Correlation of stock market returns, economic variables, term spread, its components and uncertainty
| KOR_S | KOR_I | KOR_C | KOR_TS | KOR_TP | KOR_RN | US_S | US_I | US_C | US_TS | US_TP | US_RN | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| KOR_I | 0.1597** | US_I | 0.0870 | ||||||||||
| (2.110) | (1.138) | ||||||||||||
| KOR_C | 0.1106 | 0.4452*** | US_C | 0.1531** | 0.4087*** | ||||||||
| (1.451) | (6.482) | (2.019) | (5.839) | ||||||||||
| KOR_TS | 0.1599** | 0.0905 | 0.1139 | US_TS | −0.0510 | −0.0245 | −0.3201*** | ||||||
| (2.113) | (1.185) | (1.495) | (−0.666) | (−0.320) | (−4.406) | ||||||||
| KOR_TP | 0.0318 | 0.0243 | 0.0309 | 0.5724*** | US_TP | −0.1329* | −0.0433 | −0.4711*** | 0.8301*** | ||||
| (0.415) | (0.316) | (0.403) | (9.103) | (−1.748) | (−0.565) | (−6.963) | (19.412) | ||||||
| KOR_RN | 0.1337* | 0.0688 | 0.0861 | 0.4234*** | −0.5005*** | US_RN | 0.0652 | 0.0076 | −0.0090 | 0.7666*** | 0.2784*** | ||
| (1.760) | (0.899) | (1.127) | (6.094) | (−7.537) | (0.852) | (0.100) | (−0.117) | (15.568) | (3.779) | ||||
| KOR_EPU | 0.0030 | −0.0667 | −0.0350 | 0.0322 | −0.2094*** | 0.2653*** | US_EPU | −0.0180 | −0.0541 | −0.178** | 0.3023*** | 0.0749 | 0.4344*** |
| (0.039) | (−0.872) | (−0.456) | (0.420) | (−2.792) | (3.588) | (−0.235) | (−0.706) | (−2.365) | (4.135) | (0.980) | (6.289) |
| KOR_S | KOR_I | KOR_C | KOR_TS | KOR_TP | KOR_RN | US_S | US_I | US_C | US_TS | US_TP | US_RN | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| KOR_I | 0.1597 | US_I | 0.0870 | ||||||||||
| (2.110) | (1.138) | ||||||||||||
| KOR_C | 0.1106 | 0.4452 | US_C | 0.1531 | 0.4087 | ||||||||
| (1.451) | (6.482) | (2.019) | (5.839) | ||||||||||
| KOR_TS | 0.1599 | 0.0905 | 0.1139 | US_TS | −0.0510 | −0.0245 | −0.3201 | ||||||
| (2.113) | (1.185) | (1.495) | (−0.666) | (−0.320) | (−4.406) | ||||||||
| KOR_TP | 0.0318 | 0.0243 | 0.0309 | 0.5724 | US_TP | −0.1329 | −0.0433 | −0.4711 | 0.8301 | ||||
| (0.415) | (0.316) | (0.403) | (9.103) | (−1.748) | (−0.565) | (−6.963) | (19.412) | ||||||
| KOR_RN | 0.1337 | 0.0688 | 0.0861 | 0.4234 | −0.5005 | US_RN | 0.0652 | 0.0076 | −0.0090 | 0.7666 | 0.2784 | ||
| (1.760) | (0.899) | (1.127) | (6.094) | (−7.537) | (0.852) | (0.100) | (−0.117) | (15.568) | (3.779) | ||||
| KOR_EPU | 0.0030 | −0.0667 | −0.0350 | 0.0322 | −0.2094 | 0.2653 | US_EPU | −0.0180 | −0.0541 | −0.178 | 0.3023 | 0.0749 | 0.4344 |
| (0.039) | (−0.872) | (−0.456) | (0.420) | (−2.792) | (3.588) | (−0.235) | (−0.706) | (−2.365) | (4.135) | (0.980) | (6.289) |
Notes:
The table reports correlations between stock market returns, economic variables, term spread, its components and uncertainty in Korea and the USA, respectively. KOR and US indicate Korea and the USA, respectively. S, I and C indicate stock market returns, growth of industrial production index and growth of coincident economic activity index, respectively. TS, TP and RN indicate term spread, term premium and risk-neutral expectation. EPU indicates economic policy uncertainty. The t-statistics of correlation are reported in parentheses. *, ** and *** represent significance at the 10, 5 and 1% levels, respectively