본 논문은 경제정책에 대한 불확실성이 미국 국채 수요에 미치는 영향을 투자자들의 유형에 따라 분석한다. 본 연구를 통해 새로이 드러난 주요 결과는, 정책불확실성이 미국 국채 수요를 설명하는 결정적인 변수들 중 하나라 는 사실이다. 구체적인 결과는 다음과 같다: 첫째, 정책불확실성 상승에 대응해 투자자들은 미국 국채 수요를 늘 리는 경향이 있다. 둘째, 정책불확실성의 이러한 영향은 정부퇴직연금, 연기금, 보험회사, 투자신탁 등 장기 투자 행위를 하는 기관투자자들에게서 통계적으로 더욱 유의하게 나타난다. 셋째, 이들 투자자들은 동일한 크기의 정 책불확실성 변화에 대해 이미 정책불확실성이 상당히 높은 국면에서는 낮은 국면에서 보다 대략 1.3-3.5배 더 크게 반응한다. 이상의 결과들은 모두 여타 주요변수들을 통제한 후에도 일관되게 관찰된다. 이는 정부 정책 등 의 외부 환경 변화에서 비롯된 불확실성을 회피하려는 투자자 성향이 이미 높은 불확실성 국면 하에 있을수록, 그리고 장기투자자들일수록 더욱 커짐을 의미한다.

The primary purpose of the study is to investigate the volatility spillovers from global economic policy uncertainty and macroeconomic factors to the Islamic stock market returns. The study focuses on the Islamic stock indices of emerging economies including Indonesia, Malaysia, and Turkey. The Macroeconomic factors are industrial production, consumer price index, exchange rate. EGARCH model is employed for investigation of volatility spillovers. The results show that the global economic policy uncertainty has a significant spillover effect only on the returns of Turkish Islamic stock index. Similarly, the shocks in macroeconomic factors have little influence on the volatility of Islamic indices returns. The volatility of Indonesian and the Turkish Islamic stock indices returns is not influenced from the fluctuations in macroeconomic factors. However, there is significant volatility spillover only from industrial production to the returns of Malaysian Islamic index. The results suggest that the Islamic stock markets are less likely to influence from the global economic policies and macroeconomic factors. The stability of Islamic stocks provide opportunity for diversification of portfolios, particularly in stressed market conditions. The major price factors of Islamic markets could be firms’ specific factors or investors’ behaviors. The findings are helpful for policy makers and investors in formulating policies and portfolios.

We study the impact of economic policy uncertainty (EPU) of Asian four countries such as Korea, Japan, Hong Kong, and China on housing market returns in Korea. Also, we document the relationship between the EPU index of those four countries and the housing market including macroeconomic indicators in Korea. The EPU index of those four countries has significantly a negative effect on the housing purchase price index, housing lease price index in Korea. The EPU index in Korea and Japan has significantly a negative effect on the CPI. The EPU index in only Japan has significantly a negative effect on the PPI. The EPU index in Hong Kong and Korea has significantly a negative effect but the EPU index in China significantly has a positive effect on the stock price index in construction industry. The EPU index in only Korea has significantly a negative effect the stock price index in banking industry. This study shows the EPU index of the Korea has the negative relationships on the housing market economy rather than other countries by VECM. And this study has an important evidence of the spillover of several macroeconomic indicators in Korea for the EPU index of the Asian four countries.