• International Commerce and Information Review
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• v.12 no.1
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• pp.153-175
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• 2010

This study conducts an analysis to verify an existence of co-movement among the exchange rates of Yuan-Dollar, Yen-Dollar and Won-Dollar by using time series data. An analysis period is divided into two periods. Therefore the first analysis period is from Dec. 17, 1997 to Jul. 21th. 20, 2005 and the second analysis period is from Jul. 25th, 2005 to Nov. 20th. 2009. This paper uses VAR model and daily data of exchange rates during the period. According to the result of an empirical analysis, yuan-dollar exchange rate has affected by th other variables ; yen-dollar exchange rate. It can be proved by result of an impulse response test and variance decomposition test in the second period. Therefore the won-dollar, yen-dollar, and Yen-dollar exchange rate has been influenced each other and the relationship will be maintained.

• Korean Management Science Review
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• v.28 no.2
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• pp.1-16
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• 2011

In this study we suggested two optimization models to answer a question from an investor standpoint : how many convertible bonds should one convert, and how many keep? One model minimizes certain risk to the minimum required expected return, the other maximizes the expected return subject to the maximum acceptable risk. In comparison with Markowitz portfolio models, which use the variance of return, our models used Conditional Value-at-Risk(CVaR) for risk measurement. As a coherent measurement, CVaR overcomes the shortcomings of Value-at-Risk(VaR). But there are still difficulties in solving CVaR including optimization models. For this reason, we adopted Rockafellar and Uryasev's[18, 19] approach. Then we could approximate the models as linear programming problems with scenarios. We also suggested to extend the models with credit risk, and applied examples of our models to Hynix 207CB, a convertible bond issued by the global semiconductor company Hynix.

• East Asian Economic Review
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• v.22 no.3
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• pp.337-370
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• 2018

This paper discusses the design of monetary policy in a New Keynesian small open economy framework by introducing nominal wage rigidities and incomplete exchange rate pass-through on import prices. Three main findings are summarized. First, with the existence of an incomplete exchange rate pass-through and nominal wage rigidities, the optimal policy is to seek to minimize the output gap, the variance of domestic price and wage inflation, as well as deviations from the law of one price. Second, the CPI inflation targeting Taylor rule is welfare enhancing when there is a technological shock to the economy. The exception occurs when there is a foreign income shock, which minimizes welfare losses under the domestic inflation targeting Taylor rule. Last, two stylized Taylor rules turn out to be a bad approximation, but the modified Taylor rules that respond to the unemployment gap rather than the output gap are a closer approximation to the optimal policy.

• East Asian Economic Review
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• v.22 no.3
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• pp.371-400
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• 2018

Although asset price is an important factor in determining changes in external balances, no studies have investigated it from the Chinese perspective. In this study, I empirically examine the underlying driving forces of China's trade balances, particularly the role of asset price and the real exchange rate. To this end, I estimate a sign-restricted structural vector autoregressive model with quarterly time series data for China, using the Bayesian method. The results show that changes in asset price affect China's trade balances through private consumption and investment. Also, an appreciation of the real exchange rate tends to deteriorate trade balances in China. Furthermore, forecast error variance decomposition results indicate that changes in asset price (stock price and housing price) explain about 20% variability of trade balances, while changes in the real exchange rate can explain about 10%.

• East Asian Economic Review
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• v.23 no.4
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• pp.409-427
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• 2019

This paper sets up a new Keynesian model with external habit to explore the role of each shock over business cycles in Korea. The estimated model via maximum likelihood shows that the productivity shock plays a pivotal role in explaining the output variations before and after the financial crisis since mid-1970s. It also shows that the model with external habit is more successful in explaining the business cycles in Korea after the Asian financial crisis than the model without habit. The monetary policy shock which dominates by accounting for more than 70 percent of the unconditional variance of the inflation rate before the financial crisis is less important in the inflation rate fluctuations after the financial crisis. This partly reflects the regime change of the monetary policy to the inflation targeting rule after the financial crisis.

• Korean Management Science Review
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• v.30 no.3
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• pp.55-70
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• 2013

In this study we suggested two optimization models to determine conversion weight of convertible bonds. The problem of this study is same as that of Park and Shim [1]. But this study used Value-at-Risk (VaR) for risk measurement instead of CVaR, Conditional-Value-at-Risk. In comparison with conventional Markowitz portfolio models, which use the variance of return, our models used VaR. In 1996, Basel Committee on Banking Supervision recommended VaR for portfolio risk measurement. But there are difficulties in solving optimization models including VaR. Benati and Rizzi [5] proved NP-hardness of general portfolio optimization problems including VaR. We adopted their approach. But we developed efficient algorithms with time complexity O(nlogn) or less for our models. We applied examples of our models to the convertible bond issued by a semiconductor company Hynix.

• Korean Management Science Review
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• v.21 no.1
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• pp.39-55
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• 2004

Efficient crew scheduling for cockpit crew is important in airline industry due to operational safety and cost associated with the flight duty time. Because of complexity of regulations imposed to the cockpit crew. it is complicated to generate an efficient schedule. Schedule of cockpit crew can be generated through two steps; selecting of flight patterns. and scheduling of them to the specific time horizon. Heuristic method is developed and applied with massive data in a limited time of computation. A set of flight patterns is selected from all possible flight patterns. which are generated by composing the flight leg based on regulations. by using the set partitioning problem with objective function of oversea stay cost. The selected set of flight patterns found at the first step is allocated to 4 week crew schedule to minimize the variance of total fight time assigned to each crew. The crew schedules obtained are evaluated and compared with the ones currently used in one of major airline company.

• Korean Management Science Review
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• v.29 no.1
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• pp.57-71
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• 2012

In this paper, we deal with a sector investment strategy by implementing the black-litterman model that incorporates expert evaluation and sector rotation momentum. Expert evaluation analyzes the relative performance of the industry sector compared with the market, while sector rotation momentum reflects the price impact of significant sector anomaly. In addition, we consider the portfolio impact of sector cardinality and weight constraints within the context of mean-variance portfolio optimization. Finally, we demonstrate the empirical viability of the proposed sector investment strategy with KOSPI 200 data.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.11a
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• pp.373-376
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• 2006

In general, there are three kinds of methods in analyzing dynamic robust design experiment: loss model approach, response function approach, and response model approach. In this talk, we review the three modeling approaches in terms of several criteria in comparison. This talk also generalizes the response model approach based on a generalized linear model. We develop a generalized two-step optimization procedure to substantially reduce the process variance by dampening the effect of both explicit and hidden noise variables. The proposed method provides more reliable results through iterative modeling of the residuals from the fitted response model. The method is compared with three existing approaches in practical examples.

• Journal of Korean Academy of Nursing
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• v.28 no.3
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• pp.540-549
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• 1998

This study has been designed to develop a health behavior scale. Data were collected through a survey over a period of two month period. Subjects who participated in the study were 298 Korean adults. The author used a convenience sampling method. The analysis of the data was done with SPSS PC for descriptive statistics and factor analysis. Initially 34 items were generated from the interview data of twenty one adults and from literature review and survey. This preliminary scale was analyzed for a reliability and validity. The results are as follow : 1. Crombach Coefficient alpha for the 30 items was .7907. 2. Factor analysis was done in order to confirm construct validity and nine factor were extracted from the results. These contributed 54.4% of the variance in the total score. 3. Nine factor label were 'exercise' 'stress management' 'energy conservation' 'limit in liking' 'selection of food' 'ingestion of natural food' 'health examination' 'relaxation' and 'nutrition'. The author suggests that this scale could be adequately applied in assessing the health behavior of Korean adults. The results of using this scale in a study can contribute to designing an appropriate health promotion strategy.