• Economic Analysis
• /
• v.26 no.1
• /
• pp.84-132
• /
• 2020

A central bank infers market expectations of future yields based on yield curves. The central bank needs to precisely understand the changes in market expectations of future yields in order to have a more effective monetary policy. This need explains why a range of models have attempted to produce yield curves and market expectations that are as accurate as possible. Alongside the development of bond markets, the interconnectedness between them and macroeconomic factors has deepened, and this has rendered understanding of what macroeconomic variables affect yield curves even more important. However, the existence of various theories about determinants of yields inevitably means that previous studies have applied different macroeconomics variables when estimating yield curves. This indicates model uncertainties and naturally poses a question: Which model better estimates yield curves? Put differently, which variables should be applied to better estimate yield curves? This study employs the Dynamic Nelson-Siegel Model and takes the Bayesian approach to variable selection in order to ensure precision in estimating yield curves and market expectations of future yields. Bayesian variable selection may be an effective estimation method because it is expected to alleviate problems arising from a priori selection of the key variables comprising a model, and because it is a comprehensive approach that efficiently reflects model uncertainties in estimations. A comparison of Bayesian variable selection with the models of previous studies finds that the question of which macroeconomic variables are applied to a model has considerable impact on market expectations of future yields. This shows that model uncertainties exert great influence on the resultant estimates, and that it is reasonable to reflect model uncertainties in the estimation. Those implications are underscored by the superior forecasting performance of Bayesian variable selection models over those models used in previous studies. Therefore, the use of a Bayesian variable selection model is advisable in estimating yield curves and market expectations of yield curves with greater exactitude in consideration of the impact of model uncertainties on the estimation.

• Journal of Korea Port Economic Association
• /
• v.32 no.3
• /
• pp.67-81
• /
• 2016

This paper examines the influence of Brexit on container volume of Korea, especially of macroeconomic variables such as exchange rate and industrial production of EU and United Kingdom. To do this, we use monthly time series data during 2000-2016, and introduce the analysis method of cointegration test and VECM, and analyze the influence of industrial production and exchange rate of EU and U.K. on container volume of Korea. The results are as follows. First, the container volume of Korea is influenced by the exchange rate and industrial production of EU in the long run. But the exchange and industrial production of U.K. influenced on only export container volume of Korea, and the influence of U.K. macroeconomic variables on container volume of Korea was not large in the long lun. Second, In the shot run, the influence of exchange rate on container volume of Korea, especially on export container volume was significant in EU and U.K. To sum up, the influence of EU macroeconomic variables on container volume of Korea is larger than that of U.K., and the influence of exchange rate variable is more significant than that of industrial production variable.

• Journal of Cadastre & Land InformatiX
• /
• v.47 no.1
• /
• pp.143-160
• /
• 2017

Since officially assessed land price system was introduced, it has functioned as the criterion for establishing and implementing real estate policies. However, there is a controversial issue about the adequacy of the officially assessed land price system. The problem is that it is difficult to establish a statistical model due to too many land characteristics. Also, local economy, macroeconomic environments and development plans are not reflected in the land price evaluation model. Considering longitudinal and cross-sectional variables, a two-way error component panel model was used in this study. This analysis model includes variables reflecting land characteristics, macroeconomic volatility, and development project. The Paju LCD Industrial Complex was selected as a analysis area and an empirical analysis was performed. According to the analysis, the number of significant land characteristic variables were 14(31%) under 5% significance level. Macroeconomic volatility has had an influence on the land price and year variable reflecting development project has consistently been significant since the industrial complex was designated. Therefore, this study suggests that the land price evaluation model should be improved by simplifying land characteristic variables and including macroeconomic and regional economic variables.

• Land and Housing Review
• /
• v.14 no.4
• /
• pp.47-62
• /
• 2023

Using the dynamic panel model, this study investigates rent determinants for small and medium-sized office buildings in Korea's CBD and Gangnam areas, key business districts. The results reveal that rents for small and medium-sized office buildings in CBD and Gangnam areas are influenced by macroeconomic fluctuations and characteristics of buildings and locations, suggesting a market with both spatial consumer and investment goods attributes. There are several investment implications as follows. First, even if the location in the CBD area is advantageous, the practical limitations in renovating aging small and medium-sized office buildings must be taken into account when investing. Second, parking conditions are a key factor influencing rent prices in CBD areas, so evaluating the parking facilities and improvement potential of small and medium-sized office buildings is essential for investors. Finally, due to the high sensitivity of Gangnam's small and medium-sized office market to macroeconomic trends, it's vital to prioritize monetary policy shifts as a key factor in investment decisions.

• Asia-Pacific Journal of Business
• /
• v.14 no.3
• /
• pp.221-240
• /
• 2023

Purpose - This paper investigates how business cycle impacts on corporate credit spreads since global financial crisis. Furthermore, it tests how the impact changes by the phase of the cycle. Design/methodology/approach - This study collected dataset from Barclays Global Aggregate Bond Index through the Bloomberg. It conducted multi-regression analysis by projecting business cycle using Hodrick-Prescott filtering and various cyclical variables, while ran dynamic analysis of 5-variable Vector Error Correction Model to confirm the robustness of the test. Findings - First, it proves to be statistically significant that corporate credit spreads have moved countercyclicaly since the crisis. Second, It indicates that the corporate credit spread's countercyclicality to the macroeconomic changes works symmetrically by the phase of the cycle. Third, the VECM supports that business cycle's impact on the spreads maintains more sustainably than other explanatory variable does in the model. Research implications or Originality - It becomes more appealing to accurately measure the real economic impact on corporate credit spreads as the interaction between credit and business cycle deepens. The economic impact on the spreads works symmetrically by boom and bust, which implies that the market stress could impact as another negative driver during the bust. Finally, the business cycle's sustainable impact on the spreads supports the fact that the economic recovery is the key driver for the resilience of credit cycle.

• Journal of the Korean Data Analysis Society
• /
• v.20 no.6
• /
• pp.2953-2966
• /
• 2018

Housing prices are closely related to various variables that indicate macroeconomic conditions. In this paper, empirical analysis based on data is performed referring to previous studies. Focusing on the policy interest rate among the factors affecting the housing price, the non-linear impulse responses of other variables to the interest rate shock are analyzed. Using the random forest algorithm, the variable importance scores of the macroeconomic variables presented in the previous studies are calculated. After selecting the variables through this process, the impulse responses are calculated using a model that can capture non-linearity. According to the model, the responses of housing prices to the policy rate is only significant when the rate is raised. Especially, the impulse response is amplified when the shock increases due to the non-linear characteristics that can not be captured by the traditional VAR methodology. The analysis results suggest that the interest rate as a policy instrument should be approached from a more cautious perspective.

• The Korean Journal of Applied Statistics
• /
• v.34 no.5
• /
• pp.837-848
• /
• 2021

Evaluating or predicting the effectiveness of economic policies is an important issue, but it is difficult to find an economic variable which causes a significant result because there are numerous variables that cannot be taken into account. A randomized controlled experiment is the best way to investigate causality, but it is not realistically possible to control through randomization and intervention in time series data such as macroeconomic data. Although some analysis methods have been proposed to find causality, the methods such as Granger causality method and Chow test are insufficient to explain causality. Recently, Pfister et al. (2019) proposed invariant causal prediction methods which can be applicable in time series data. In this paper, we introduce the method of Pfister et al. (2019) and use the method to find macroeconomic variables invariantly affecting the won-dollar exchange rate.

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

• East Asian Economic Review
• /
• v.22 no.4
• /
• pp.507-529
• /
• 2018

This paper evaluates the whole impact of quantitative easing on inflation in Korea implemented by the central banks in four major advanced economies, the U.S., Euro Area, U.K. and Japan. According to the analysis employing a VAR-X model with the security holdings of those central banks an exogenous variable, quantitative easing is estimated to exert downward pressures on inflation in Korea. Considering the impulse responses of Korean macroeconomic variables to a quantitative easing shock, the spillover effect is transmitted through exchange rate channel while trade channel turns out to be ineffective. In an additional analysis assessing the impact of each quantitative easing program of the central banks, only those of the Fed and European Central Bank are estimated to be significant. The empirical results prove to be robust even if using long-term interest rates as an alternative indicator of quantitative easing.

• KDI Journal of Economic Policy
• /
• v.44 no.1
• /
• pp.77-98
• /
• 2022

This paper empirically verifies that the types of capital adjustment costs serve as an important mechanism in relation to investment decision-making after confirming that the investment dispersion of Korean firms is pro-cyclical and can affect business cycles. Specifically, it is found through empirical methods using corporate financial data that capital adjustment costs generally assumed to take a quadratic form in macroeconomics are asymmetric and irreversible in the Korean economy. In particular, capital adjustment costs are empirically proven to cause investment dispersion to expand given that the substitution effect of the marginal value to the marginal cost for one unit of investment in the inter-temporal investment decision is affected by that cost with regard to the resale of owned equipment assets, as opposed to new investments in equipment assets. We ultimately show, albeit indirectly, that investment dispersion can affect business cycles as capital adjustment costs influences investment decisions. What is implied is that the capital adjustment cost is not merely an exogenously deep parameter that fits the dynamics of business cycles in a macroeconomic model but could instead be a policy variable that can be endogenized through government policies.