• KDI Journal of Economic Policy
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• v.42 no.4
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• pp.59-90
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• 2020

U.S. monetary policy has been claimed to generate global spillover and to destabilize other small open economies. We analyze the effects of certain identified U.S. monetary shocks on gross capital flows in the Korean economy using the local projection method. Consistent with previous results on other small open economies, we initially confirm that U.S. interest rate hikes are dynamically correlated with foreign outflows and residents' inflows. That is, not only are they correlated with withdrawals by foreigners but they are also correlated with those by domestic (Korean) investors. The results are mostly driven by portfolio flows. Second, however, the marginal response to a U.S. monetary policy shock is, on average, subdued if we focus on the sample periods after the Global financial crisis of 2007-2008 (henceforth, global financial crisis). We conjecture a possible reason behind the change, an institutional change related to financial friction. If the degree of pledgeability of the value of net worth increases, the marginal responses by both investors would drop with a U.S. monetary policy shock, consistent with our findings.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.39-49
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• 2020

This study empirically examines herd behavior for fast moving consumer goods (FMCG) sector stocks under varied market return conditions and the period during the global financial crisis and its aftermath. We examine the sample of stocks trading on the Nifty FMCG Index of the Indian equity market from January 2008 up to December 2018 using the dispersion measure of cross sectional absolute deviation and examine its relationship with the market return to explore herd phenomenon. Quantile regression estimate is used and the results of the study validate rational asset pricing models as the sector does not display herding. In contrast, anti-herd behavior at lower and median quantile values is observed. A possible reason can be the non-cyclical nature of the industry where investors rely more on the fundamentals rather than crowd chasing. We also findthe absence of herd phenomenon during the market asymmetries of bull and bear phases, extreme movements, the period of the global financial crisis, and afterward. We further examine herding under the impact of the information technology (IT) industry and conclude that significant return movements in IT sector impact dispersions in the FMCG industry. Also, there is a co-varying risk between the two sectors confirming the spillover in an integrated market.

• East Asian Economic Review
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• v.18 no.4
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• pp.395-423
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• 2014

This study examines the role of trade finance in the trade collapse of 2008-09 from the perspective of the Korean economy. We use two approaches. Firstly, as background to a more formal analysis, we make a casual observation on the behavior of aggregate data on trade finance, on which Korea has relatively abundant data. Aggregate data do not convincingly support the view that trade finance played an active role in causing the trade collapse. The measures of trade finance and the value of trade both dropped sharply, but the ratio of trade finance over trade was stable and in some cases increased during the crisis period. Secondly, using quarterly data on listed firms in Korea, we conduct panel estimations to test whether firms that are more dependent on external finance experienced greater export contraction during the crisis. Our regression analysis suggests that the financial vulnerability of firms, measured by various financial ratios, did not contribute to export contraction during the financial crisis. This observation largely applies even to smaller firms, who are usually thought of as being more vulnerable financially. However, we find that small exporters that relied heavily on cross-border trade payables or receivables suffered larger drops in export growth during the crisis.

• Journal of Convergence for Information Technology
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• v.10 no.3
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• pp.67-75
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• 2020

This paper investigated the information spillover effect between stock market and bond market with the KOSPI daily index and MMF yield data. The overall analysis period is from May 2, 1997 to August 30, 2019. The empirical analysis was conducted by dividing the period from May 2, 1997 to December 30, 2008 before the global financial crisis, and from December 30, 2008 to August 30, 2019 after the global financial crisis, and the overall analysis period. The analysis shows that the EGARCH model considering asymmetric variability is suitable. The price spillover effect and volatility spillover effect existed in both directions between the stock market and the bond market, and the price transfer effect was greater in the period before the global financial crisis than in the period after the global financial crisis. Asymmetric volatility in information between stock and bond markets appears to exist in both markets.

• Journal of Construction Engineering and Project Management
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• v.1 no.3
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• pp.1-8
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• 2011

Available data on the recent global financial crisis (GFC) show that it lasted between the second quarter (Q2) of 2007 and the fourth quarter (Q4) of 2009. Australia is one of the first economies to fully recover from this crisis. This study explorles the role played by the Australian construction industry in stimulating economic growth during the recession. In order to investigate the macro-variability trend during the financial crisis, data were collected and analysed relating to the quarterly GDP of Australia and selected countries between Q1 2000 and Q4 2009. Specifically, changes in the construction industry's GDP were compared with aggregate GDP changes in Australian economy and similar indices in the 'Group of 7' (G7) countries and Organisation for Economic Co-operation and Development (OECD) countries. Moreover, specific attention was focused on Germany, France, Japan, United States of America (USA) and United Kingdom (UK). Graphical and Pearson's correlation methods were used to analyse the relationships between changes in construction GDP and Australia's overall economic growth during the recession. In addition, an attempt was made to develop a regression model for predicting economic growth during the recent recession using changes in gross fixed capital formation (GFCF), changes in construction GDP and the impact of these changes on national economy. Analysis shows a slight contraction in construction activities during the crisis; however construction triggered significant growth in the economy during the crisis period and afterwards. This appears to be the major difference between Australia and other major economies that have experienced a longer recession.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.87-94
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• 2020

This study aims to evaluate the effectiveness of sterilization in Vietnam. We estimate a simultaneous equation by using Two-Stage least squares (2SLS) regression analysis. The time-series data was collected for the first quarter of 2004 to the fourth quarter of 2018. In particular, the effectiveness of sterilization is considered in terms of dollarized economy, since making the transition from a centrally planned to a market economy system, the Vietnamese economy has remained in a state of dollarization. In addition, we also assess whether the global financial crisis had an impact on the sterilization effectiveness of the State Bank of Vietnam (SBV). On the basis of the estimated sterilization and offset coefficients, our results suggest that the State Bank of Vietnam (SBV) has not been able to fully neutralize the impact on the domestic money supply when intervening in the foreign exchange market, and the capital inflows respond strongly to changes in domestic monetary conditions. The results also show that the global financial crisis has changed the effectiveness of these sterilization policies. An analysis of this study's empirical findings provides the opportunity to derive some recommendations that may assist in increasing the effectiveness of the State Bank of Vietnam's sterilization policies in the process of accumulating international reserves.

• International conference on construction engineering and project management
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• 2015.10a
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• pp.736-737
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• 2015

In these days, international construction market including construction companies has much grown due to globalization and economic boom in the mid 2000's. The size of international construction market, measured with overseas revenue of 225 construction firms, has expanded 2.7 times from 2003 to 2008 according to the ENR. However, after the global financial crisis of 2008 it has faced condition of low growth. In this research, major changes of international construction market and top contractors have been studied. In this study, changes of international construction market have been analyzed in the aspect of region and product including general buildings, transportation, petroleum, etc. Then, in order to find the changes of top contractors which obtained good accomplishment, business performance of companies have been examined by the compound annual growth rate, profit margin and international revenue by comparing the data before 2008 and after. The purpose of the study is to understand major changes of international construction market. Also, strategy changes of top contractors against market stagnation, profit depreciation, high competition have been inferred through the study. The result of the study would contribute to analyzing the strategies of construction companies in international market.

• East Asian Economic Review
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• v.22 no.1
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• pp.55-73
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• 2018

The substantial slowdown of economic growth since the global financial crisis of 2008-2009 is rekindling debate on whether developing Asia should use fiscal expansion to boost aggregate demand. A key factor in the debate is the effectiveness of countercyclical fiscal policy in the region. The global crisis, as well as the fiscal stimulus packages implemented by developing Asian countries at that time, give some clues to this important issue. The region weathered the global crisis well and experienced a robust V-shaped recovery. According to conventional wisdom, the fiscal stimulus packages put in place by Asian governments played a key role in the region's recovery. The central objective of this paper is to empirically test this wisdom by using cross-country panel data. Our main finding is that the stimulus has had a limited but positive impact on developing Asia's output during the global crisis. This lends some support to the notion that countercyclical fiscal policy can help the region cope with severe external shocks. The broader, more fundamental implication for regional policymakers is that the region's long-standing commitment to fiscal discipline can yield significant benefits beyond macroeconomic stability. An important consequence of this commitment - relatively healthy fiscal balance sheets - enabled the region's governments to quickly and decisively embark upon fiscal stimulus programs.

• Journal of Korea Port Economic Association
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• v.30 no.3
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• pp.187-207
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• 2014

The purpose of this paper is to examine the business performance difference based on the ownership structure type in the aspect of profitability and stability. In order to conduct this analysis in two aspects, the ship financial institutions have been classified into two groups: state-owned banks and private-owned banks. First of all, the difference of ROE and ROA between private and public ship financial institutions is statistically significant, but no difference has been shown in terms of stability measured through BIS capital adequacy ratio. Second, to test the business performance difference according to the ownership structure types before and after the global financial crisis, we examined the outcome difference in the ship financial institutions in terms of profitability and stability. However, in the event that the analysis was conducted with public and private financial institutions, the business outcome difference before and after the global financial crisis has been shown in the sector of private financial institutions, but has not been shown in the sector of public financial institutions. It is meaningful that this study is the first work which examined the difference of the operating performance by the ownership structure types of ship financial institutions. However, it is noted that small sample for this empirical study is a limitation of this thesis.

• Journal of the Korean Operations Research and Management Science Society
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• v.41 no.1
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• pp.55-69
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• 2016

In response to drastic environmental changes, companies have been continuously rebalancing their resources and capabilities to sustain their competitive status or to survive difficult times. The aim of this study is to analyze the effect of sudden environmental changes on the competitive status of a firm and to identify the internal factors that differentiate sustainer and non-sustainer groups. To achieve this goal, we selected 85 representative IT and non-IT companies from the S&P 500 companies and investigated them with respect to the change in their five-year competitive status since the 2008 global financial crisis. As a concrete performance measure, the concept of perceived competitive status (PCS) was introduced, and four distinct PCS categories were identified by using the stock price changes during the selected period. The four distinct PCS categories are "sustaining," "drifting," "deep sunken," and "bouncing back." Discriminant analysis was performed on these four distinct PCS categories. The empirical study conducted showed that revenue and cost efficiency are the most discriminating factors, especially in the economic recovery period. In particular, stronger financial liquidity was observed in high-performing "bouncing back" companies than in the other category companies.