• Environmental and Resource Economics Review
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• v.8 no.2
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• pp.227-244
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• 1999

환율의 과도한 변동이 무역량을 위축시키는지에 대하여 선진국을 대상으로 그 동안 많은 연구가 있어 왔다. 최근 한국은 1990년 이후 제한하여 오던 환율의 변동허용폭을 폐지함에 따라 환율의 과도한 변동을 경험하고 있다. 본 연구는 한국의 경우 환율의 변동성이 원유수입(原油輸入)에 미치는 효과를 장단기(長短期)로 구분하여 Johansen에 의하여 개발된 공적분기법으로 분석하였다. 분석결과에 의하면 단기에 있어서 환율의 변동성은 원유수입을 감소시키나 장기에는 원유수입에 큰 영향을 주지 않는 것으로 나타났다. 이는 단기에는 원유(原油)의 비축물량이 존재하여 가격의 불확실성이 원유수입을 감소시키나, 장기적으로는 원유수입이 비경쟁적 수입이고 수입기업이 환위험을 감소시키는 기법등을 사용한 결과로 환율의 변동성이 원유수입에 큰 영향을 주지 않았다고 할 수 있다.

• The Korean Journal of Financial Management
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• v.22 no.2
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• pp.165-187
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• 2005

This paper tries to investigate the relationships among stock return volatility, time-varying risk premium and Korea Discount. Using Korean Composite Stock Price Index (KOSPI) return from January 4, 1980 to August 31, 2005, this study finds possible links between time-varying risk premium and Korea Discount. First of all, this study classifies Korean stock returns during the sample period by three regime-switching volatility period that is to say, low-volatile period medium-volatile period and highly-volatile period by estimating Markov-Switching ARCH model. During the highly volatile period of Korean stock return (09/01/1997-05/31/2001), the estimated time-varying unit risk premium from the jump-diffusion GARCH model was 0.3625, where as during the low volatile period (01/04/1980-l1/30/1985), the time-varying unit risk premium was estimated 0.0284 from the jump diffusion GARCH model, which was about thirteen times less than that. This study seems to find the evidence that highly volatile Korean stock market may induce large time-varying risk premium from the investors and this may lead to Korea discount.

• The Korean Journal of Financial Management
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• v.26 no.4
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• pp.63-81
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• 2009

This paper empirically examines the relation between stock volatility and volatilities of macroeconomic variables and financial derivative trading. Previous studies have shown that stock volatility has been much greater than volatilities of macroeconomic variables, and their explanatory powers are too weak to confirm hypothesized theoretical relation between stock volatility and macroeconomic volatilities. The test for the relation using Korean data since 1980 verified such a finding. It is argued that this may have been the result from omitting the influence of financial activities on stock volatility. In particular, this paper demonstrates that, by including the volatility of financial derivative trading, stock volatility-macroeconomic volatility relation can not only be explained better, but also the hypothesized significance of macroeconomic volatilities can be restored.

• Environmental and Resource Economics Review
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• v.25 no.4
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• pp.471-494
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• 2016

This study investigates the effect of remittance and agricultural aid inflows on GDP growth rate volatility in response to climate change shocks in twenty-eight African countries by using system generalized method of moments from 1996 to 2013 with three years grouped data. The climate change shocks are indicated by four variables; natural disasters, rainfall variability, fluctuation in temperature and the weighted anomaly standardized precipitation (WASP) index. Consequently, natural disasters and temperature variability have a significant effect on GDP volatility, while rainfall variability and WASP index have no adverse consequence on stabilization of the economy. On the other hand, in general, remittances and agricultural aid are helpful to stabilize the economy and especially remittances inflows can play a crucial role as insurance when natural disasters occur.

• The Korean Journal of Applied Statistics
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• v.27 no.2
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• pp.291-305
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• 2014

Persistence is one of the typical characteristics appearing in the volatility of financial time series. According to the recent researches, the volatility persistence may be due to either volatility shifts or long-range dependence. In this paper, we consider residual-based CUSUM tests to distinguish volatility persistence, long-range dependence and volatility shifts in GARCH models. It is observed that this test procedure achieve reasonable powers without a size distortion. Moreover, we employ AIC and BIC criteria to estimate the change points and the number of change points in volatility. We demonstrate the superiority of residual-based CUSUM tests on various Monte Carlo simulations and empirical data analysis.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.191-212
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• 2003

Recently, there is a growing body of literature that suggests that information inefficiency is one of the causes of the asymmetric volatility. If this explanation for the asymmetric volatility is appropriate, then innovations, such as the introduction of futures, may be expected to impact the asymmetric volatility of stock market. As transaction costs and margin requirements in the futures market are lower than those in the spot market, new information is transmitted to futures prices more quickly and affects spot prices through arbitrage trading with spots. Also, the merit of the futures market may attract noise traders away from the spot market to the futures market. This study examines the impact of futures on the asymmetry of stock market volatility. If the asymmetric volatility is significant lower post-futures and exist in the futures market, it has validity that the asymmetric volatility is caused by information inefficiency in the spot market. The data examined are daily logarithmic returns on KOSPI 200 stock price index from January 4, 1993 to December 26, 2000. To examine the existence of the asymmetric volatility in the futures market, logarithmic returns on KOSPI 200 futures are used from May 4, 1996 to December 26, 2000. We used a conditional mode of TGARCH(threshold GARCH) of Glosten, Jagannathan and Runkel(1993). Pre-futures the spot market exhibits significant asymmetric responses of volatility to news and post-futures asymmetries are significantly lower, irrespective of bear market and bull market. The results suggest that the introduction of stock index futures has an effect on the asymmetric volatility of the spot market and are inconsistent with leverage being the sole explanation of asymmetry. However, it is found that the volatility of futures is not so asymmetric as expected.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.221-230
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• 2016

This paper investigates volatilities of stock returns based on high frequency data from stock market. Incorporating the price duration as one of the factors in volatility, we employ the autoregressive conditional duration (ACD) model for the price duration in addition to the GARCH model to analyze stock volatilities. A combined ACD-GARCH model is analyzed in which a double-threshold is introduced to accommodate asymmetric features on stock volatilities.

• Proceedings of the Korea Water Resources Association Conference
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• 2012.05a
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• pp.197-197
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• 2012

본 연구에서는 대기 순환패턴 및 수문 환경변화에 영향을 미치는 주요인자인 El Ni$\tilde{n}$o-Southern Oscillation (ENSO)의 서로 다른 형태인 Warm-pool (WP) El Ni$\tilde{n}$o, Cold-tongue (CT) El Ni$\tilde{n}$o에 따른 한강유역의 봄철 (March~May)과 여름철 (June~August) 강수 및 유출의 특성을 분석하였다. 봄철 강수량의 경우, WP El Ni$\tilde{n}$o 시기에 증가추세를 보이며, 강수의 변동특성 또한 크게 나타났다. 여름철 강수량의 경우, CT El Ni$\tilde{n}$o 시기에는 평년보다 대체로 건조한 경향을 보이나, WP El Ni$\tilde{n}$o 시기에는 유역 전체에서 습한 경향을 보였으며 강수의 변동성은 매우 작은 것으로 분석되었다. 봄철 유출량의 경우, CT El Ni$\tilde{n}$o 시기와 WP El Ni$\tilde{n}$o 시기에 모두 평년치보다 크게 나타났으며, WP El Ni$\tilde{n}$o 시기에 한강 남부 대부분 유역에서 유출량이 통계적으로 유의한 증가 경향을 보였다. 여름철 유출량의 경우, CT El Ni$\tilde{n}$o 시기에는 대부분 유역에서 평년치보다 감소하나 수문 변량의 변동성은 큰 것으로 분석되었다. WP El Ni$\tilde{n}$o 시기에는 거의 모든 유역에서 유출이 증가하는 것으로 나타났으며, 특히 13개 중권역에서는 유출의 변동성이 작고 통계적으로 유의한 증가패턴이 분석되었다. 따라서 본 연구는 서로 다른 두가지 형태의 El Ni$\tilde{n}$o패턴에 대하여 한강유역의 봄철과 여름철 수자원 변동성에 민감하게 영향을 미치고 있음을 확인하였으며 수자원의 효율적인 예측 및 관리와 안정적인 용수공급을 위한 수문기상인자와 수문자료간의 관계 규명에 유용하게 활용될 것으로 기대한다.

• KDI Journal of Economic Policy
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• v.33 no.2
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• pp.1-39
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• 2011

This study discusses the phenomenon behind various forms of macroeconomic volatility faced by countries in terms of industrial structure through empirical analysis, and in the process attempts to validate the role of the service industry. The analysis shows that economic fluctuations in Korea have been significantly improved, mainly due to the country risk. However, Korea is still exposed to the impact of external shocks, which is attributable to the manufacturing-centered industrial structure. Under such industrial structure, it is inevitable for the Korean economy to be continuously exposed to macroeconomic fluctuations caused by global sectoral shocks. So, in order to alleviate business fluctuations, it is necessary to enhance the role of non-tradable sectors that account for most of the service industry.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.14 no.6
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• pp.1-13
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• 2015

Travellers consider extra travel time to be arriving their destination because of uncertainty of travel. So it is important to make predictable highway by providing information of travel time variability to traveller so as to enhance level of service at highway. In order to make predictable highway, it is necessary to develope measures of travel time variability that travellers can easily understand. Recently advanced country including the United States, travel time variability index are actively studied. In earlier study, 95percentile of travel time is considered to be most important calculation index of travel time variability. In this study, is has focused on the propriety analysis of 95percentile of travel time in domestic transportation environment. Result of analysis, All of measures(80percentile of travel time, 90percentile of travel time, 95percentile of travel time) show the tendency to increase when case of weather factor occur compare to normal condition under LOS A~D. Especially 95percentile of travel time increased sensitively.