• The Korean Journal of Financial Management
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• v.16 no.1
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• pp.223-243
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• 1999

포트폴리오의 위험을 통제하거나 감소시키기 위해서 헤저들은 최적헤지비율을 추정하여야 하는데, 최적헤지비율의 추정치는 사용하는 모형에 따라 많은 차이를 보인다. 전통적인 회귀분석모형에 의하여 추정된 최적헤지비율은 시계열자료의 불안정성(nonstationary) 등으로 인하여 잘못될 가능성이 많으며, 잘못 추정된 헤지비율을 그대로 이용할 경우 현물포트폴리오의 시장위험을 최소화시키지 못하고 헤징비용을 증가시키는 결과를 초래한다. 시계열자료의 불안정성으로 말미암아 야기되는 문제점들을 개선할 수 있는 모형으로서 오차 수정모형(Error Correction Model : ECM)이 널리 이용되고 있다. 본 연구는 ECM을 사용하여 추정된 최적헤지비율과 전통적 회귀분석모형을 사용하여 추정한 최적헤지비율을 비교하여 어떤 모형으로 추정한 헤지비율이 더 정확한지를 평가하는데 목적을 두고 있다. 즉, 본 연구는 KOSPI 200 현 선물지수 자료를 대상으로 ECM과 전통적 회귀분석모형에 의한 최적헤지비율을 추정하고 각 모형의 설명력과 예측력을 비교하고자 한다. 실증분석 결과, KOSPI 200 현물지수와 KOSPI 200 선물지수간에는 공적분 관계가 존재하며, ECM과 전통적 회귀분석모형을 이용하여 추정한 최적헤지비율의 크기는 서로 다르며, ECM을 이용할 때 모형의 설명력이 조금 더 높게 나타났으며, 예측력도 ECM이 좀더 우월한 것으로 나타났다.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.81-91
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• 2021

This paper investigates the long run hedging ability of precious metals against the risks associated with adverse conditions of economic and financial variables for Pakistan, the USA, China, and India. Monthly data of gold, silver, platinum, stock returns, exchange rate, industrial production, and inflation was collected for the selected economies. Saikkonen and Lutkepohl (2002) unit root test was employed to access the unit root properties of the data series and identify the break dates. Furthermore, this study used the Johansen cointegration test with and without structural breaks to identify the long-run relationship between metals prices and different financial and economic variables. The findings suggest that the time series under study have unit root problem at level with and without structural breaks. Without considering structural breaks, the Johansen trace test indicates that in Pakistan and China, gold, silver, and platinum hold a cointegrating relationship with macroeconomic and financial variables. For the US, gold indicates cointegration which supports the hedging ability of gold against inflation, stock, and industrial production in the long run. The results of the cointegration test after incorporating the structural breaks provide even stronger evidence of the long-run relationship of precious metals and consumer prices, exchange rate, and stock prices.

• International conference on construction engineering and project management
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• 2009.05a
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• pp.800-807
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• 2009

The limited public funds available for infrastructure projects have led governments to consider private entities' participation in long-term contracts for finance, construction, and operation of these projects to share risks and rewards between the public and the private. Because these projects have complicated risk evolutions, diverse contractual forms for each project member to hedge risks involved in a project are necessary. In light of this, Build-Operate-Transfer(BOT) model is considered as effective to accomplish Public Private Partnerships(PPPs) with a characteristic of an ownership-reversion. In BOT projects, the government has used such an incentive system as minimum revenue guarantee(MRG) agreement to attract the private's participation. Although this agreement turns out critical in success of BOT project, there still exist problematic issues in a financial feasibility analysis since the traditional capital budgeting theory, Net Present Value(NPV) analysis, has failed to evaluate the contingent characteristic of MRG agreement. The purpose of this research is to develop real option model based on option pricing theory so as to provide a theoretical framework in valuing MRG agreement in BOT projects. To understand the applicability of the model, the model is applied to the example of the BOT toll road project and the results are compared with that by NPV analysis. Finally, we found that the impact of the MRG agreement is significant on the project value. Hence, the real option model can help the government establish better BOT policies and the developer make appropriate bidding strategies.

• Journal of Forest and Environmental Science
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• v.26 no.2
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• pp.65-73
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• 2010

Biodiversity, referring to the variety and abundance of species, their genetic composition, and the communities, ecosystem, and landscapes, is essential to maintain healthy and productive forests, and to provide useful hedge against the future uncertainties in conditions of the environment and natural resources. To realize the long-term sustainability for forest production of goods and services is dependent upon maintaining and enhancing the biodiversity in the forest ecosystem. Because we can not always recognized which portion of biodiversity is essential to maintain the stability and sustainability of the natural system, conserving biodiversity is even unconditionally important. Even though the activities of forest resource management may have a variety of negative impacts on biodiversity by modification of the natural ecosystem into economically effective artificial ecosystem, forest professionals have been developing intelligent scheme to coexist management and conservation. However, conservation of biodiversity must be a complex problem encircled by ecological, economical, and social considerations. There seems to be no such a simple and easy solution. Strategies for ecologically deliberated forest resource management, which could play an important role to conserve biodiversity, were discussed.

• Korea Trade Review
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• v.47 no.2
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• pp.103-120
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• 2022

This paper studies the possibility of options as an instrument for central bank to intervene foreign exchange market. As opposed to spot transaction or forward transaction, which impacts spot exchange rate only once, currency options can continuously resist a directional speculative pressure on spot market due to the dynamic delta hedging of OTC currency options market maker. This research also analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that short position rather than long position in options will result in market makers dynamically hedging their long option exposure in a stabilizing manner, consistent with the first objective. Selling a "Strangle" allows a central bank to increase the credibility of its commitment to a target zone, and could have a lower expected cost than spot market interventions. However, this strategy also exposes the central bank to an unlimited loss potential. Therefore these kinds of intervention strategies must be used in the short run and temporarily.

• Journal of the Korean Institute of Landscape Architecture
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• v.46 no.6
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• pp.60-74
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• 2018

This study was to investigate the pedestrian's thermal environments in the North Sidewalk of E-W Street during summer heatwave. We carried out detailed measurements with four human-biometeorological stations on Dongjin Street, Jinju, Korea ($N35^{\circ}10.73{\sim}10.75^{\prime}$, $E128^{\circ}55.90{\sim}58.00^{\prime}$, elevation: 50m). Two of the stations stood under one row street tree and hedge(One-Tree), two row street tree and hedge (Two-Tree), one of the stations stood under shelter and awning(Shelter), while the other in the sun (Sunlit). The measurement spots were instrumented with microclimate monitoring stations to continuously measure microclimate, radiation from the six cardinal directions at the height of 1.1m so as to calculate the Universal Thermal Climate Index (UTCI) from 24th July to 21th August 2018. The radiant temperature of sidewalk's elements were measured by the reflective sphere and thermal camera at 29th July 2018. The analysis results of 9 day's 1 minute term human-biometeorological data absorbed by a man in standing position from 10am to 4pm, and 1 day's radiant temperature of sidewalk elements from 1:16pm to 1:35pm, showed the following. The shading of street tree and shelter were mitigated heat stress by the lowered UTCI at mid and late summer's daytime, One-Tree and Two-Tree lowered respectively 0.4~0.5 level, 0.5~0.8 level of the heat stress, Shelter lowered respectively 0.3~1.0 level of the heat stress compared with those in the Sunlit. But the thermal environments in the One-Tree, Two-Tree and Shelter during the heat wave supposed to user "very strong heat stress" while those in the Sunlit supposed to user "very strong heat stres" and "exterme heat stress". The main heat load temperature compared with body temperature ($37^{\circ}C$) were respectively $7.4^{\circ}C{\sim}21.4^{\circ}C$ (pavement), $14.7^{\circ}C{\sim}15.8^{\circ}C$ (road), $12.7^{\circ}C$ (shelter canopy), $7.0^{\circ}C$ (street funiture), $3.5^{\circ}C{\sim}6.4^{\circ}C$ (building facade). The main heat load percentage were respectively 34.9%~81.0% (pavement), 9.6%~25.2% (road), 24.8% (shelter canopy), 14.1%~15.4% (building facade), 5.7% (street facility). Reducing the radiant temperature of the pavement, road, building surfaces by shading is the most effective means to achieve outdoor thermal comfort for pedestrians in sidewalk. Therefore, increasing the projected canopy area and LAI of street tree through the minimal training and pruning, building dense roadside hedge are essential for pedestrians thermal comfort. In addition, thermal liner, high reflective materials, greening etc. should be introduced for reducing the surface temperature of shelter and awning canopy. Also, retro-reflective materials of building facade should be introduced for the control of reflective sun radiation. More aggressively pavement watering should be introduced for reducing the surface temperature of sidewalk's pavement.

• Journal of the Korean Society of Environmental Restoration Technology
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• v.9 no.1
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• pp.14-30
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• 2006

It is difficult to secure public lots in the downtown area, school lots can be made the best use of important source to increase the area of green land in the city. The tree-planting campaign for schools has been in force since 1999 by the city of Seoul and at present; it is currently established as the plan of school parks. Thereupon, the purpose of this study is to present some ways to revitalize elementary schools to be used as vest pocket parks through the research of elementary schools, which are subject to the plan of school parks in Seoul. The results of this study are as below : The subjects to revitalize school parks as vest pocket parks are as follows. First, the land has to be utilized for security of space. Second, in addition to the front and back gate, another passage to the park has to be set up for easy access. Third, the fence has to be formed as a hedge used outside the park. Fourth, selecting plants, species of trees suitable for the landscape of school and taking into consideration the aspect of ecology. Finally, it is urgent to enact socially and economically proper standard of law by the new standards of area for school landscape considering not only the building law and regulations of general landscape, but also specific characteristics of school landscape.

• East Asian Journal of Business Economics (EAJBE)
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• v.6 no.3
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• pp.1-15
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• 2018

Purpose - This study investigates the effect of MNEs' characteristics on the use of foreign currency denominated debt in the context of Korean firms. This study examines the relationship between MNEs and the use of foreign debt focusing on the accessibility to the capital market in addition to the motive of hedging against foreign exchange exposure. Research design and methodology - Probit estimation is employed for estimating significant factors in determination of the use of foreign debt by firms. The dependent variable is a dummy variable to indicate whether a firm uses foreign debt or not at the end of 2004. Independent variables include foreign subsidiaries ratio, export to sale, R&D expenditure to sale, and credit rating. Results - The results show that the interaction between the level of internationalization represented by intra-regional diversification and the strategic characteristics embedded in the region of entry affects the use of foreign debt. In case of a high level of diversification within the developing region with a strong pursuit of asset exploitation, MNEs are more likely to use foreign debt, whereas a high level of diversification within the developed region with a strong pursuit of asset seeking, MNEs are less likely to use foreign debt. Conclusions - The differences between MNEs in terms of intra-regional diversification, strategic orientation, and the accessibility to capital markets as well as the hedging motive affect the use of foreign debt.

• The Journal of the Korea Contents Association
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• v.15 no.7
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• pp.531-543
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• 2015

Benjamin, Lusht, and Shilling(1998) suggested that the level of deposit can be used as a tool to resolve the problem of adverse selection by the leaseholder under the circumstance of information asymmetry. In this respect, this research aims to verify how the level of deposit and monthly rent mitigate the problem of information asymmetry existing in the office market in Seoul. So far, the analysis of the office market in Seoul has been difficult due to the fixed rate of deposit and monthly rent. This research attempts to adopt the concept of occupancy cost, a global standard indicator that would replace the default risk of monthly payment for analyzing the market. As a result of a series of empirical analysis, the lessors tend to add about 9 percent of risk premium to the occupancy cost to hedge against the default risk of monthly payment. It allows for estimating at what extent one should reflect the leaseholder's default risk of monthly payment for operating deposit and monthly rent in the office building lease market.

• Proceedings of the Safety Management and Science Conference
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• 2005.11a
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• pp.569-579
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• 2005

International capital movement has made progress at global liberalization of finance and foreign exchange, international monetary norm changing into floating exchange rate system, easiness of collection of information and trade at improvement of information communication technology from early of 1970's. Results of empirical test for relation between foreign exchange rate or various determination factors of foreign exchange rate and interest rate are followed by next sentences. First, according to relation between foreign exchange rate and interest rate, correlation for each of variables after OECD entrance is increased. 'But, long-term & short-term interest rate is affected by Hanbo & Kia's bankruptcy, continuous large scale coporates bankruptcy and crisis of foreign exchange. Therefore, financial instability is occured. If portfolio investment fund has been inflow as it is mollified by continuous shortage of foreign exchange and fall of country's credit rating, it is expected to have positive effect for long-term & short-term interest rate from appreciation of won against dollar. Second, results from relation between determination factor of foreign exchange rate and interest rate are followed by next sentences. If surplus of current account and goods account is continued, yield of corporate bond is to be stable. But, margin of surplus is expected to diminish after second quarter 98, and difference between external and domestic interest (after adjusting foreign exchange rate) is to be diminished. And if net inflows of foreign investor's fund (stock and bond) is diminished, it is to have negative effect for yield of corporate bond. According to foreign investor's investment movement of previous years, hedge fund were stayed at least during two years in Mexico. It means that sudden capital outflow is not to be happened at Korea.