• East Asian Economic Review
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• v.24 no.2
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• pp.165-184
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• 2020

Applying Ismailov and Rossi (2018), I newly construct the Korea FX uncertainty based on the density distribution of historical forecast errors. This uncertainty index properly captures the rare but significant events in the Korean currency market and provides information distinct from other uncertainty measures in recent studies. I show that 1) FX uncertainty arising from unexpected depreciation has a stronger impact on Korea-U.S. exchange rates and that 2) macro variables, such as capital flows or interest rate differentials, have predictive ability regarding Korea FX uncertainty for short horizons. These findings enable us to predict the events of sudden currency crashes and understand the Korea-U.S. exchange rate dynamics.

• Journal of Korea Port Economic Association
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• v.30 no.2
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• pp.77-92
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• 2014

The focus of this study is to analyse dynamic relationship among BDI(Baltic Dry-bulk Index, hereafter BDI), forex market and industrial production using monthly data from 2003-2013. Specifically, we have focused on the investigations how monetary and real variable affect shipping industry during recession period. To compare performance between general VAR and Bayesian VAR we first examine DAG(Directed Acyclic Graph) to clarify causality among the variables and then employ MSFE(mean squared forecast error). The overall estimated results from impulse-response analysis imply that BDI has been strongly affected by other shock, such as forex market and industrial production in Bayesian VAR. In particular, Bayesian VAR show better performance than general VAR in forecasting.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.3
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• pp.131-140
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• 2019

The study aims to examine the impact of productivity in addition to the policy of increasing the foreign investors' ownership rate on the performance of businesses which were listed on Vietnam's stock exchange market from 2010 to 2017. With the database of 3.961 observations, the study employs a statistical method - multiple regression to estimate the relationship between labor productivity, foreign ownership as well as other firm-level characteristics and firm performance. Research findings show that increasing labor productivity and increasing foreign ownership rates help increase firm performance. In addition, except for financial leverage, variables such as liquidity and firm size have positive effects on firm performance measured by Tobin's Q. These findings have theoretical contributions and practical implications for managers, investors and government in Vietnam. Managers should pay attention to improving labor productivity through employing incentive mechanisms, building a good working environment, investing in technology, etc. in order to enhance the firm performance. Investors could utilize the labor productivity and foreign ownership indicators to select stocks of good companies for investment. For Vietnamese government, relaxing the limit of foreign ownership and accelerating the divesting of State capital in State-owned enterprises could help increase the investment scale of foreign investors and resulting in positive effects on the firm performance.

• Economic Analysis
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• v.25 no.3
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• pp.70-99
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• 2019

Using a stochastic volatility-in-mean VAR model consisting of the KOSPI index, the foreign exchange rate, the government bond rate, and the credit spread, this study investigates the effects of financial market uncertainty on financial markets. We find that higher uncertainty has recessionary effects on financial markets. The effects are especially stronger in equity markets and in won-dollar exchange markets. We also find that the effects of uncertainty become stronger during times of financial market stress compared to normal times. Finally, the results imply that financial market uncertainty may potentially affect the real sector, too.

• Journal of Navigation and Port Research
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• v.41 no.2
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• pp.71-78
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• 2017

This paper aims to investigate the time-varying systematic risk of the stocks of Korean logistics firms. For this purpose, the period from January 1991 to October 2016 was examined with respect to 21 logistics companies that are listed on the Korea Exchange. The systematic risk of the logistics stocks is measured in terms of the Capital Asset Pricing Model (CAPM) beta for which the sensitivity of a stock is compared to the return changes of the whole market. Overall, the betas of the stocks of the Korean logistics companies are significantly lower than those of the market unity; however, it was revealed that the logistics betas are not constant, but are actually time-varying according to different economic regimes, which is consistent with the previous empirical findings. This finding is robust across different measurements of the logistics betas. In addition, the impact of macroeconomic factors on the logistics betas was examined. The present study shows that the logistics betas are positively associated with foreign exchange-rate changes.

• THE INTERNATIONAL COMMERCE & LAW REVIEW
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• v.52
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• pp.25-44
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• 2011

Possibility of credit risk, foreign exchange risk and interest rate risk of exporter increases in the recent international Commercial transactions, due to financial crisis of Europe and liberalization of Middle East. Under this circumstance, Forfaiting is trade finance that forfaiter purchase negotiable debt instrument without recourse from exporter, which occurred related with international commercial transactions, and credit risk, contingency risk, foreign exchange risk and interest rate risk of exporter can be transferred to forfaiter. Forfaiting is typically medium-term finance(three to five years) concluded at fixed interest rate, although it can also arranged on a floating interest-bearing basis for periods from six months to ten years or more. But Forfaiting service of Korea has limitation as follows. First, forfaiting in Korea deals with unrestricted irrevocable documentary credit as debt instruments. Period that forfaiting is provided is short and amount of money is limited, compared with advanced forfaiting. But forfaiting provided in advanced countries deals with various methods such as guarantee for bill, payment guarantee, and can be resold in financial market. Recently importance of forfaiting is increasing in international commercial transactions. Therefore profound study on forfaiting is required. The study will examine the risk that happens to the concerned parties in forfaiting, and its management measures. The study adopted literature review method such as local and foreign books and papers about trade finance, internet information about forfaiting, and professional journal related with international finance.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.95-107
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• 2020

The study investigates the asymmetric effect of exchange rate changes on stock prices in Vietnam. We use the nonlinear autoregressive-distributed lag (ARDL) analysis for monthly data from 2001:01 to 2018:05, based on VN-Index stock price collected from Ho Chi Minh Stock Exchange (HOSE); the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is estimated both in the long-run relationship and the short-run error correction mechanism. The research results show that the effect of exchange rate changes on stock prices is asymmetrical, both in the short run and in long run. Accordingly, the stock prices react to different levels to depreciation and appreciation. However, the currency appreciation affects a stronger transmission of stock prices when compared to the long-run currency depreciation. In the absence of asymmetry, the exchange rate only has a short-run impact on stock prices. This implies a symmetrical assumption that underestimates the impact of exchange rate changes on stock prices in Vietnam. This study points to an important implication for regulators in Vietnam. They should consider the relationship between exchange rate changes and stock prices in both the long run and the short run to manage the stock and foreign exchange market.

• THE INTERNATIONAL COMMERCE & LAW REVIEW
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• v.55
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• pp.185-208
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• 2012

Before and after the Capital Market Integration Act in 2007 is implemented in South Korea, many of small-and mid sized exporting companies in South Korea has been bankrupted or filed for lawsuit claiming mis-selling(KIKO) by the banks. The basic economic structure of KIKO in Korea are part of a business model based on the use or misuse of exotic derivatives whose results are anything but imaginary. 571 mid sized exporting companies have been damaged about $28 billion. KIKO is a currency option product that sells foreign currencies at higher foreign exchange rate when the rate moves within a certain range, but sells foreign currencies at two or three times lower rate than the market price when the rate exceeds the designated upper limit. KIKO, Therefore, is hard to know whether the non financial firms intended to hedge against further strengthening of their currency or merely to speculate. It is also hard to know how thoroughly they understood the risk-return profile of these transactions. It is similarly hard to ascertain whether the derivatives dealers offering these transactions were meeting the demands of their clients or taking advantage of them. These exotic derivatives were inappropriate for either hedging or speculating, and no knowledgeable investor would be likely to enter into these contracts intentionally.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.20 no.43
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• pp.381-392
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• 1997

Korea and Japan have maintained an intimate relationship of economic exchange. However, even though both countries have made sound advances in the ASIAN market, they have not established mutually remarkable cooperative relations and advances in the ASIAN market. If korean companies with abundant experience and management ability provide able managers and skilled labor and if Japanese companies provide construction technology, capital and information, they could enjoy enomorous mutual benefits by advancing in the area of plant construction in foreign countries. Therefore, if they cooperate with each other by establishing complementary cooperation, both countries can gain an advantage in international competitiveness with western advanced countries.

• Asia-Pacific Journal of Business
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• v.15 no.1
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• pp.209-223
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• 2024

Purpose - This article analyzes the impact of macroeconomic variables of the United States, China, and Korea on KOSPI and VKOSPI, in that United States and China have a great influence on Korea, having an export-driven economy. Design/methodology/approach - The influence of US, China, and Korea interest rates, industrial production index, consumer price index, US employment index, Chinese real estate index, and Korea's foreign exchange reserves on KOSPI and VKOSPI is analyzed on monthly basis from Jan 2012 to Aug 2023, using multifactor model. Findings - The KOSPI showed a positive relationship with the U.S. industrial production index and Korea's foreign exchange reserves, and a negative relationship with the U.S. employment index and Chinese real estate index. The VKOSPI showed a positive relationship with the Chinese consumer price index, and a negative relationship with the U.S. interest rates, and Korean foreign exchange reserves. Next, dividing the analysis into two periods with the Covid crisis and the analysis by country, the impact of US macroeconomic variables on KOSPI was greater than Chinese ones and the impact of Chinese macroeconomic variables on VKOSPI was greater than US ones. The result of the forward predictive failure test confirmed that it was appropriate to divide the period into two periods with economic event, the Covid Crisis. After the Covid crisis, the impact of macroeconomic variables on KOSPI and VKOSPI increased. This reflects the financial market co-movements due to governments' policy coordination and central bank liquidity supply to overcome the crisis in the pandemic situation. Research implications or Originality - This study is meaningful in that it analyzed the effects of macroeconomic variables on KOSPI and VKOSPI simultaneously. In addition, the leverage effect can also be confirmed through the relationship between macroeconomic variables and KOSPI and VKOSPI. This article examined the fundamental changes in the Korean and global financial markets following the shock of Corona by applying this research model before and after Covid crisis.