• KDI Journal of Economic Policy
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• v.31 no.2
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• pp.235-266
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• 2009

This paper investigates changes in the extent of exchange rate pass-through to export price in Korea. First, empirical results show that export prices have become less responsive to the exchange rate since the financial crisis in 1997. The decline of exchange rate pass-through to export prices suggests that Korean exporters are more likely to use profit margins to absorb part of the impact of exchange rate changes, consistent with pricing to market phenomenon. Second, this paper finds asymmetries in the response of export prices to exchange rate changes. In the post-crisis period. appreciations are more likely to be offset by markup adjustment than depreciations. Third, this paper documents that a significant portion of the decline of exchange rate pass-through is a result of both increased volatility of exchange rate and increased competition with China in the world market.

• Journal of the Korea Convergence Society
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• v.10 no.12
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• pp.215-221
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• 2019

The development of blockchain-based art trading platforms has not been revitalized despite the recent recovery of the cryptocurrency market. In this paper, we found that blockchain-based art trading platform is not revitalized due to the large volatility of cryptocurrency price. As a solution, we propose a trading system using dual types of cryptocurrency that one is Stablecoin and the other is legacy cryptocurrency. Through cryptocurrency dualization, the proposed system can satisfy both user's requirements of stability of art price and value growth of the blockchain system. In addition, the proposed system is expected to be able to balance the use of dual cryptocurrencies and market capitalization ratios according to market principles. Finally, the proposed cryptocurrency dualization is expected to be used in other applications that require both the stability of the value of transactions and the growth of the value of the blockchain system.

• Journal of the Economic Geographical Society of Korea
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• v.19 no.2
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• pp.343-359
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• 2016

The coffee price from the farm-gate level has been quite unstable in recent years because of the expansion of coffee cultivation, and the volatility of coffee price in the world market. The preference toward consumer's sustainable coffee has influenced on the coffee purchase by the world major coffee companies. With this background, Vietnam began to follow the trend of sustainable coffee cultivation by the major coffee export companies which cooperate with some certification authorities. However, a proposed program called 'Sustainable Coffee Program' in 2012 was initiated as public-private cooperation. This study attempts to examine how the program was initiated, and which organizations were involved in practice level, and what the program have achieved for sustainability. Finally, non-participant group was also considered on how they have been influenced from the existence of the 'sustainable coffee program' in direct and indirect manners.

• Journal of Digital Convergence
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• v.17 no.10
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• pp.169-176
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• 2019

Recently, the Korean economy is congested with Japan's economic retaliation, the US-China trade war, the Bank of Korea's 0.25% base rate cut and Korea's economic growth forecast revision. The purpose of this study is to analyze the KOSPI, CPI, Treasury bonds(3 years) Interest rate & sales performance of all industries, and examine the impact of each index on the KOSPI. The analysis period is from January 2003 to June 2019, and the effect of each index on the KOSPI is analyzed. In numerical analysis, we performed correlation coefficients and regression analysis. In the model analysis, the distribution, quadrant, scatter, box-plot and impulse response were examined. This study examined the volatility and dynamic characteristics of each index. As a result, the KOSPI showed a high correlation with sales and Treasury bonds, but showed a very low correlation with the CPI. The KOSPI will continue to be affected by sales and interest rates.

• Journal of the Korea Society for Simulation
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• v.28 no.3
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• pp.49-56
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• 2019

In this paper, we deal with two pricing of bond options using the relationship between the forward rate model and the Libor rate model. First, we derive a formula for obtaining discounted bond prices using the restrictive condition of the Ritchken and Sankarasubramanian (RS), and then use the volatility function relationship of the forward rate and the Libor rate models to find the analytic solution (AS) of bond options pricing. Second, the price of the bond options is calculated by simulating several scenarios from the presented condition using Monte Carlo Simulation (MCS). Comparing the results of the implementation of the above two pricing methods, the relative error (RE) is obtained, which means the ratio of AS and MCS. From the results, we can confirm that the RE is around 3.9%, which means that the price of the bond options can be predicted very accurately using the MCS as well as AS.

• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.243-257
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• 2017

In this paper, we compare several methods to approximate option prices: Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method using normal inverse gaussian (NIG) distribution, and an asymptotic method using nonlinear regression. We used two different types of approximation. The first (called the RNM method) approximates the risk neutral probability density function of the log return of the underlying asset and computes the option price. The second (called the OPTIM method) finds the approximate option pricing formula and then estimates parameters to compute the option price. For simulation experiments, we generated underlying asset data from the Heston model and NIG model, a well-known stochastic volatility model and a well-known Levy model, respectively. We also applied the above approximating methods to the KOSPI200 call option price as a real data application. We then found that the OPTIM method shows better performance on average than the RNM method. Among the OPTIM, A-type Gram-Charlier expansion and the asymptotic method that uses nonlinear regression showed relatively better performance; in addition, among RNM, the method of using NIG distribution was relatively better than others.

• Korean Management Science Review
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• v.32 no.1
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• pp.1-13
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• 2015

We estimate the option value embedded in reverse mortgages using the framework of European put option. The reverse mortgage is a very useful financial product for senior citizens who own homes but do not have a cash income while it is a high risk one from lender's perspective. One of benefits of the reverse mortgages is that the debt limit is restricted to the scope of the disposition price of the collateralized house, which is considered a put option to borrowers. The put option is evaluated using Black-Scholes model and a sensitive analysis is performed on variables such as discount rate, volatility, and time period. We confirm that the option value of reverse mortgages increases rapidly as the borrowers live longer than their life expectancy. The results of this study can be used to promote the reverse mortgage program more effectively in order to solve the problem of income shortage of the elderly homeowners.

• Information Systems Review
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• v.3 no.2
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• pp.349-368
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• 2001

The purpose of this research is to investigate economic factors that determine characteristics of B2B e-Marketplaces. From a previous research work, we classify B2B e-Marketplaces into four forms: MRO Hubs, Catalogue Hubs, Yield Managers, and Exchanges. This classification is based upon "What businesses buy" and "How businesses buy." In an attempt to identify economic factors that determine e-Marketplace forms, we employ three economic factors: buyer/seller relationships, features of products traded, and characteristics of industries or markets. Through extensive literature reviews, we have selected six variables which can be used to explain reasons for different e-Marketplace forms: asset specificity and information asymmetry for the buyer/seller relationship, standardization and price variability for the product features, entry barrier and market volatility for the market characteristics. This research conducts six in-depth case studies to explain that "Why different forms of e-Marketplace emerge?" The research framework intends to provide link between e-Marketplace forms and six economic variables. Six case studies are based on interviews with CEO or team managers of e-Marketplace firms. This study has found six economic variables, explaining well reasons for different e-Marketplace forms. Research findings are summarized as propositions so that survey-type research can be conducted with a large number of samples in the future.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.201-208
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• 2020

Terms of trade is an important indicator of the welfare gains from international trade to the exporting country. Terms of trade of oil-exporting countries are hypothesized to depend primarily on oil prices. The study assesses the relation between oil prices and the terms of trade of Saudi Arabia. The study uses the Autoregressive Distributed Lag method to determine the cointegration between the country's terms of trade and oil prices for the period 2000-2018. The data for net barter terms of trade is taken from World Development Indicators and oil price is taken from Saudi Arabian Monetary Agency. The results show that oil prices and terms of trade are cointegrated and any disequilibrium between the two variables is corrected by 35% in a year. The study also reports a positive relationship between the two items, both in the short run and long run. Diagnostic tests indicate the model to be fit. The results suggest that, for a primarily oil-producing country like Saudi Arabia, the terms of trade depend on oil prices. The study fills the gap in the literature on the study of terms of trade for Saudi Arabia for the last few years, where there has been a high volatility in oil prices.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.22 no.49
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• pp.43-57
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• 1999

The recent trend is that risk management has more and more its importance. Neverthless, Korea's risk management is not developed. Even most banks does gap, duration in ALM for risk management, development and operation of VaR stressed at BIS have elementary level. In the case of Fallon and Pritsker, Marshall, gamma model is superior to delta model and Monte Carlo Simulation is improved at its result, as sample number is increased. And, nonparametric model is superior to parametric model. In the case of Korea's stock portfolio, VaR of Monte Carlo Simulation and Full Variance Covariance Model is less than that of Diagonal Model. The reason is that VaR of Full Variance Covariance Model is more precise than that of Diagonal Model. By the way, in the case of interest rate, result of monte carlo simulation is less than that of delta-gamma analysis on 95% confidence level. But, result of 99% is reversed. Therefore, result of which method is not dominated. It means two fact at forecast on volatility of stock and interest rate portfolio. First, in Delta-gamma method and Monte Carlo Simulation, assumption of distribution affects Value at Risk. Second, Value at Risk depends on test method. And, if option price is included, test results will have difference between the two. Therefore, If interest rate futures and option market is open, Korea's findings is supposed to like results of other advanced countries. And, every banks try to develop its internal model.