• 경영과정보연구
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• 제37권1호
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• pp.123-138
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• 2018

본 연구는 한국노동연구원의 사업체패널조사 1-5차년도 자료와 행정자료인 "고용보험 DB"를 결합하여 구축한 "사업체-근로자 연계자료"를 활용하여 사업체 근로자의 연령구성과 생산성 및 인건비와의 관계를 실증분석 하였다. 사업체의 생산성은 1인당 부가가치로, 인건비는 1인당 노동비용으로, 사업체 근로자의 고령화 정도는 근로자의 연령구성으로 측정하였으며 동적패널모형을 활용하였다. 분석 결과, 생산성과 인건비 모두 사업체의 35-39세 연령대 근로자의 비율을 중심으로 역U자의 모습을 보였다. 즉, 35-39세 연령대 근로자 대신 더 젊은층의 근로자 혹은 더 고령층의 근로자 비중이 증가하는 경우 생산성 및 인건비에 부(-)의 영향을 미치는 것으로 나타났다. 특히, 35-39세 연령대 근로자 대신 50세 이상 연령대 근로자가 증가할 때의 생산성 추정계수와 인건비 추정계수와의 차이가 30세 미만 연령대 근로자가 증가할 때의 생산성 및 인건비의 추정계수와의 차이보다 더 큰 것으로 나타났다. 이러한 분석 결과를 통해 고령근로자의 생산성 저하에 대한 기업의 우려는 타당하나, 동시에 기업은 이미 인건비 조정 등의 방법을 통해 고령근로자를 효율적으로 활용해 왔음도 확인할 수 있다.

• 유통과학연구
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• 제13권5호
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• pp.53-60
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• 2015

Purpose - The purpose of this paper is to shed light on the importance of the slope and curvature of the volatility curve implied in option prices in the KOSPI 200 options index. A number of studies examine the implied volatility curve, however, these usually focus on cross-sectional characteristics such as the volatility smile. Contrary to previous studies, we focus on time-series characteristics; we investigate correlation dynamics among slope, curvature, and level of the implied volatility curve to capture market information embodied therein. Our study may provide useful implications for investors to utilize current market expectations in managing portfolios dynamically and efficiently. Research design, data, and methodology - For our empirical purpose, we gathered daily KOSPI200 index option prices executed at 2:50 pm in the Korean Exchange distribution market during the period of January 2, 2004 and January 31, 2012. In order to measure slope and curvature of the volatility curve, we use approximated delta distance; the slope is defined as the difference of implied volatilities between 15 delta call options and 15 delta put options; the curvature is defined as the difference between out-of-the-money (OTM) options and at-the-money (ATM) options. We use generalized method of moments (GMM) and the seemingly unrelated regression (SUR) method to verify correlations among level, slope, and curvature of the implied volatility curve with statistical support. Results - We find that slope as well as curvature is positively correlated with volatility level, implying that put option prices increase in a downward market. Further, we find that curvature and slope are positively correlated; however, the relation is weakened at deep moneyness. The results lead us to examine whether slope decreases monotonically as the delta increases, and it is verified with statistical significance that the deeper the moneyness, the lower the slope. It enables us to infer that when volatility surges above a certain level due to any tail risk, investors would rather take long positions in OTM call options, expecting market recovery in the near future. Conclusions - Our results are the evidence of the investor's increasing hedging demand for put options when downside market risks are expected. Adding to this, the slope and curvature of the volatility curve may provide important information regarding the timing of market recovery from a nosedive. For financial product distributors, using the dynamic relation among the three key indicators of the implied volatility curve might be helpful in enhancing profit and gaining trust and loyalty. However, it should be noted that our implications are limited since we do not provide rigorous evidence for the predictability power of volatility curves. Meaning, we need to verify whether the slope and curvature of the volatility curve have statistical significance in predicting the market trough. As one of the verifications, for instance, the performance of trading strategy based on information of slope and curvature could be tested. We reserve this for the future research.