한국, 일본, 미국의 정책별 불확실성 지수와 변동성지수 간의 연계성

Abstract

Purpose - The purpose of this paper is to examine the connectedness between categorical economic policy uncertainty (monetary, fiscal, trade and foreign exchange policy uncertainty) indexes and option-implied volatility index in Korea, Japan and the US.
 Design/methodology/approach - This paper employs the Diebold-Ylmaz (2012) model based on a VAR and generalized forecast error variance decomposition. This paper also conducts regression analyses to investigate whether the volatility indexes are explained by categorical policy uncertainty indexes.
 Findings - First, we find the total connectedness is stronger in Korea and Japan relative to the US. Second, monetary, fiscal, and foreign exchange policy uncertainty indexes are connected to each other but trade policy uncertainty index is not. Third, the volatility index in Japan and the US is mainly associated with monetary policy uncertainty while the volatility index in Korea is explained by fiscal policy uncertainty index.
 Research implications or Originality - To our knowledge, this is the first study to investigate the connectedness among categorical policy uncertainty indexes and the volatility index in Korea, Japan, and the US. The empirical results on the connectedness suggest that transparent policy and communication with the market in one type of policy would reduce the uncertainty in other policies.