경제변수가 산업주가지수에 미치는 차별적 영향을 재무적 측면에서 심도 있게 분석하고자 한다. 이를 통해 각 산업의 경영자와 투자자들이 거시경제변수의 변화에 어떻게 대처해야 하는지 그리고 거시경제변수의 변화에 따라 어떻게 산업구조조정이 이루어져야 하는지에 대한 시사점을 제공한다. 본 논문의 분석결과를 요약하면 다음과 같다. 첫째, 세 가지 거시경제변수 중에서는 계수의 크기를 기준으로 볼 때, 단기금리, 국제유가 및 원-달러 환율의 순으로 영향이 컸다. 그러나 단기금리와 원-달러 환율은 일부 산업에만 유의한 영향을 미치는 반면 국제유가는 대부분의 산업에서 유의한 영향을 미치는 것으로 나타났다. 국제유가는 섬유의복, 음식료품 및 종이목재 산업을 제외하고 모든 산업에 양의 영향의 미치는 것으로 나타났다. 둘째, 제조업과 서비스업 모두 원-달러 환율은 영향은 미미한 것으로 나타났다. 계수의 크기를 기준으로 보면, 제조업의 경우에는 단기금리보다는 국제유가의 영향이 더 큰 것으로 나타난 반면 서비스업의 경우에는 단기금리가 국제유가의 영향보다 상대적으로 더 큰 것으로 나타났다. 이러한 실증분석 결과는, 제조업은 세계경기의 척도가 되는 국제유가의 장기적 예측에 따른 산업구조조정 및 발전 전략을 모색하여야 할 것이며, 서비스 산업의 경우에는 국제유가의 장기적 예측과 더불어 세계경제의 불황가능성과 그에 따른 세계금리 그리고 우리나라 금리의 예측에 따라 산업구조조정과 성장 전략을 적극적으로 모색할 필요가 있다는 것을 보여준다. 또한 우리나라 유가증권시장에 투자하는 투자자들은 환율, 금리, 유가 등의 거시경제변수가 각 산업에 미치는 영향을 고려하여 투자를 모색하여야 할 것이며, 세계경제와 우리나라 경제의 흐름과 구조조정을 감안한 장기적 투자를 모색할 필요가 있을 것이다. 주제어: 환율, 단기금리, 국제유가, 산업주가지수, EGARCH 모형