• International Area Studies Review
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• v.15 no.3
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• pp.191-213
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• 2011

This study empirically examines whether income smoothing effectively contributes to consumption smoothing. Since international factor movement plays an important role for income smoothing across countries, net factor income across countries deserves more attention in considering income smoothing than attention having been paid by previous studies in the literature. Most of previous studies assume that net factor income has the same degree of effects on consumption as GDP. For the case of 12 EU countries during the period from 1999 to 2010, our empirical investigation observes that the response of consumption with respect to net factor income is severely lower than the response of consumption with respect to GDP, and further net factor income has ignorable effects on the consumption. This evidence implies that the income smoothing via international factor movement is less significant in contributing to the consumption smoothing. In the sequel, our finding suggests that legal and institutional process for transferring net factor income across countries should be eased further to improve contribution of income smoothing to consumption smoothing.

• The Korean Journal of Financial Studies
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• v.6 no.1
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• pp.269-287
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• 2000

본 연구에서는 미국 상장은행의 자산 부채포오트폴리오 구성의 위험분산(risk diversification)과 도덕적해이(moral hazard)에 관한 실증적 분석을 행하였다. 실증적 분석의 결과 은행의 금기(今期)의 위험분산과 금기(今期) 이후의 위험추구 간에는 유의적인 양(陽)의 관계가 있음을 발견하였다. 즉 위험분산의 정도가 커서 투자가들로부터 파산가능성이 낮을 것으로 여겨지며, 따라서 위험증가에 따른 자본조달비용(예금이자율)의 증가라는 시장에서의 억제기능(market discipline)이 효과적으로 부과되지 못하는 은행들은 이러한 이점들을(특히 시장관련-체계적) 위험성이 높은 정책을 추구함으로써 수익을 증가시키려는 도덕적해이의 동기를 가지고 있음을 알 수 있었다. 선행연구에서의 논리대로 은행규모의 대형화가 자산 부채포오트폴리오 구성의 위험분산을 크게 하는 주요한 원인 중의 하나라면, 본 연구에서의 결과는 은행산업의 불건전한 재무구조와 그로 인한 금융질서의 혼란, 나아가 국가경제 전체의 혼란을 겪고 있는 한국 금융산업의 현주소, 즉 부실은행을 퇴출시키고 인수 합병에 의한 대형선도 은행(leading banks)중심으로 은행산업을 재편하는 한국금융산업의 구조조정에 있어 간과되어서는 안 될 중요한 정책적 시사점을 제시해 주고 있다고 하겠다. 즉 도덕적해이의 감소에 대한 제도적인 유인장치가 없는 단순한 인수 합병에 의한 은행의 자산규모의 증가가 반드시 은행산업의 구조적 안정에 기여할 것이라고 기대할 수는 없을 것이다. 대형은행의 자산 부채포오트폴리오 구성의 위험분산의 이점과 이로 인한 투자가들의 대형은행의 위험추구행위에 대한 감시동기의 부족, 이로 인한 도덕적해이가 필연적으로 발생하는 현상이라면, 도덕적해이의 감소에 대한 추가적인 유인책 없는 단순한 자산규모의 증가는 인수 합병을 통하여 탄생한 대형선도 은행들의 또 다른 도덕적해이를 낳을 가능성이 크기 때문이다.

• International Area Studies Review
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• v.13 no.2
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• pp.89-115
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• 2009

By measuring the consumption risk sharing for the EU regions, we evaluate the performance of various risk sharing channels for the EU. We identify which countries are likely to form the highest risk sharing group among the EU regions by using the DFFITS and DFBETAS diagnostics derived in a statistical regression. Our finding suggests that most western European countries seem to display homogeneous degree of risk sharing. In addition, our result confirms that high risk sharing regions as well as low risk sharing regions are mainly located in many eastern European countries that joined the EU later than western European countries, and implies that the EU members are still dichotomized at large in terms of consumption risk sharing.

• Management & Information Systems Review
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• v.29 no.4
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• pp.207-223
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• 2010

One of the important prudential regulations is the capital regulation. The current domestic and international capital regulation sets the minimum capital requirement according to the size of risk which is the simple sum of market risk and credit risk. However the portfolio theory suggests that, due to the effect of diversification, the total risk is less than the summation of market and credit risk. This paper investigates and does empirical test to verify the diversification effect in measuring financial firm's integrated risk. We verify the diversification effect between the market risk and credit risk. This paper's contribution is to present the empirical evidence that, considering the relationship between market and credit risk, the integrated risk is less than sum of them. This implication is that the surplus capital may be used for the other purposes, therefore enhancing capital allocation efficiency in view of society as a whole.

• International Area Studies Review
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• v.13 no.3
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• pp.51-71
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• 2009

We pursue empirically influential determinants of risk-sharing across various groups in the United States. We consider all the possible combinations out of the eight BEA economic regions and relate the risk-sharing measure for each group to sectoral composition difference under the control of the state-level macroeconomic and financial characteristics. Our results show that more active risk-sharing via cross-ownership market is observed in groups exhibiting more different sectoral composition. The evidence implies that, given other economic and financial conditions equal, economic union tends to share more consumption risk among its members that are more heterogeneous in their sectoral composition. These days, many countries aim to form FTA and other forms of economic integration. We suggest that they should pay attention to sectoral composition for member countries to minimizes income shock in the integrated economy.

• Management & Information Systems Review
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• v.30 no.4
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• pp.359-383
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• 2011

One of the representative prudential regulations is the capital regulation. The current regulation and international criteria are just simply adding up the market risk and credit risk. According to the portfolio theory due to diversification effect the total risk is less than the summation of market and credit risk. This paper investigates to verify the existence of diversification effect in measuring the integrated risk of financial firm by the copula function, which is combine the different distribution maintain their propriety. The result of the test shows that in measuring the integrated risk not only the correlation and but also the proprieties of market and credit risk distribution are very important. And the tail of risk distribution is important when measuring the economic capital, especially the external impact to the financial market. This paper's contribution is that the empirical evidence in considering the relationship between market and credit risk the integrated risk is less than sum of them.

• Korean Journal of Construction Engineering and Management
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• v.14 no.1
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• pp.23-31
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• 2013

Following the U.S sub-prime mortgage crisis and a slump in properties market, the probability is rising that housing investment would not yield high profit as it used to do until early 2000s. For this reason, the nature of properties market is undergoing a change from a source of lucrative investment to a source of a relatively low but stable profit, such as profit-oriented real estate. This trend is likely to promote REITs market, which is a leading product for indirect investment. Until now, the REITs market has been growing slowly compared to a general housing market or financial markets. However, as the importance of risk management based on portfolio theories increases, stable profit generation of REITs can be effective in risk management. This study conducts an empirical analysis on how investment risks can be diversified by including REITs-a source of relatively stable profit in the equity market-in investment portfolio. The analysis results showed that, similar to food and beverage stocks of highly defensive nature, REITs has a relatively weak correlation with KOSPI that reflects the overall market performance. It also showed very low standard deviation in case of minimum variance portfolio. This suggests that including REITs in investment portfolio can be as effective as including food and beverage stocks for risk diversification. Due to uncertainties, investment always accompanies risks, and balancing potential profits and risks is essential.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.22 no.1
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• pp.103-110
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• 2022

This paper deals with portfolio optimization problem that you could lower the total risk of an investment portfolio by adding risky assets to the mix than the minimum risk of single asset. Popular Markowitz's mean-variance(MV) model construct the portfolio with the point in the efficient frontier using principle of domination where the variance is minimized for a given mean return. While this paper suggest the portfolio with minimum risk asset with non-positive(negative and uncorrelated) correlation assets to it. As a result of experiments, the proposed method shows lower risk(standard deviation) than MV.

• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.133-152
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• 2007

In this paper, we examine a portfolio selection model in which a safety-first investor maximizes expected return subject to a downside risk constraint. We use the Value-at-Risk as the downside risk measure. We exploit the fact that returns are fat-tailed, and use a semi-parametric method suggested by Jansen, Koedijk and de Vries(2000). We find a more realistic asset allocation than the one suggested by the literature based on the traditional mean-variance framework. For the robustness check, we provide empirical analyses using empirical quantiles. The results highlight that for optimal portfolio selection involving downside risks that are far in the tails of the distribution, our mean-VaR model with a fat-tailed distribution is superior.

• The Journal of Fisheries Business Administration
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• v.32 no.1
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• pp.41-55
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• 2001

본 논문의 목적은 김 양식 있어서 무기산 또는 유기산 사용 문제와 김 양식 어업인들의 생산위험 회피행위를 고찰하기 위한 이론적 틀을 개발하고, 정책함의를 도출하는데 있다. 김 양식의 생산위험 또는 가격위험은 김 양식 어업인들이 직면하고 있는 가장 중요한 의 사길정변수라고 할 수 있으며, 특히 문제가 되고 있는 무기산(또는 폐염산) 또는 유기산은 농업에 있어서 농약처럼 김 양식 어업인들이 생산위험을 최소화하기 위한 일종의 보험 생산요소(insurance production inputs)으로 볼 수 있다. 김 양식 어업인들의 생산위험은 평균(1차 적률 mean), 분산(2차 적률 variance), 왜곡도(3차 적률 skewnesss)에 의해 측정될 수 있으며, 특히 김 양식 어업인들은 확률이 낮을지라도 일단 첫병과 잡태(예: 파래 등)가 광범위하고 심각하게 발생하게 되면 생산물의 심각한 질적 저하가 야기된다는 사실을 경험적으로 인식하고 있다. 따라서 김 양식 어업인들은 평균생산 뿐만 아니라 생산의 분산과 하향성 확률 분포를 최소화할 수 있는 생산기술을 이용하게 된다. 이러한 김 양식 어업인들의 위험회피행위를 분석하기 위해 기대효용이론을 채택하고, 미지의 진효용함수를 테일러 시리즈 확장에 의해 3차 적률까지를 근사치로 이용하였다. 이윤에 대한 기대효용 극대화를 위한 1차 최적조건을 구하면, 어떤 산(무기산 또는 유기산)을 얼마만큼 이용하느냐 하는 문제는 생산량의 분산과 하향성 분포에 대한 김 양식 어업인들의 위험회피계수의 크기와 생산요소의 탄성치에 의해 결정된다. 특히 하향성 위험회피계수가 높고 3차 적률에 대한 생산요소 산의 탄성치가 클 경우 김 양식 어업인들른 하향성 위험을 줄이기 위해 상대적으로 강력하고 가격이 저렴한 산을 더 많이 이용하게 된다. 또한 두 가지 산의 효과가 같다면 무기산/유기산의 시장가격과 정부 산 가격 정책이 김 양식 어업인들의 산 종류 선택과 사용량 결정에 유의한 영향을 미치게 될 것이다. 무기산의 사용이 광범위하고 집약적으로 이루어질 경우 김 양식부문에서 폐공업용 염산 이용에 의한 생산위험 감소는 해양생태환경 파괴위험 증가로 이어질 수 있으며 여기에 바로 정부 산정책의 딜레마가 있다. 따라서 김 양식의 생산성 증대와 환경보전의 균형 유지에 대한 확고한 정책목표가 필요하며, 이러한 정책목표가 흔들릴 경우 산 문제에 대한 정부정책은 생산성 증대와 환경보전 어느 한쪽 부문에 심각한 왜곡현상을 초래할 수 있다.