This paper reports the results of an empirical analysis of the linkage between the financial markets (foreign-exchange, stock, and bond markets) of Korea and the financial markets of the United States, Japan, and six major East Asian countries. A multivariate generalized autoregressive...

From the empirical findings, we can conclude that the capital liberalization after the Korean currency crisis strengthened the financial linkage with international financial centers. It means that Korean policy makers have to consider foreign as well as domestic situations in designing effective...