• The Korean Journal of Financial Management
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• v.13 no.1
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• pp.203-220
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• 1996

본 연구에서는 우리나라 채권시장의 변동성 분석과 추정을 위하여 Markov-Switching ARCH (SWARCH)모형과 GMM모형 및 I-GARCH모형을 적용하였다. 관측된 자료는 1993년 1월에서부터 1996년 4월까지의 주별 91일물 양도성 예금증서 수익률이다. 본 연구에서 채권 수익률 분산과정의 추정을 위해 사용하는 SWARCH 모형은 경제나 채권시장의 국면전환으로 말미암아 채권수익률의 변동성이 이질적인 분포에서 오는 경우 서로 다른 분산 국면의 확률적 식별이 가능할 뿐만 아니라 지속성이 GARCH모형보다 작아서 조건부 변동성의 예측력이 뛰어난 모형으로 알려져 있다. 또한 SWARCH모형은 베이즈이론에 의한 확률의 개념으로 국면전환을 추정하기 때문에 주관적인 국면전환시점의 판단이 불필요하다는 장점을 가진다 여러 가지 모형들의 추정결과 I-GARCH 모형과 SWARCH 모형등이 우리나라 단기 채권수익률의 조건부 변동성을 비교적 잘 설명해 내는 것으로 나타났으며 우리나라 단기 채권시장은 1993년 6월부터 1993년 12월초까지, 1994년 7월경부터 1995년 5월경까지 비교적 높은 변동성을 유지하였으며 그후로는 변동성이 등락을 계속하는 것으로 추정되었다. 본 연구의 결과 아직은 태동단계에 머물러 있는 한국 채권시장의 시계열적 특성을 체계적으로 문서화하고 정교하고 다양한 최근 계량기법을 체계적으로 정리하고 응용하여 시장 참가자들의 기회비용과 시행착오의 기간을 단축시키는데 도움을 줄 수 있을 것으로 기대된다.

• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.183-209
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• 2004

This paper uses both the bivariate GARCH type BEKK error correction model and Bivariate-AR(1)-Markov-Switching-VECM model to estimate the volatility, time-varying correlation and hedge ratio for the KTB spot and futures indexes, sampled daily over 1/4/2000-10/30/2003. This study suggests that the volatility regime has more significant influence on KTB markets than incline/decline regime does. The results support the importance of the bivariate model in stead of univariate model between KTB spot and futures markets, which may consider not only individual variance process but also covariance process at the same time.

• Atmosphere
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• v.23 no.3
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• pp.283-291
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• 2013

This study investigates the changes in the atmosphere-ocean interactions over the South China Sea (SCS) by analyzing their variables in the period of 1979~2011 during the boreal summer (June-July-August). It is found that a simultaneous correlation coefficient between sea surface temperature (SST) and precipitation over SCS during summer is significantly changed before and after the late-1990s. That is, the variation of precipitation over SCS is negatively (positively) correlated with the SST variations before (after) the late-1990s. Our further correlation analysis indicates that the atmospheric forcing of the SST is dominant before the late-1990s accompanying with wind-evaporation feedback and cloud-radiation feedback. After the late-1990s, in contrast, the SST forcing of the atmosphere through the latent heat flux from the ocean to the atmosphere is dominant. It is found that the change in the relationship of atmosphere-ocean interactions over SCS are associated with the changes in the relationship with Northeast Asian summer precipitation. In particular, a simultaneous correlation coefficient between the precipitation over SCS and Northeast Asia becomes stronger during after the late-1990s than before the late-1990s. We argue that the increase of the SST forcing of the atmosphere over SCS may lead a direct relationship of precipitation variations between SCS and Northeast Asia after the late-1990s.

• Ecology and Resilient Infrastructure
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• v.5 no.2
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• pp.72-81
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• 2018

Groundwater level (GWL) fluctuation, which can occur due to several artificial and natural reasons, causes reduction of bearing capacity of foundation structures and can lead settlement of ground. As a result, GWL fluctuation affects stability and serviceability of entire building. However, in many case, GWL is considered as fixed value that obtain from geotechnical investigations. That is reason that GWL fluctuation is considered as area of non-geotechnical engineering. In present study, factors causing GWL fluctuation were analyzed at urban and rural area as preliminary research of quantification of GWL fluctuation. GWL varies according to hydrological and geographical characteristics. Also, the influence factors are largely affected by hydrological and geographical characteristics.

• Journal of the Economic Geographical Society of Korea
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• v.12 no.4
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• pp.494-506
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• 2009

This paper tests whether or not manufacturing specialization, employment growth, establishment size, employment size, industrial mix in manufacturing, regional difference between the Capital region and the others and so on are empirically related to manufacturing employment volatility levels across 203 municipalities called shi-gun-gu during the period 1990~2006. Using the spatial econometric analysis of cross sectional data, the municipalities tending to be more volatile are more specialized; they have higher-than-average employment growth rates, smaller establishment and employment sizes, regardless of any industrial mix in manufacturing; and they tend to be located in the Capital region. Unlike existing foreign literature based upon the spatial econometric analysis of cross sectional data, this paper finds that volatility of growth in a municipality is negatively rather than positively influenced by volatility of growth in its neighboring municipalities.

• Proceedings of the Korea Water Resources Association Conference
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• 2006.05a
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• pp.1535-1540
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• 2006

하천의 평형상태를 판단하기위해 필요한 두가지 관점은 첫째, 대상 하천이 현재 평형상태에 있는 가이고 둘째, 하천에 하상변동을 일으킬 수 있는 인위적인 영향을 가한 후에 하천반응을 통해 궁극적으로 결정되는 평형상태를 예측하는 것이다. 따라서 본 연구는 하도의 특성을 토대로 하여 현 하도의 평형상태를 정성적인 측면에서 검토하고, 흐름과 유사 이송에 관련된 수학모형을 수치적으로 해석하는 하상변동모형의 분석을 통한 현하도의 안정성 및 하상변동 양상을 파악하는데 그 목적이 있다. 본 연구는 임진강 유역의 충적하천인 문산천을 대상으로 지배유량을 산정한 후 지배유량 유하시의 마찰속도와 무차원 소류력 등의 하도특성량을 산정하여 토사이송이 크게 발생하는 구간을 정성적으로 예측하였다. 예측된 구간의 현장조사결과 $No.29{\sim}No.35$ 구간의 하상의 상승은 개수공사와 수해복구공사로 인한 인위적인 굴착에 대한 퇴적으로 하천이 평형상태로 환원하고자 하는 것으로 판단되었고, $No.41{\sim}No.54$ 구간의 하상저하는 문산천 상류구간의 큰 하상경사와 보의 영향인 것으로 조사되었다. 또한 1, 2차원 모형에 의한 장 단기 하상변동 분석결과 하도특성량을 이용한 하도의 안정성 평가와 유사한 결과를 보였다. 따라서 문산천의 경우 하상변동의 양상 파악 및 하도의 안정성 판단을 하는데 있어 하도특성량을 근거로 판단하는 방법의 적용가능성을 파악할 수 있었다.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.30 no.2B
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• pp.191-198
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• 2010

Assessing seasonality of precipitation is necessarily required to establish future plans and policies for water resources management. In this regard, a main objective of the study is to introduce an effective approach for assessing the seasonality of the precipitation and evaluate the seasonality through the proposed one. We have used circular statistics to characterize the seasonality on the precipitation in Korea. The circular statistics allow us to effectively assess changes in timing of the seasonality in detail. It was found that peak time on monthly rainfall occurred between end of June and early July in southern coastal area while the timing was delayed in northern part of Korea because of monsoon moving in from south to north. In case of annual daily peak precipitation, spatio-temporal variation of the peak time was increased. It is mainly because of geophysical effects, frequency and paths of typhoons. Finally, temporal variations on the timing of the peak seasons were evaluated through circular statistics by 30-year moving average data. The peak season in the Northen part of Korea (e.g. Seoul and Gangrung) has been moved back from early July to end of July while the peak season has been moved up from middle of July to early July in the Southern part of Korea (e.g. Busan and Mokpo). It seems that changes in seasonality are mostly modulated by variability in the east-asia monsoon system.

• The Korean Journal of Financial Management
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• v.9 no.1
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• pp.135-175
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• 1992

본 논문은 주가(株價)의 변동성검증모형(變動性檢證模型)을 한국주식시장(韓國株式市場)에 적용하여 시장의 효율성을(效率性) 검증하였다. 1975년부터 1990년까지 의 17년 기간중 Shiller[81a], Mankiw-Romer-Shapiro[85], West[88b]의 모형을 이용하여 검증한 결과, 높은 수준의 과잉변동성(過剩變動性)이 발견되었다. 그러나 이러한 주가의 과잉 변동성을 시장이 비효율적이라는 증거로 간주하기는 어렵다. 왜냐하면 이들 모형의 가정 중의 하나인 할인율이 일정하다는 가정을 완화시켜 다시 검증한 결과는 오히려 과잉변동성 중에서 많은 부분이 감소하는 것으로 나타났기 때문이다. 다시말해서 주가에 과잉변동성이 존재하는 것은 시장이 비효율적이라기 보다는 기간에 따른 할인율의 변동폭이 큰 데에 원인이 있는 것으로 해석된다. 따라서 할인율(割引率)의 변동원인(變動原因)을 조사하여 주식시장의 효율성을 분석하였다. 주가의 일부는 랜덤웍의 요소에 의해 결정되고, 나머지 일부는 평균회귀(平均回歸) fads(mean reverting fads)에 의해 결정된다고 가정하여 검증한 결과, 후자에 의해 설명된 비율이 매우 높게 나타났다. 즉 한국주식시장에서의 투자자는 교란거래(攪亂去來)(noise trading)나 피드백거래(去來)(feedback trading) 등의 비합리적인 투자행동을 취하고 있으며, 이러한 비합리적인 행동에 의해 주가변동의 $60{\sim}80%$가 설명되는 것으로 보인다.

• Journal of Venture Innovation
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• v.2 no.2
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• pp.117-126
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• 2019

This study conducted correlation analysis and multiple regression analysis using financial statements, loan structure, ROA and ROA volatility of domestic commercial banks, regional banks and special banks for the past five years (2012 ~ 2016). The result is as follows. First, as a result of correlation analysis, bank's ROA is positively related to household loans and SME loans, but it is negatively correlated with the ratio of loans to large companies, sector bias, and loan loss provision ratio. Second, ROA volatility was negatively related to household loans and SME loans, but it was positively correlated with large corporate loans, sector bias ratio, and loan loss provision ratio. Third, as a result of the regression analysis, the variables that have a statistically significant effect on the ROA volatility of banks were household loans, SME loans, and large enterprise loans. From these empirical results, special banks with high volatility in profits need to diversify loan types and sectors in order to achieve business performance outside of policy finance. and Especially, Suhyup Bank and Nonghyup Bank, which have a large commercial role, have a large size per unit by focusing on short-term profit and Rather than focusing on large companies or large loans that are easy to obtain financial information, it is necessary to focus management capabilities on household loans and SME loans by developing capabilities such as screening techniques.

• Land and Housing Review
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• v.12 no.3
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• pp.27-37
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• 2021

This paper empirically examined the relationship between the housing market and the stock market to investigate the price and the asymmetric volatility spillover effects. The monthly housing price index and the monthly KOSPI were used for analysis. This research employed the EGARCH model. The analysis period was from January 1986 until June 2021 with periodization centered on the Asian Financial Crisis: before and after the crisis - the end of December 1997. The EGARCH model allows analysis of 'good news' and 'bad news' in understanding volatility. The price spillover effect was observed one way from the stock market to the housing market. On the contrary, the spillover effect was not found from the housing market to the stock market. The empirical evidence suggests that there are price and asymmetric volatility effects in the entire period of analysis in both housing and the stock markets. In the housing market, the negative effects of information were found pre-financial crisis while the positive effects, in other periods. However, in the stock market, the negative effects of information were found in the pre- and post-financial crisis periods. This means that the housing market is more affected by 'good news' than 'bad news' when information spreads to the markets while the stock market is more affected by 'bad news' than 'good news'. It is of significance to discover the variable returns by different information.