• KDI Journal of Economic Policy
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• v.14 no.4
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• pp.3-26
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• 1992

The pupose of this paper is to construct a price determination model of the Korean economy and to find out the propogation mechanism of monetary and fiscal policies. The model is a small-size macroeconometric model consisted of ten core equations : consumption, investment, exports, imports, consumer price index, wage rate, corporate bond rate, potential GNP, capital stock, and GNP identity. The model is a Keynesian model : consumer price index is determined by markup over costs, and wage rate is expressed by Phillipse curve ralation. Two features of the model, however, distinguish this model from other macroeconometric models of the Korean economy. First of all, the estimation of potential GNP and the capital stock is endogenized as suggested by Haque, Lahiri, and Montiel (1990). This allows us to calculate the level of excess demand, which is defined as the difference between the actual GNP and the potential GNP. Second, interest rate, inflation and wages are all estimated as endogenous variables. Moreover, all quantity variables include price variables as important determinants. For instance, interest rate is an important determinant of consumption and investment. Exports and imports are determined by the real effective exchange rate. These two features make the interactions between excess demand and prices the driving forces of this model. In the model, any shock which affects quantity variable(s) affects excess demand, which in turn affects prices. This strong interaction between prices and quantities makes the model look like a classical model over the long run. That is, increases in money supply, government expenditures, and exchange rate (the price of the U.S. dollar in terms of Korean won) all have expansionery effects on the real GNP in the short run, but prices, wage, and interest rate all increase as a result. Over the long run, higher prices have dampenning effects on output. Therefore the level of real GNP turns out to be not much different from the baseline level ; on the other hand, the rates of inflation, wage and interest rate remain at higher levels.

• The Journal of Society for e-Business Studies
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• v.25 no.1
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• pp.65-82
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• 2020

Start-ups often use crowdfunding platforms such as Wadiz to get financing from corporate investors and general public. These platforms include functions to increase participant activity through the number of comments, interest and online word-of-mouth. This study aims to elucidate how these functions related to a participant activity exhibit mediating effects on a success of crowdfunding and an achievement rate of targeted investment amount. To this end, the individual variables such as progress period, target amount, venture company, experience of attracting investment, possession of intellectual property rights, a career of the representative and an award experience of the representative were classified into the project characteristics, the company characteristics and the representative characteristics through not only previous studies but also interviews with investment professionals and platform operators. Afterwards, this study went through an empirical verification process using a structural equation model that has both crowdfunding performance and participant activity, which is the independent and mediating factors of three perspectives, as well as the dependent variables. In other words, this study analyzes how the characteristics of three perspectives affect the participant activity and how the participant activity had the mediating effects on the crowdfunding performance. In addition, it derives how the analysis results mentioned above vary according to business types (internet services, culture/art, manufacturing/distribution) and investment styles (stock type and bond type). It is expected that this study will help not only in deriving the factors affecting the performance of an investment type crowdfunding but also in preparing the measures to increase a participant activity.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.4
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• pp.480-488
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• 2016

As the subprime mortgage crisis spread globally, it depressed not only the financial market, but also the construction business in Korea. In fact, according to CERIK, the BSI of the construction businesses plunged from 80 points in December 2006 to 14.6 points in November 2008, and the extent of the depression in the housing sector was particularly serious. In this respect, this paper analyzes the influence of the financial market fluctuation on the housing market before and after the Global Financial Crisis using VECM. The periods from January 2000 to December 2007 and January 2008 to October 2015, before and after the financial crisis, were set as Models 1 and 2, respectively. The results are as follows. First, when the economy is good, the Gangnam housing market is an attractive one for investment. However, when it is depressed, the Gangnam housing market changes in response to the macroeconomic fluctuations. Second, the Gangbuk and Gangnam housing markets showed different responses to fluctuations in the financial market. Third, when the economy is bad, the effect of low interest rates is limited, due to the housing market risk.

• Proceedings of the Safety Management and Science Conference
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• 2002.11a
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• pp.321-339
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• 2002

The result of variance decomposition through yield of Treasury of 30 year maturity of USA, S&P 500 index, stock price of KEPCO has 76.12% of impulse of KEPCO stock price at short-term horizon, but they have 51.40% at long-term horizon. After one year, they occupy 13.65%, and 33.25%. So their effects are increased. By the way, S&P 500 index and yield of Treasury of 30 year maturity of USA have relatively more effect for forecast of stock price oi KEPCO at short-term & long-term. The yield of Treasury of 30 year maturity of USA more than S&P 500 index have more effect for stock price of KEPCO. It is why. That foreign investors through fall of stock price of USA invest for emerging market is less than movement for emerging market of hedge funds through effect of fall of yield of Treasury of 30 year maturity of USA, according to relative effects for stock price of Korea companies. The result of variance decomposition through won/dollar foreign exchange rate, yield of corporate bond of 3 year maturity, Korea Stock Price index(KOSPI), stock price of KEPCO has 81.33% of impulse of KEPCO stock price at short-term horizon, but they have 41.73% at long-term horizon. After one year, they occupy 23.57% and 34.70%. So their effects are increased. By the way, KOSPI and won/dollar foreign exchange rate have relatively more effect for forecast of stock price of KEPCO at short-term & long-term. The won/dollar foreign exchange rate more than KOSPI have more effect for stock price of KEPCO. It is why. The recovery of economic condition through improvement of company revenue causes of rising of KOSPI. But, if persistence of low interest rate continues, fall of won/dollar foreign exchange rate will be more aggravated. And it will give positive effect for stock price of KEPCO. This gives more positive effect at two main reason. Firstly, through fall of won/dollar foreign exchange rate and rising of credit rating of Korea will be followed. Therefore, foreign investors will invest more funds to Korea. Secondly, inflow of foreign investment funds through profit of won/dollar foreign exchange rate and stock investment will be occurred. If appreciation of won against dollar is forecasted, foreign investors will buy won. Through this won, investors will do investment. Won/dollar foreign exchange rate is affected through external factors of yen/dollar foreign exchange rate, etc. Therefore, the exclusion of instable factors for foreign investors through rising of credit rating of Korea is necessary things.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.18 no.4
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• pp.163-174
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• 2017

This study analyzed how Korean firms' recapitalization affects their capital structure decision and firm value. Recapitalization was categorized into three groups according to the influence of the debt to equity ratio: debt ratio-increasing-recapitalization(capital reduction with refund, cash dividend), debt ratio-unchanging-recapitalization (capital reduction without refund, retirement of repurchased stocks), and debt ratio-decreasing-recapitalization(exercise the rights for convertible bonds, bond with stock warrants, exchangeable bonds and stock options). This article highlights how the relationship between the firms' recapitalization and the capital structure decision driven by the change in debt to equity ratio through the recapitalization should affect the firm value. The whole recapitalization sample used for this analysis comprised 22,814 enterprises listed on the Korea Exchange that were analyzed over the 16-year period from 2000 to 2015. To summarize the results of this Panel Data Analysis, firstly, when a firm executes debt ratio-increasing-recapitalization and debt ratio-decreasing-recapitalization at the period of t-1, the debt to equity ratio, which is increased or decreased, should affect the firm's debt capacity in the same period, then, at the period of t, the firm establishes a leverage policy to readjust the debt to equity ratio the other way around. These adjustments of debt-paying-ability from the leverage policy, including the capital structure decision, finally affect the firm value. Secondly, when a firm implements the debt ratio-unchanging-recapitalization in the period of t-1, the debt to equity ratio, which is neutral, should not affect the firm's capital structure decision. But, the firm value is positively affected by the influence of that recapitalization. Conclusively, we acknowledge a firm which carries out the recapitalization balances its capital structure to the optimal level of leverage and that the capital structure decision positively affects the corporate value.

• KDI Journal of Economic Policy
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• v.14 no.1
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• pp.147-165
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• 1992

This paper analyzes the macroeconomic effects of elections on the Korean economy and their future ramifications. It measures the shocks to the Korean economy caused by elections by taking the average of sample forecast errors from four major elections held in the 1980s. The seven variables' Bayesian Vector Autoregression Model which includes the Monetary Base, Industrial Production, Consumption, Consumer Price, Exports, and Investment is based on the quarterly time series data starting from 1970 and is updated every quarter before forecasts are made for the next quarter. Because of this updating of coefficients, which reflects in part the rapid structural changes of the Korean economy, this study can capture the shock effect of elections, which is not possible when using election dummies with a fixed coefficient model. In past elections, especially the elections held in the 1980s, $M_2$ did not show any particular movement, but the currency and base money increased during the quarter of the election was held and the increment was partly recalled in the next quarter. The liquidity of interest rates as measured by corporate bond yields fell during the quarter the election and then rose in the following quarter, which is somewhat contrary to the general concern that interest rates will increase during election periods. Manufacturing employment fell in the quarter of the election because workers turned into campaigners. This decline in employment combined with voting holiday produce a sizeable decline in industrial production during the quarter in which elections are held, but production catches up in the next quarter and sometimes more than offsets the disruption caused during the election quarter. The major shocks to price occur in the previous quarter, reflecting the expectational effect and the relaxation of government price control before the election when we simulate the impulse responses of the VAR model, imposing the same shocks that was measured in the past elections for each election to be held in 1992 and assuming that the elections in 1992 will affect the economy in the same manner as in the 1980s elections, 1992 is expected to see a sizeable increase in monetary base due to election and prices increase pressure will be amplified substantially. On the other hand, the consumption increase due to election is expected to be relatively small and the production will not decrease. Despite increased liquidity, a large portion of liquidity in circulation being used as election funds will distort the flow of funds and aggravate the fund shortage causing investments in plant and equipment and construction activities to stagnate. These effects will be greatly amplified if elections for the head of local government are going to be held this year. If mayoral and gubernatorial elections are held after National Assembly elections, their effect on prices and investment will be approximately double what they normally will have been have only congressional and presidential elections been held. Even when mayoral and gubernatorial elections are held at the same time as congressional elections, the elections of local government heads are shown to add substantial effects to the economy for the year. The above results are based on the assumption that this year's elections will shock the economy in the same manner as in past elections. However, elections in consecutive quarters do not give the economy a chance to pause and recuperate from past elections. This year's elections may have greater effects on prices and production than shown in the model's simulations because campaigners' return to industry may be delayed. Therefore, we may not see a rapid recall of money after elections. In view of the surge in the monetary base and price escalation in the periods before and after elections, economic management in 1992 should place its first priority on controlling the monetary aggregate, in particular, stabilizing the growth of the monetary base.

• Journal of Intelligence and Information Systems
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• v.28 no.3
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• pp.105-117
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• 2022

This study analyzes the effects between stock returns and interest rate spread, difference between long-term and short-term interest rate through the polynomial linear regression analysis. The existing research concentrated on the business forecast through the interest rate spread focusing on the US market. The previous studies verified the interest rate spread based on the leading indicators of business forecast by moderating the period of long-term/short-term interest rates and analyzing the degree of leading. After the 7th reform of composite indices of business indicators in Korea of 2006, the interest rate spread was included in the items of composing the business leading indicators, which is utilized till today. Nevertheless, there are a few research on stock returns of each industry and interest rate spread in domestic stock market. Therefore, this study analyzed the stock returns of each industry and interest rate spread targeting Korean stock market. This study selected the long-term/short-term interest rates with high causality through the regression analysis, and then understood the correlations with each leading period and industry. To overcome the limitation of the simple linear regression analysis, polynomial linear regression analysis is used, which raised explanatory power. As a result, the high causality was verified when using differences between returns of corporate bond(AA-) without guarantee for three years by leading six months and call rate returns as interest rate spread. In addition, analyzing the stock returns of each industry, the relation between the relevant interest rate spread and returns of the automobile industry was the closest. This study is significant in the aspect of verifying the causality of interest rate spread, business forecast, and stock returns in Korea. Even though it could be limited to forecast the stock price by using only the interest rate spread, it would be working as a strong factor when it is properly utilized with other various factors.