• 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.

• Proceedings of the Safety Management and Science Conference
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• 2008.04a
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• pp.469-476
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• 2008

1986년부터 2002년까지 미국 대도시지역의 아파트와 상가, 사무실의 순가격증가율을 패널데이타로 추정한 결과에 따르면, 이들은 거시경제변수와 단기이자율, 이자율간의 스프레드 차이, 인플레이션 등에 영향을 받는 것으로 나타났다. 이들 자산가격상승률은 경기상황과 반비례관계를 갖는 것으로 나타났는데, 이는 대부분 대출 및 신용과 관련되어 있기 때문이다. 그리고 이는 부동산시장에서 자산 간 수익률 격차를 크게 넓힐 수 있음을 지적하고 있다.

• Economic Analysis
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• v.26 no.4
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• pp.39-64
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• 2020

Typical business cycle models have difficulties in explaining key macroeconomic labor market variables, such as employment and unemployment, as they usually consider labor hour choices only. In this paper, we introduce labor market search and matching frictions into a New Keynesian nominal rigidity model and estimate it by Bayesian methods to examine the dynamics of the key labor market variables and business cycles in Korea. The results show that unemployment rates are largely explained by technology shocks, which affect the labor demand side, as well as labor supply shocks. In addition, wage bargaining shocks originating from the bargaining process between firms and workers have non-negligible negative effects on output and employment growth, and careful measures need to be taken to limit their adverse effects.

• KDI Journal of Economic Policy
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• v.27 no.1
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• pp.157-183
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• 2005

Using a multi-sector dynamic stochastic general equilibrium model, we investigate the dynamic effects of a variety of shocks to a small open economy. In particular, we calibrate the model to match the main characteristics of business cycles in Korea and analyze the effects of external shocks: the terms of trade and world real interest rate shocks. Business cycles in Korea more closely follow those of the G7 countries rather than Asian countries. The simulation results suggest that an improvement in the terms of trade has positive impact on investment, output and consumption, while a decrease in the world interest rate has a significant and positive effect on investment. This paper concludes that external shocks significantly influence business cycle fluctuations in Korea.

• Environmental and Resource Economics Review
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• v.7 no.1
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• pp.1-28
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• 1997

최근 전력가격의 인상을 통한 전력수요 조절에 대한 관심이 높아지고 있다. 본고에서는 개방경제 CGE 모형을 통하여 전기요금 인상이 국민총생산, 물개 무역수지 등 주요 거시변수들에 미치는 영향과 개별 산업의 생산, 생산물 가격, 수출입에 미치는 영향을 분석하였다. 이를 위하여 1993년도 산업연관표에 기초하여 전체 산업을 16개 부분으로 통합, 재분류한 뒤, 전기요금 인상에 대한 다양한 정책실험을 시도하였다. 분석 결과 전력가격인상은 실질총생산의 감소 및 물가의 상승을 가져오나 그 정도는 기존의 연구보다 작은 것으로 나타났으며, 수출과 수입은 모두 감소하나 수출감소율이 수입감소율을 초과하여 무역수지는 악화되는 것으로 나타났다. 산업부문별로는 전기요금인상에 따라 비교역재에 가까운 서비스업의 생산량 감소효과가 두드러진 것으로 나타났다.

• Proceedings of the Korean Institute of Navigation and Port Research Conference
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• 2023.05a
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• pp.63-65
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• 2023

한국 경제에 근간이 되는 산업은 제조업이고, 그중 석유화학산업은 전량 원유를 수입하여 우리나라의 기술력으로 가공하여 재수출하는 전략적 성장 산업이다. 수많은 제조업의 원료가 되는 원유를 전량 해상운송을 통해 수입하는 우리나라는 변동성이 심한 유조선 운임 시장에 대해 기민하게 대응해야 한다. 유조선 운임 시장의 위기는 관련 해운회사의 위기에서 끝나지 않고 원유를 사용하는 산업에서부터 국민의 생활까지 영향을 미칠 수 있으므로, 본 연구에서 신호접근법을 활용한 조기경보모형을 제시했다. BDTI 운임지수를 활용하여 유조선 해운시장 위기를 정의하고, 38개의 거시경제, 금융, 원자재 지표 그리고 해운시장 데이터를 활용해 시차상관관계를 분석하여 유조선 해운시장 위기에 선행적으로 반응하는 종합선행지수를 도출했다. 연구 결과, 종합선행지수는 두 달 전 가장 높은 0.499의 시차상관계수 값을 가졌으며, 5개월 전부터 유의미한 상관계수 값을 나타냈다. 더불어 QPS 값은 0.13으로 위기 예측에 대해 높은 정확성을 지니는 것으로 검증됐다.

• Korean Journal of Construction Engineering and Management
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• v.18 no.3
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• pp.74-83
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• 2017

The recently introduced public rental housing REITs was just different the business structure from the existing public rental housing system and the basic supply system is the same. So the ownership conversion for public house over 10 years rental duration is possible after half of the obligated rental duration according to the agreement between lessor and lessee. However rental business operators are likely to have a negative attitude to the early ownership conversion because of less expected profit. Thus, there is a need for an analysis of proper early ownership conversion moment that can achieve public purposes while ensuring the profitability of public rental housing REITs. In this study, the characteristics of the ownership conversion rights that can lessee to exercise considered to be options. Also the nature of 'REITs', 'public rental housing REITs' is considered to be affected by the macroeconomic variables. Thus, this study analyzed the value for ownership conversion in the public rental housing REITs according to real option scenarios reflecting macroeconomic variables. As a result, according to the change of the variation rate of the macroeconomic variables, it was found that with adjustable early ownership conversion time using the DCF(Discounted Cash Flow) model. Therefore, it is possible to ensure profitability of early ownership conversion by predicting the variation of variables.

• Environmental and Resource Economics Review
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• v.14 no.2
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• pp.291-336
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• 2005

This paper investigates how oil price changes have an impact on the Korean manufacturing production activities. For this investigation, we use a structural VAR motel to estimate impulse response functions of industrial production, producer price and export price to an oil price increase over manufacturing industries. It finds that in most manufacturing industries, an oil price increase leads to decreases in industrial productions and domestic prices except energy intensive industries, but to increases in industrial export prices except non-metallic (26), computers and offic machinery (30), electronic components, radio, television and communication (32) industries. This result explains that an oil price increase makes negative impacts on the manufacturing production activities not only through demand slowdown in the domestic markets but also through supply contraction in the export markets.

• Journal of Korea Port Economic Association
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• v.34 no.4
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• pp.181-190
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• 2018

The goal of this study is empirically to investigate the asymmetric relationship between two variables using the dry cargo freight rates and raw material price data from January 2012 to May 2018. First, we estimate the asymmetry of macroeconomic indicators of commodity prices by using a two - step threshold cointegration test. Second, the asymmetric relation test of the trade balance of existing commodity price changes is tested by bypassing to the high frequency dry cargo freight rate index. As a result of the estimation, in contrast to the existing linear analysis, each boundary value for the lower limit and the upper limit has different asymmetry. This implies that the period of fluctuation of the sudden residual that causes irregular rate of return fluctuations does not establish a long term equilibrium relationship between the raw material price and the dry cargo freight rate. Therefore, in order to consider the sudden price change in the analysis, it is necessary to include the band of inaction that controls the irregular volatility, which is consistent with the asymmetry hypothesis.

• Proceedings of the Safety Management and Science Conference
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• 2012.04a
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• pp.157-158
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• 2012

이 논문은 기존의 포트폴리오와 관련된 모형에 경기변동(business cycle)과 관련된 변수들을 포함하였을 경우 경기변동이 개인투자자들의 현금 및 주식보유를 통한 자본이득 극대화와 어떤 관련성이 있는지와 관련된 것이다. 기존 문헌들을 살펴보면, 개인투자자들은 경기호황기에는 모멘텀 투자와 소형주와 성장주 등에 포트폴리오를 분산투자하지만 경기가 침체기(recession)에 들어설 경우 수익률이 급등락하는 특성을 지니는 소형주(small cap)에 집중적인 투자를 하는 성향을 나타내고 있다. 한편 이 논문의 분석결과에 따르면, 경기안정과 금리안정정책, 물가안정 등은 서로 상충관계(trade-off)에 놓여 있음에도 불구하고 코스피수익률과 코스닥수익률에 모두 향후 영향을 미칠 것으로 판단된다. 이는 현재까지의 정책조합(policy mix)보다 더 정교하고 타이밍을 잘 포착하지 않으면 정책실패에 따른 경기와 물가불안이 동시에 나타나는 스태그 플레이션(stagflation)으로 이어질 수 있음으로 정책집행의 효율성이 어느 때보다도 중요해 질 것으로 보인다.