원문정보
초록
영어
This paper explores the dynamic relationship between global economic factors and emerging stock returns within a factor-augmented VAR model. I nd that favorable global growth and stock market shocks have signi cant positive e ects on emerging equity returns, whereas an unexpected rise in US dollar exchange rate and global pol- icy uncertainty causes a substantial fall in the returns. Oil shocks lead to a transient increase in emerging stock returns, followed by a gradual decline. Variance decompo- sition analysis implies that 80% of the long-term uctuation in emerging stock returns is explained by the global economic shocks. In particular, the US dollar exchange rate shock is the most critical, accounting for 36%, followed by global stock, policy uncer- tainty, and oil shocks, explaining 17%, 15%, and 10%, respectively. These ndings have important implications for international investors, as well as for policy makers in emerging economies.
목차
1 Introduction
2 Methodology
2.1 Model Specification
2.2 Identification of Structural Shocks
2.3 Estimation
3 Data
4 Results
4.1 Estimated Factors
4.2 Impulse Response of Emerging Stock Market Returns
4.3 Variance Decomposition
4.4 Robustness
5 Conclusion
References