BOK ERI: Working Paper Series (Topic)最新文献

{"title":"Uncertainty Shocks and Asymmetric Dynamics in Korea: A Nonlinear Approach","authors":"Kevin Larcher, Jaebeom Kim, Youngjune Kim","doi":"10.2139/ssrn.3168910","DOIUrl":"https://doi.org/10.2139/ssrn.3168910","url":null,"abstract":"This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When nonlinearity is allowed to play a role in our model, quantitatively very different asymmetric dynamics are observed. Following in inflation targeting, the responses tend to be smoother and less pronounced. Our empirical results support the view that the link between uncertainty and macroeconomic activity is clear over both recessions and expansions. Furthermore, the impact of uncertainty shocks is more pronounced when economic activity is depressed especially after shocks originate from the financial market, and not from news-based policy uncertainty in Korea.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126618707","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"기업 취약성 지수 개발 및 기업 부실화와의 연관성 (Development of Corporate Vulnerability Index and a Connection with Corporate Insolvency)","authors":"Young Jun Choi","doi":"10.2139/SSRN.2890353","DOIUrl":"https://doi.org/10.2139/SSRN.2890353","url":null,"abstract":"Korean Abstract : 일반적으로 기업의 부채가 과다할수록 기업 부실 위험이 높아지는 것으로 알려져 있으나 한국의 경우 외환위기 이후 기업에 대한 부채비율 200% 미만 규제가 설정되면서 표면적으로 부채관련 비율은 안정적인 모습을 띄게 되었다. 그러나 기업 도산관련 이론에서 거론된 지표들을 살펴보면 부채관련 비율이 안정적임에도 불구하고 기업 부실위험이 높음을 시사하고 있으며 최근 구조조정 기업(워크아웃 기업, 회생 기업)수도 빠르게 증가하고 있다.본고에서는 이러한 점을 감안하여 부채관련 지표를 포함하면서 기업의 부실위험 정도를 잘 포착할 수 있는 새로운 지수를 개발하고 이러한 취약성 지수가 기업 부실화에 미치는 영향을 분석해 보았다. IMF의 CVU(Corporate Vulnerability Utility)에서 관찰하고 있는 지표를 중심으로 주성분 분석과 동태요인분석을 2회 중복 사용하는 방법을 이용하여 한계기업, 만성적 한계기업을 대상으로 기업 취약성 지수를 산정하였다. 그 결과 만성적 한계기업을 대상으로 한 취약성 지수가 어음 부도율 등 기업부실을 나타내주는 지표와 잘 부합하였으며 최근 들어 취약성 지수가 상승세에 있는 것으로 나타났다.패널 로짓(panel logit) 모형을 통해 만성적 한계기업의 취약성 지수가 정상기업의 부실기업화에 미치는 영향을 추정해 본 결과 취약성 지수가 한 단위 상승할 경우 정상기업에서 한계기업 및 부실위험 기업이 될 확률이 유의하게 상승하는 것으로 나타났다.이러한 분석결과는 구조조정을 통해 신속하고 꾸준하게 만성적 한계기업을 정리할 필요가 있으며 본고의 기업 취약성 지수와 같은 기업부실 위험 징후를 판단할 수 있는 종합적인 지표를 개발하여 이를 금융안정을 평가하는 보조지표로 활용할 필요가 있음을 시사한다.English Abstract : It has been usually taken into account that higher debts of a company tend to increase the risk of insolvency. In the case of Korea, the debt to equity ratio seems to have been stable after the Asian financial crisis thanks to the regulatory effort of reducing companies’ debt to equity ratio below 200%. By the way, unlike the debt to equity ratio, corporate default theories implicate that many Korean companies are highly likely to face default conditions, and the number of companies undergoing restructuring is growing much fast lately.Based on such motivation, this paper develops a new corporate vulnerability index including several debt-related ratios and helping to capture corporate risks, and analyzes the effect of the vulnerability index on corporate insolvency. The index is calculated for the whole, marginal, chronic marginal, and default-risk companies by applying both principal component analysis and dynamic factor analysis with indicators from IMF’s CVU(Corporate Vulnerability Utility). The result shows that the vulnerability index for chronic marginal companies corresponds to the bankruptcy rate on promissory notes which represents the level of corporate insolvency, and recently the index is in a rising trend.According to the estimation of the effect of chronic marginal companies’ vulnerability index on corporate insolvency of regular companies through the panel logit model, the probability of turing into marginal or default-risk companies from regular companies increases as the vulnerability index increases.The implications of the results are as follows. First, swift and steady restructuring needs to be executed for stable real economy. Next, the development of comprehensive indicators by which to detect risk signs, like the corporate vulnerability index in this paper, is required to use them as sub-indicators to assess financial stability.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134601673","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Loan Rate Differences Across Financial Sectors: A Mechanism Design Approach","authors":"Byoung-Ki Kim, Jun Gyu Min","doi":"10.2139/ssrn.2878407","DOIUrl":"https://doi.org/10.2139/ssrn.2878407","url":null,"abstract":"This paper shows that discrete and vastly different loan rates offered by different types of financial firms constitute, in fact, an elaborate mechanism that makes borrowers tell the truth regarding their ability to pay back loan principal and interest. Suppose that once a borrower fails to pay back a loan to a bank, he cannot borrow from any banks again and must contact higher-interest charging credit finance companies to get a new loan. This creates a well-defined incentive for borrowers: pay back and remain in the banks' loan market vs. do not pay back and move to, say, credit finance companies' loan market in which a higher loan rate is charged. This mechanism does not require the financial firms to verify even if the borrower declares bankruptcy, and therefore is more efficient than a standard debt contract A la Townsend (1979) in terms of verification cost. As the interest rates offered by different types of financial firms should be well aligned in order to prevent the deception of borrowers, we can also analyze how many different types of financial firms, that is, how many discrete and different loan rates, can co-exist in the economy.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127614037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Liability, Information, and Anti-Fraud Investment in a Layered Retail Payment Structure","authors":"Kyoungsoo Yoon, Jooyong Jun","doi":"10.2139/ssrn.2824869","DOIUrl":"https://doi.org/10.2139/ssrn.2824869","url":null,"abstract":"Motivated by recently introduced retail payment schemes using information technology, often called “FinTech,” we examine the effects of fraud liability regime and information accessibility on the incentive for the anti-fraud investment in a vertically separated payment scheme. When the payment service providers make their revenue from consumer fee, it is shown that the anti-fraud investment is made more by parties with liability, and the anti-fraud investment is socially sub-optimal. When the FinTech payment service provider (FPP) makes its revenue other than from consumer fee, the FPP liability regime leads to greater anti-fraud investment and lower accident probability, compared to the case in raising revenue from consumer fees. The effect under the IPP liability regime, however, is inconclusive. Finally, under certain conditions, the FPP’s information accessibility to the IPP’s transaction data can enhance the anti-fraud investment and welfare.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126282723","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Spillovers from U.S. Unconventional Monetary Policy and its Normalization to Emerging Markets: A Capital Flow Perspective","authors":"S. Suh, Byungsoo Koo","doi":"10.2139/ssrn.2752814","DOIUrl":"https://doi.org/10.2139/ssrn.2752814","url":null,"abstract":"Policy makers employed unconventional monetary policy (UMP) tools to respond to the recent global financial crisis in the U.S. and other advanced economies, and the UMP is about to be normalized. In this paper, we try to quantitiatively assess the effects of the UMP and its normalization on capital flows to emerging market economies. We find that the UMP significantly affected capital flows on average. The effects of the normalization are closely related with the effects of the UMP. Importantly, the larger the capital inflows due to the UMP, the larger the capital outflows due to the normalization. Moreover, policy makers need to be careful of a potential risk of unexpected capital outflows (exceeding the expected ones) during an uncertain period whose size tends to be proportional to the size of the previous capital inflows.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130438118","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Failure Risk and the Cross-Section of Hedge Fund Returns","authors":"Jung-min Kim","doi":"10.2139/ssrn.2604794","DOIUrl":"https://doi.org/10.2139/ssrn.2604794","url":null,"abstract":"Modeling a hedge fund’s probability of failure by a dynamic logit regression, I document that a probability of fund failure has a significantly negative effect on the fund’s future returns. A quintile portfolio with highest failure probability underperforms a quintile portfolio with lowest failure probability by 5~6% per year from 1997 to 2012. The results are robust to the definition of hedge fund failure and controlling for a large set of risk factors and fund characteristics. Moreover, the negative effect of failure probability on future fund returns is stronger for funds with weak share restrictions.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116192685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"International Currencies Past, Present and Future: Two Views from Economic History","authors":"Barry Eichengreen","doi":"10.2139/SSRN.2580651","DOIUrl":"https://doi.org/10.2139/SSRN.2580651","url":null,"abstract":"Conventional economic wisdom has long held that the world's dominant economic power tends to possess the world's dominant currency, and that the dominance of that currency can continue even after other, more dynamic economics powers surpass the issuer of it. The paradigmatic example is Great Britain, which had the world's biggest economy and the dominant currency in the nineteenth century. Yet even as it faded relative to the US and Germany, the pound sterling remained the world's reserve currency well into the twentieth century. Only massive systemic shocks like the Great Depression and World War Two could knock the pound from its perch. The story of the US economy and the dollar after the war is a similar one, and many expect that the dollar will eventually lose its pre-eminence to Chinese the renminbi at some point after the Chinese economy surpasses the US economy in size. China is certainly a clear rival to the US, but as Barry Eichengreen, Marc Flandreau, Arnaud Mehl and Livia Chitu argue, economics is not a zero-sum game. In International Currencies, Past, Present, and Future, they draw from innovative data sets to argue that several national currencies can play an important role in the global economy all at once. Rather than focusing on how one currency dominates, then, we should look at currency systems as networks. While there may be a clear leader, that does not meant that other major currencies cannot serve as international reserve hedges. Indeed, even in the late twentieth century, when US power was at a geopolitical apex, roughly 40 percent of global foreign exchange reserves were not in dollar form. The late nineteenth and early twentieth centuries were similarly multipolar with regard to foreign exchange reserve holdings, with the mark, the franc, and the dollar all playing important roles in a system in which the pound led. If past is prologue, we can look forward to a multipolar system in which the dollar and euro will continue to be important international currencies even if the renminbi surpasses the dollar--and the jury is out on that. Deeply informed by history, this powerfully revisionist account of how the international monetary system operates will not only transform our understanding of the past, but also force us to reconsider our expectations of how the system will evolve in future decades.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115284070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"확장된 실업지표를 이용한 우리나라 노동시장에서의 이력현상 분석 (Hysteresis in Korean Labor Market with Alternative Measures of Labor Utilization)","authors":"Hyun Hak Kim, Kwang‐Myoung Hwang","doi":"10.2139/ssrn.2580649","DOIUrl":"https://doi.org/10.2139/ssrn.2580649","url":null,"abstract":"Korean Abstract: 노동시장에서의 이력현상이란 경기침체 등으로 일시적으로 증가했던 실업이 경기가 회복되어도 다시 줄어들지 않고 이전의 높은 수준으로 정착되는 현상을 말한다. 만약 노동시장에 이력현상이 존재하고 경기침체로 실업률이 상승할 경우 실업이 장기화되면서 경제활력이 저하되는 등 부작용이 나타날 수 있기 때문에 경기변동에 대한 적극적인 안정화 대책을 마련하는 것이 바람직하다 할 수 있다. 우리나라 노동시장 내 이력현상의 존재유무에 대한 기존연구는 고용률, 경제활동참가율에는 이력현상이 있으나 실업률에는 없는 것으로 나타나는 등 일치된 결과를 보여주지 못하고 있다. 본고는 이러한 괴리의 원인으로 경계실업자 및 불완전취업자의 존재에 주목하고 2003년부터 2013년까지 통계청 경제활동인구조사 자료를 이용하여 이들을 포괄한 확장된 고용 지표를 작성한 후, 이들 지표를 대상으로 이력현상 존재유무를 검증하였다. 확장된 실업지표를 기준으로 한 분석 결과, 경제활동참가율과 고용률 뿐만 아니라 실업률의 경우에도 이력현상이 존재하는 것으로 분석되었으며, 성별, 연령별 분석결과 여성 및 30∼40대 중년층에서 이력현상이 더욱 뚜렷이 나타났다. 이는 여성과 중년층의 실업이 장기화되지 않도록 미연에 방지하는 것이 경기침체의 장기화를 방지함은 물론, 성장잠재력 확충 등을 위해 매우 긴요함을 시사한다 하겠다.English Abstract: Hysteresis in the labor market describes that indicators that once changed due to the economic downturn remain at the new level even after the labor market returns to normal. Most of literatures on the Korean labor market have consistently shown evidences of the existence of hysteresis in employment rates and labor force participation rates, but not in unemployment rates. We attribute such inconsistency to persons marginally attached to the labor force and persons employed part time for economic reasons. Therefore, we construct extended measures for unemployment from 2003 to 2013 using micro data of Statistics Korea, and investigate the presence of hysteresis based on the new measures. We have found that the alternative measures of unemployment rates support the existence of hysteresis in the Korean labor market, which is consistent with the result in labor force participation rates and employment rates. The existence becomes more significant for the unemployment rates of female and aged-groups of 30's and 40's. It suggests that the prevention of the persistently high unemployment rates among female and middle-aged group would play an important role in avoiding prolonged recessions and raising potential growths.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"532 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116495114","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks","authors":"Azamat Abdymomunov, K. Kang, Ki Jeong Kim","doi":"10.2139/ssrn.2580636","DOIUrl":"https://doi.org/10.2139/ssrn.2580636","url":null,"abstract":"In this paper, we investigate whether credit spread curve information helps forecast the government bond yield curve and whether the joint dynamics of the government bond yields and credit spreads have structural changes. For this purpose, we use a joint dynamic Nelson-Siegel (DNS) model of the term structures of U.S. Treasury interest rates and credit spreads. We find that this joint model produces substantially more accurate out-of-sample Treasury yields forecasts compared with a standard DNS yield curve only model. We also find that the predictive gain from incorporating the credit spread curve information substantially increases if the joint model accounts for structural changes in the dynamics of yield and credit spread curves. In addition, our model incorporates a zero lower bound restriction ensuring that our predictions are economically plausible.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122718489","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Imported-Inputs Channel of Exchange Rate Pass-Through: Evidence from Korean Firm-Level Pricing Survey","authors":"JaeBin Ahn, Chang-Gui Park","doi":"10.2139/ssrn.2580605","DOIUrl":"https://doi.org/10.2139/ssrn.2580605","url":null,"abstract":"This paper studies the imported inputs channel of exchange rate pass through to the prices of domestically produced goods, exploring the firm-level pricing survey conducted by the Bank of Korea. The survey data reveal that imported inputs play a major role in transmitting exchange rate fluctuations to domestic producer prices, and that the degree of exchange rate pass-through tends to be nonlinear and asymmetric: it is higher when changes in exchange rate are large or when the local currency depreciates. A further investigation of the sources of nonlinearity and asymmetry supports the model's prediction that nonlinear pass-through may arise because large exchange-rate movements trigger additional indirect effects via industry-level price movements, while asymmetric pass-through can be driven by capacity constrained firms.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116988669","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}