• Communications of the Korean Mathematical Society
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• v.21 no.2
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• pp.375-384
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• 2006

We consider a class of bilinear models with periodic regime switching and find easy-to-check sufficient conditions that ensures the existence of a stationary process obtained from given difference equation. Existence of a higher order moments is examined.

• Transactions of the Korean Society of Mechanical Engineers
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• v.15 no.5
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• pp.1649-1656
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• 1991

본 연구에서는 가변구조제어에 의한 조준경 고각 안정화를 모색하였다. 이 를 위해 조준경 고각 안정화 시스템의 운동 방정식을 이용하여 가변구조제어기를 설계 하였으며 방정식을 이용하여 가변구조제어기를 설계하였으며 실제 주행시험결과 측정 된 차량의 각속도를 외란으로 사용하여 컴퓨터 시뮬레이션하여 가변구조제어에 의한 조준경 고각 안정화가 동적안정도를 충족시킴을 보였다.

• The Korean Journal of Applied Statistics
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• v.36 no.1
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• pp.85-100
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• 2023

The stochastic volatility (SV) model is one of the main methods of modeling time-varying volatility. In particular, SV model is actively used in estimation and prediction of financial market volatility and option pricing. This paper attempts to model the time-varying volatility of the bitcoin market price using SV model. Hidden Markov model (HMM) is combined with the SV model to capture characteristics of regime switching of the market. The HMM is useful for recognizing patterns of time series to divide the regime of market volatility. This study estimated the volatility of bitcoin by using data from Upbit, a cryptocurrency trading site, and analyzed it by dividing the volatility regime of the market to improve the performance of the SV model. The MCMC technique is used to estimate the parameters of the SV model, and the performance of the model is verified through evaluation criteria such as MAPE and MSE.

• Environmental and Resource Economics Review
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• v.29 no.2
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• pp.171-194
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• 2020

We revisit the impact of oil shocks on the Korean economy and examine how this impact varies depending on a business cycle. First, we estimate the probability of a recession through a logistic probability distribution, and correct the probability to match business cycles announced by the Korea National Statistical Office. We set up a STVAR model to analyze the response of macroeconomic variables to oil shocks according to business cycles. We find that oil shocks during the recession have a negative effect on GDP in the mid- and long-term, but during the expansion, GDP does not show a statistically significant response to oil shocks. We presume that this finding is associated with the factors of both the increase in demand for consumption and the increase in current account during the economic boom. Also, we find that the impact of oil shocks on the price level was also observed differently in terms of the persistence of inflation by business cycle. These results highlight the importance of an application of a regime switching model, which has been widely used in energy economics in recent years.

• International Area Studies Review
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• v.15 no.3
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• pp.55-76
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• 2011

In this paper, we estimate a model that incorporates key features of business cycles, co-movement among economic variables and switching between regimes of expansion and recession, to aggregate quarterly data for the NAFTA region. Two common factors reflecting the permanent and transitory components of the business cycle in the region, along with the turning points from one regime to the other, were extracted from the data by using the Kalman filter and maximum likelihood estimation approach of Kim (1994). Estimation results confirm that a typical aspect of business cycles are also observed (i.e., recessions are steeper and shorter than recoveries) in the region, and that both co-movement and that regime switching are found to be important features of the business cycle. The two common factors produce sensible representations of the trend and cycle, and the estimated turning points are in line with independently determined chronologies. It also turns out that the degree of synchronization between the NAFTA region and Korea, has significantly increased since the entry into force of the NAFTA.

• KDI Journal of Economic Policy
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• v.36 no.2
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• pp.103-136
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• 2014

The covered interest rate parity condition (CIRP) has been widely used in open macroeconomic analysis, risk management, exchange rate forecasts, and so forth. Due to the recent global financial crises, there have been remarkable changes in the financial markets of the emerging markets. These changes possibly influenced the dynamics of the covered interest rate parity condition. In this paper, we investigate whether the CIRP dynamics has changed, and what is the nature of the regime changes. To do this, we propose and estimate multiple-state Markov regime switching models using a Bayesian MCMC method. Our estimation results indicate that the default risk or the deviation from the CIRP has been decreased after the crisis. It seems to be associated with the more active interaction between the short-term bond market and the short-term foreign exchange market than before. The tightened relation of these two financial markets is caused by the arbitrage transaction of foreign investors.

• Management & Information Systems Review
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• v.38 no.1
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• pp.181-199
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• 2019

The purpose of this study is to examine whether or not the volatility of the 1997~1998 Asian crisis still affects the monthly stock returns of Korea, Japan, Singapore, Hong Kong and China from 1980 to 2018. This study investigated whether the volatility has already fallen to pre-crisis levels. To illustrate the possible structural changes in the unconditioned variance due to the Asian financial crisis, we use the MRS-GARCH model, which is a regime switching model. The main results of this study were as follows: First, the stock return of each country was weak in the high volatility regime except Japan resulted by the Asian financial crisis from 1997 to 1998 until March 2018, and the Asian stock market has not yet calmed down except for the global financial crisis period of 2007 and 2008. Second, the conditional volatility has been significantly and persistently decreased and eliminated after the Asian financial crisis. Thus, we could be judged that the Asian stock market was not fully recovered(stable) due to the Asian crisis including the capital liberalization high inflation, worsening current account deficit, overseas low interest rates and expansion of credit growth in 1997 and 1998, but the Asian stock market was largely settled down, except for the 2007 and 2008 in Global financial crises. Considering the similarity between the Asian stock markets and the similar correlation of the regime switching, it may be worthwhile to analyze the MRS-GARCH model.

• International Area Studies Review
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• v.13 no.2
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• pp.66-88
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• 2009

This paper studies optimal discretionary monetary policy in the presence of uncertainty in the housing sector. In particular, we allow two possible regimes regarding the evolution of housing price inflation and the effects of housing price inflation on the aggregate demand. Estimation results with the US data confirm the presence of two distinctive regimes, one 'normal' and the other more akin to the housing price 'bubble' state. The optimal policy is 'asymmetric' in that the optimal responses in the 'normal' regime require the central bank to lean against the wind to inflationary pressure from CPI and housing inflation, while the central bank is recommended to accommodate it in the other regime.

• East Asian Economic Review
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• v.23 no.2
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• pp.149-168
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• 2019

Public information arrivals and their immediate incorporation in asset price is a key component of semi-strong form of the Efficient Market Hypothesis. In this study, we explore the impact of public information arrivals on cryptocurrency market via Twitter posts. The empirical analysis was conducted through various methods including Kapetanios unit root test, Maki cointegration analysis and Markov regime switching regression analysis. Results indicate that while in bull market positive public information arrivals have a positive influence on Ripple's value; in bear market, however, even if the company releases good news, it does not divert out the Ripple from downward trend.

• The Korean Journal of Financial Management
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• v.22 no.2
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• pp.165-187
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• 2005

This paper tries to investigate the relationships among stock return volatility, time-varying risk premium and Korea Discount. Using Korean Composite Stock Price Index (KOSPI) return from January 4, 1980 to August 31, 2005, this study finds possible links between time-varying risk premium and Korea Discount. First of all, this study classifies Korean stock returns during the sample period by three regime-switching volatility period that is to say, low-volatile period medium-volatile period and highly-volatile period by estimating Markov-Switching ARCH model. During the highly volatile period of Korean stock return (09/01/1997-05/31/2001), the estimated time-varying unit risk premium from the jump-diffusion GARCH model was 0.3625, where as during the low volatile period (01/04/1980-l1/30/1985), the time-varying unit risk premium was estimated 0.0284 from the jump diffusion GARCH model, which was about thirteen times less than that. This study seems to find the evidence that highly volatile Korean stock market may induce large time-varying risk premium from the investors and this may lead to Korea discount.