[table 1 - descriptive statistics]
The GU and KU indexes are estimated by own calculation, which refers to global and domestic economic uncertainty. We obtain data of KGDP, KCPI, KER, KINV and KEX from bank of Korea, KOSPI from Datastream, and KUN from KOSTAT(Statistics Korea) . KCPI, KUN and KEX were seasonally adjusted using X-13 ARIMA. KOSPI, KGDP, KCPI, and KER are the quarterly growth rate. Others are used in level data.
The results of the ADF test showed that all variables except KU reject the unit root in the first and second differentials. In this study, KU also used in-level data for consistency with GU and considering that an over-differentiation problem may occur.