• International Commerce and Information Review
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• v.13 no.3
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• pp.77-95
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• 2011

This paper investigates the relationship between export and economic variables such as trade insurance, world economy activity, relative price, unemployment rate, exchange rate volatility, using monthly data. I employ Johansen cointegration methodology since the model must be stationary to avoid the spurious results. The results indicate that there is a long-run relationship between export and variables. Also, the empirical analysis of cointegrating vector using the CCR, DOLS, FMOLS reveals that the increases of trade insurance has positive relations and the increases of exchange rate volatility have negative relations with export. Especially, DOLS based on Monte Carlo simulations, of this estimator being superior in small samples compared to a number of alternative estimators, as well as being able not only to accommodate higher orders of integration but also to account for possible simultaneity within regressors of a potential system. This paper also applies impulse-response functions to get the additional information regarding the responses of the export to the shocks of the variables. The result indicates that export positively to trade insurance and then decay fast compare with exchange rate volatility. Consequently, trade insurance plays the role of trade policy for export promotion in Korea. Whereas, increase of exchange risk result in reduction of export. Therefore, the support of trade insurance should be expanded and the stabilization of the foreign exchange market must be done for the export promotion.

• Economic Analysis
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• v.25 no.1
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• pp.1-33
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• 2019

This paper examines the economic factors that are related to the dynamics of the variance risk premium, and specially, which economic factors are related to the forecasting power of the variance premium regarding future index returns. Eleven general economic variables, eight interest rate variables, and eleven sentiment-associated variables are used to figure out the relevant economic variables that affect the variance risk premium. According to our empirical results, the won-dollar exchange rates, foreign reserves, the historical/implied volatility, and interest rate variables all have significant coefficients. The highest adjusted R-squared is more than 65 percent, indicating their significant explanatory power of the variance risk premium. Next, to verify the economic variables associated with the predictability of the variance risk premium, we conduct forecasting regressions to predict future stock returns and volatilities for one to six months. Our empirical analysis shows that only the won-dollar exchange rate, among the many variables associated with the dynamics of the variance risk premium, has a significant forecasting ability regarding future index returns. These results are consistent with results found in previous studies, including Londono (2012) and Bollerslev et al. (2014), which show that the variance risk premium is related to global risk factors.

• The Journal of Fisheries Business Administration
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• v.39 no.1
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• pp.133-162
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• 2008

In 1970, direct overseas investment in Korean fisheries started to sell the frozen marine products to Singapore with establishing local subsidiary. Direct overseas investment in China has carried out since Korea and China established diplomat relationship in 1992. the former day, The Korea invested indirectly in China via Hong Kong. It has reported that 253 local subsidiaries applied to China government permit at the end of 2004. The results will make a decision on whether to invest continuously. The results of actual proof analysis has announced that a successful investment of fishery company is mainly influenced in its own government policy. Many advantages of tax and administration for foreign company in China have been changed and vanished comparing to the beginning time of entering china. So. it is imperative for Korean government to take measures to changing policy of Chinese government. The early days, investment of fishery company is type of resources and abundant resources will affect succeeding investment. Nowadays, the type of the investment is the production oriented investment. And then many direct investment linked the production oriented investment have been conducted in many area in China. So. the production oriented investment will affect logistics and successful investment in China. And, The factor of Market potential in Market Factors in the middle of changing market oriented investment will conclude whether to invest. As the china exchange system changed from the fixed exchange system to the fluctuating exchange system. Risk of exchange rate will affect corporate's parent business. The local risk (regulation of import and export, remittance) will affect succeeding investment of corporate's parent.

• Korean Management Science Review
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• v.13 no.1
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• pp.157-177
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• 1996

Because of the liberalization of Korean financial markets, domestic commercial banks are exposed to various risks including interest rate risk and foreign exchange risk. Therefore, asset liability management, developed to manage the risks and profitability of financial institutes systematically, is considered prerequisite for the success in more and more competitive financial environments. However, developing a high value-added software is not easy work because of the lack of domain knowlege and ever-changing financial environments. In this paper, we present a computer model for asset liability management systems. A prototype system is implemented by using Visual Basic 3.0 (professional version) and Access database, based on the 3-tiered client/server model.

• THE INTERNATIONAL COMMERCE & LAW REVIEW
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• v.50
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• pp.215-250
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• 2011

Korean won overseas construction projects worth 71.6 billion US Dollars in 2010, which exceeded that of 2009 by 45.6%. An overseas construction project is a transaction of large scale, long term project, many parties participating, deferred payment, and of high-technology. It contributes to foreign currency earning, and also leads the nation's export restructuring work towards high value-added one. There are various kinds of risks towards the relevant parties respectively, which are key elements in successfully performing the overseas construction project. There are completion risk, financing risk, operating risk, revenue risk etc, in an employer's place. A contractor may be confronted with payment risk, issuance risk of performance bond, financing risk, performance risk of sub-contractors, and exchange rate risk. In lenders place there are repayment risk, completion risk, and political risk in the host country. In order to mitigate risks, the parties shall take relevant measures or require relevant securities. A contractor needs to evaluate the credibility of an employer in respect of payment risk, and can also request export insurance cover by the Korea Trade Insurance Corporation(the former 'Korea Export Insurance Corporation"). An employer can require a contractor to provide performance bond in respect of completion risk, and employ a well-known first class bank as a mandated arranger to arrange financing with regard to completion risk. Lenders needs to evaluate the credibility of an employer and accomplish feasibility study of the project. Lenders can request insurance cover from export credit agency. Once the parties assess the respective risks and obtain relevant securities, the project will be successfully completed. The success of the project will be sure to bring the parties involved enormous profits and another opportunity to participate in overseas construction project afterwards.

• Journal of Korea Trade
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• v.26 no.3
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• pp.45-62
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• 2022

Purpose - Using unexpected changes in geopolitical tensions on the Korean peninsula as a quasi-natural experimental setting, we examine whether and how geopolitical risks travel across borders through firm-level imports and exports linkages. We also test whether the effects are driven by either imports or exports and assess whether firms can effectively hedge themselves against geopolitical risks. Design/methodology - We focus on a series of unanticipated geopolitical events taken place in Korea in 2018. Making use of the shocks to geopolitical climate, we identify five milestone events toward peace talks. We employ the event studies methodology. We examine heterogenous firm-level stock price reactions around key event dates depending on firms' exposure to geopolitical risks. As a measure of firms' exposure to geopolitical risks in Korea, we utilize a text-based measure of firm-level trade links. When a firm announces and discusses its purchase of inputs from Korea or sales of outputs to Korea in their annual disclosure filings, we define a firm to have a trade relationship with Korea and have exposure to Korean geopolitical risks. Similarly, we use a measure of a firm's hedging policies based on a firm's textual mention of the use of foreign exchange derivatives in their annual disclosure. Findings - We find that U.S. firms that have direct trade links to Korea gained significantly more value when the intensity of geopolitical risks drops compared to firms without such trade links to Korea. The effects are pronounced for firms purchasing inputs from or selling outputs to Korea. We find that the effectiveness of foreign exchange hedging against geopolitical risks is limited. Originality/value - We document the international transmission of geopolitical uncertainty through trade linkages. Export links as well as import links serve as important nexus of transmission of geopolitical risks across borders. Hedging strategies involving foreign-exchanges derivatives do not seem to insulate firms again geopolitical risks. With the recent movements of localization and reshuffling of the global value chain, our results suggest a significant impact of geopolitical risks in Korea on the construction of the global value chain.

• Asia-Pacific Journal of Business
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• v.13 no.2
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• pp.123-138
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• 2022

Purpose - This study compares the performances of dynamic asset allocation strategies using Korean stocks and U.S. dollar, which have been negatively correlated for a long time, to examine the diversification effects in the portfolios of them. Design/methodology/approach - In the current study, we use KOSPI200 index, as a proxy of the aggregated portfolio of Korean stocks, and USDKRW foreign exchange rate to implement various portfolio management strategies. We consider the equally-weighted, risk-parity, minimum variance, most diversified, and growth optimal portfolios for comparison. Findings - We first find the enhancement of risk adjusted returns due to risk reduction rather than return increasement for all the portfolios of consideration. Second, the enhancement is more pronounced for the trading strategies using correlations as well as volatilities compared to those using volatilities only. Third, the diversification effect has become stronger after the global financial crisis in 2008. Lastly, we find that the performance of the growth optimal portfolio can be improved by utilizing the well-known momentum phenomenon in stock markets to select the length of the sample period to estimate the expected return. Research implications or Originality - This study shows the potential benefits of adding the U.S. dollar to the portfolios of Korean stocks. The current study is the first to investigate the portfolio of Korean stocks and U.S. dollar from investment perspective.

• International Journal of Computer Science & Network Security
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• v.22 no.10
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• pp.347-351
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• 2022

The article is devoted to the formation of approaches to improving the system of administration of customs payments in modern conditions. It is established that important components of the administration of customs payments are customs expertise, customs value assessment, and control over the declaration of goods to ensure the completeness and timeliness of customs duties payments to the budget. It is found that the practice of customs administration shifts the emphasis of foreign trade regulation to the use of the principles of work implying the use of the latest technologies for the preliminary electronic exchange of information, remote customs clearance of goods without the physical presence of an official, and consistent application of risk management. It is established that an important place in the structure of the state authorities regulating the foreign economic activity is given to the customs service. Furthermore, the existing problems in the implementation of international trade operations necessitate the improvement of approaches to the customs regulation of export-import activities of enterprises.

• Korean Journal of Construction Engineering and Management
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• v.13 no.4
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• pp.60-68
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• 2012

The past IMF foreign exchange crisis and subprime financial crisis had a big influence on variability of macroeconomics, even if the origin of its occurrence might be different. This not only had a significant infrequence on the overall industries, but also produced many insolvent companies by being closely linked with a management environment of an individual construction company leading the construction industry. Actually, the level of default risk of construction companies before and after fluctuation of macroeconomics gets to experience a rapid changing process, and a difference in reaction against shock exists according to each company. Accordingly, the purpose of this paper is to confirm the fluctuation process of the default risk of construction companies under the fluctuation of macroeconomics such as the IMF financial crisis and the subprime mortgage crisis. As an analysis result, it is judged that the subprime financial crisis gave bigger shock to construction companies than the foreign exchange crisis, and it is expected that this would have a relation with the construction market before shock of macroeconomics. In addition, it was analyzed that when comparing insolvent companies with normal companies, the recovery speed of normal companies is faster. It is judged that this was affected by a difference of internal business capacity between insolvent companies and normal companies.

• International Area Studies Review
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• v.12 no.2
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• pp.3-26
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• 2008

This article investigates the usefulness of the skewed Student-t distribution in modeling the long memory volatility property that might be present in the daily returns of two Australian financial series; the ASX200 stock index and AUD/USD exchange rate. For this purpose we assess the performance of FIGARCH and FIAPARCH Value-at-Risk (VaR) models based on the normal, Student-t, and skewed Student-t distribution innovations. Our results support the argument that the skewed Student-t distribution models produce more accurate VaR estimates of Australian financial markets than the normal and Student-t distribution models. Thus, consideration of skewness and excess kurtosis in asset return distributions provides appropriate criteria for model selection in the context of long memory volatility models in Australian stock and foreign exchange markets.