This study aims to analyze the influence and time-lag relationships between major macroeconomic variables and the KOSPI from January 1992, when the capital market was liberalized, through August 1998, during which the IMF crisis persisted, and further by dividing the period into pre-IMF and post-IMF phases based on January 1997. For this purpose, the analysis was conducted using both the VAR model, which is suitable for modeling endogeneity among macroeconomic variables while accounting for time lags, and the PDLREG (Polynomial Distributed Lag Regression) procedure, which can avoid multicollinearity problems by fixing the dependent variable when the lag length is large. According to the VAR analysis results, among the targeted macroeconomic variables, the money supply (M2), the price index, the call rate, and gold and foreign exchange reserves were found to influence the KOSPI with certain lags. In the PDL regression analysis, only the call rate and gold and foreign exchange reserves were found to influence the KOSPI. Meanwhile, the analysis results also show that the KOSPI not only receives influence but also exerts influence. Specifically, the KOSPI was found to influence the money supply, the price index, the call rate, the Japanese yen exchange rate, gold and foreign exchange reserves, corporate bond yields, and the U.S. dollar exchange rate with certain time lags. This is interpreted as reflecting the expanded dominance of the KOSPI in the capital market and its increased importance to the national economy following the capital market liberalization of 1992. However, when the period was divided into the post-IMF phase, the KOSPI only influenced gold and foreign exchange reserves, with no other causal relationships being observed. This is attributed to the exceptional circumstances of the IMF crisis temporarily disrupting the normal flow of relationships among macroeconomic variables. These research findings hold clear significance in that they contribute to rational financial decision-making by economic agents from a policy perspective, by clarifying the importance of the KOSPI—which can be regarded as a measure of both shareholder wealth and national wealth—and its relationships with other macroeconomic variables for investors, corporations, and the government alike.