• Korea Real Estate Review
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• v.28 no.2
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• pp.21-34
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• 2018

The purpose of this study is to investigate the effect of macro-finance variables on the correlation between the housing and stock markets because understanding the nature of time-varying correlations between different assets has important implications on portfolio allocation and risk management. Thus, we adopted the AG-DCC GARCH model to obtain time-varying, conditional correlations. Our sample ranged from January 2004 to November 2017. Our empirical result showed that the coefficients on asymmetric correlation were significantly positive, implying that correlations between the housing and stock markets were significantly higher when changes in the housing price and stock returns were negative. This finding suggested that the housing market has less hedging potential during a stock market downturn, when such a hedging strategy might be necessary. Based on the regression analysis, we found that the term spread had a significantly negative effect on correlations, while the credit spread had a significantly positive effect. This result could be interpreted by the risk premium effect.

• The Journal of the Korea Contents Association
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• v.18 no.10
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• pp.490-497
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• 2018

In this study, we examined whether common idiosyncratic volatility(CIV), a risk factor for idiosyncratic volatility, can be evaluated as a pricing factor. The sample is listed on the Korea Exchange. The analysis period is 288 months from July 1992 to June 2016. The main results of this study are as follows. First, in the empirical verification of the market excess returns of the testing portfolios, the difference in the return on the CIV factor sensitivity difference was statistically significant. In other words, we confirmed that there is a risk premium for CIV factors. Second, CAPM, FF3 factor model, and FF5 factor model do not explain the risk premium for CIV factors, whereas factor models that add CIV factors explain the risk premium for CIV factors. In other words, the CIV factor can be evaluated in terms of pricing factors.

• KDI Journal of Economic Policy
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• v.31 no.2
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• pp.15-45
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• 2009

This paper estimates the term structure of interest rates with the setup of 3-factor no arbitrage model and investigates the trend of term premia and the effectiveness of changes in policy interest rates. The term premia are found to be high in a three-year medium term objective, which can be interpreted as reflecting the recognition of investors who expect a higher uncertainty in real activities for the coming three years than for a longer term. Then, in order to look into the effect of policy interest rates after the recent change of benchmark interest rate, this paper analyzes the effects of the changes in short-term interest rates of the financial market on the yield curve of the bond market at time of change. Empirical results show that the discrepancy between call rate, short-term rate in money market, and instantaneous short rate, short-term rate in the bond market, is found to be significantly widened, comparing to the periods before the change in benchmark interest rate. It is not easy to conclude clearly for now whether such a widening gap is caused by the lack of experiences with managing new benchmark interest rate or is just an exceptional case due to the recent turmoil in the global financial market. However, monetary policy needs to be operated in a manner that could reduce the gap to enhance its effectiveness.

• KDI Journal of Economic Policy
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• v.35 no.4
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• pp.31-61
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• 2013

The purpose of this study is to calculate the economic value of transport demand forecasting risks in the road PPP project. Under the assumption that volatility of the road PPP project value occurs only in regard with uncertainty of traffic volume forecasting, this study calculates the economic value of the traffic forecasting risks in the case of the road PPP project. To that end, forecasted traffic volume is assumed to be a stochastic variable and to follow the Geometric Brownian motion as time passes. In particular, this study attempts to differentiate itself from existing studies that simply use an arbitrary assumption by presenting the application of different traffic volume growth volatility and the rates before and after the ramp-up period. Analysis of the case projects reveals that the risk premium related to traffic volume forecast of the project turns out as 7.39~8.30%, without considering option value-such as minimum revenue guarantee-while the project value volatility caused by transport demand forecasting risks is 17.11%. As the discount rate grows higher, the project value volatility tends to decrease and volatility in project value is always suggested to be larger than that in transport volume influenced by leverage effect due to fixed expenditure. The market value of transport demand forecasting risk-calculated using the project value volatility and risk premium-is analyzed to be between 0.42~0.50, implying that a 1% increase or decrease in the transport amount volatility would lead to a 0.42~0.50% increase or decrease in risk premium of the project.

• Economic Analysis
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• v.27 no.1
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• pp.1-36
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• 2021

Given the US dollar's status as a global safe haven, global factors, such as US monetary policy, may have considerable impacts on financial markets in other countries. Regarding such hypothesis, this paper looked at the impacts of US monetary policy on domestic bond and FX swap markets through an event study. According to our analysis, US monetary policy had significant positive impacts on domestic interest rates. In particular, it turned out to have bigger impacts on long-term products with high term premiums. By period, the correlation between US monetary policy and domestic interest rates was not significant before the financial crisis, but was clearly positive after the crisis. The US conventional monetary policy was seen to have big impacts on short-term and medium-term KTB yields, while its unconventional monetary policy had major impacts on long-term KTB yields. Moreover, FX swap rates reacted very sensitively to US monetary policy shocks before the financial crisis, while they did not show any significant reactions after the crisis. This suggests that, in line with the covered interest rate parity, the impact of US monetary policy shocks was transmitted to domestic financial markets mainly through swap rate adjustments before the global financial crisis, but through the changes in domestic interest rates during the post-crisis period.

• The Journal of the Korea Contents Association
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• v.9 no.5
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• pp.355-364
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• 2009

This study investigated the labor market outcomes between IT graduates and non-IT graduates in terms of employment, wage, and work period through Monte-Carlo and Calibration method. The empirical result of the movement from work to unemployment implied that IT major graduates have stable work period irrespective of continuous employment, and but the number of work period of non-IT graduates decreases. It also showed that IT related department graduates got relatively paid more than non-IT graduates and IT major graduates was 0.8% higher wage premium than non-IT graduates.

• Journal of Labour Economics
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• v.38 no.2
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• pp.59-87
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• 2015

This study investigates the influence of human capital on wages of female marriage migrants in Korea using the 'National Survey on Multicultural Families 2012'. The results show that educational attainment has little influence on wages of female marriage migrants in Korea and that educational attainment in their origin country has positive influence on the labor market in Korea. However, work experiences in the origin country and duration in Korea are not significantly related to wages of female marriage migrants in Korea. The subgroup analyses by nationality find that the education wage premium is large in groups for Korean-Chinese women, other Asian countries and other countries. Among occupations, managers and professionals officers earn the highest wages in all groups. In addition, the manager and professional officer groups show the large education wage premium, especially among Chinese, Vietnamese and Korean-Chinese female marriage migrants.

• Economic Analysis
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• v.25 no.2
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• pp.132-176
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• 2019

We use a time-varying parameter vector auto regression (TVP-VAR) model to understand the impact of U.S. monetary policy normalization on Korean financial markets and capital accounts. The U.S. monetary policy is represented by the federal funds rate, term premium and credit spread. During the U.S. monetary contraction period of 2004 to 2006, changes in the federal funds rate presented negative pressure on Korean financial markets. The changes in federal funds rate also led to a simultaneous contraction in inward and outward capital flows. However, the effects of a federal funds rate shock has been reduced since 2015. On the other hand, the effects of U.S. term premiums is getting stronger after the period of quantitative easing (QE). The influence of the U.S. credit spread also significantly increased after the global financial crisis. Simulation results show that a rise in the U.S. credit spread, which can be triggered by a contractionary monetary policy, can pose a larger adverse impact on the Korean economy than a rise in the federal funds rate itself. As for capital flows, a U.S. monetary policy contraction causes an outflow of foreign investment, but the repatriation of overseas investment by Korean residents can offset this outflow.

• The Korean Journal of Financial Management
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• v.25 no.1
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• pp.1-22
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• 2008

This study is to evaluate, to the extent to, which advanced currency futures and emerging currency futures markets can predict accurately the future spot rate. To this end, Johansen's the maximum-likelihood cointegration method(1988, 1991) is adopted to test the unbiasedness and efficiency hypothesis. Also, this study is to estimate and compare a quantitative measure of relative efficiency as a ratio of the forecast error variance from the best-fitting quasi-error correction model to the forecast error variance of the futures price as predictor of the spot price in advanced currency futures with in emerging currency futures market. Advanced currency futures is British pound and Japan yen. Emerging currency futures includes Korea won, Mexico peso, and Brazil real. The empirical results are summarized as follows : First, the unbiasedness hypothesis is not rejected for Korea won and Japan yen futures exchange rates. This indicates that the emerging currency Korea won and the advanced currency Japan yen futures exchange rates are likely to predict accurately realized spot exchange rate at a maturity date without the trader having to pay a risk premium for the privilege of trading the contract. Second, in emerging currency futures markets, the unbiasedness hypothesis is not rejected for Korea won futures market apart from Mexico peso and Brazil real futures markets. This indicates that in emerging currency futures markets, Korea won futures market is more efficient than Mexico peso and Brazil real futures markets and is likely to predict accurately realized spot exchange rate at a maturity date without risk premium. Third, this findings show that the results of unbiasedness hypothesis tests can provide conflicting finding. according to currency futures class and forecasts horizon period, Fourth, from the best-fitting quasi-error correction model with forecast horizons of 14 days, the findings suggest the Japan yen futures market is 27.06% efficient, the British pound futures market is 26.87% efficient, the Korea won futures market is 20.77% efficient, the Mexico peso futures market is 11.55%, and the Brazil real futures market is 4.45% efficient in the usual order. This indicates that the Korea won-dollar futures market is more efficient than Mexico peso, and Brazil real futures market. It is therefore possible to concludes that the Korea won-dollar currency futures market has relatively high efficiency comparing with Mexico peso and Brazil real futures markets of emerging currency futures markets.

• Journal of Intelligence and Information Systems
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• v.22 no.1
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• pp.119-138
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• 2016

Since the Industrial Revolution, which made the mass production and mass distribution of standardized goods possible, machine-made (manufactured) products have accounted for the majority of the market. However, in recent years, the phenomenon of purchasing even more expensive handmade products has become a noticeable trend as consumers have started to acknowledge the value of handmade products, such as the craftsman's commitment, belief in their quality and scarcity, and the sense of self-esteem from having them,. Consumer interest in these handmade products has shown explosive growth and has been coupled with the recent development of three-dimensional (3D) printing technologies. Etsy.com is the world's largest online handmade platform. It is no different from any other online platform; it provides an online market where buyers and sellers virtually meet to share information and transact business. However, Etsy.com is different in that shops within this platform only deal with handmade products in a variety of categories, ranging from jewelry to toys. Since its establishment in 2005, despite being limited to handmade products, Etsy.com has enjoyed rapid growth in membership, transaction volume, and revenue. Most recently in April 2015, it raised funds through an initial public offering (IPO) of more than 1.8 billion USD, which demonstrates the huge potential of online handmade platforms. After the success of Etsy.com, various types of online handmade platforms such as Handmade at Amazon, ArtFire, DaWanda, and Craft is ART have emerged and are now competing with each other, at the same time, which has increased the size of the market. According to Deloitte's 2015 holiday survey on which types of gifts the respondents plan to buy during the holiday season, about 16% of U.S. consumers chose "homemade or craft items (e.g., Etsy purchase)," which was the same rate as those for the computer game and shoes categories. This indicates that consumer interests in online handmade platforms will continue to rise in the future. However, this high interest in the market for handmade products and their platforms has not yet led to academic research. Most extant studies have only focused on machine-made products and intelligent services for them. This indicates a lack of studies on handmade products and their intelligent services on virtual platforms. Therefore, this study used signaling theory and prior research on the effects of sellers' characteristics on their performance (e.g., total sales and price premiums) in the buyer-seller relationship to identify the key influencing e-Image factors (e.g., reputation, size, information sharing, and length of relationship). Then, their impacts on the performance of shops within the online handmade platform were empirically examined; the dataset was collected from Etsy.com through the application of web harvesting technology. The results from the structural equation modeling revealed that the reputation, size, and information sharing have significant effects on the total sales, while the reputation and length of relationship influence price premiums. This study extended the online platform research into online handmade platform research by identifying key influencing e-Image factors on within-platform shop's total sales and price premiums based on signaling theory and then performed a statistical investigation. These findings are expected to be a stepping stone for future studies on intelligent online handmade services as well as handmade products themselves. Furthermore, the findings of the study provide online handmade platform operators with practical guidelines on how to implement intelligent online handmade services. They should also help shop managers build their marketing strategies in a more specific and effective manner by suggesting key influencing e-Image factors. The results of this study should contribute to the vitalization of intelligent online handmade services by providing clues on how to maximize within-platform shops' total sales and price premiums.