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

{"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}

{"title":"Rating Agencies","authors":"Harold L. Cole, Thomas F. Cooley","doi":"10.2139/ssrn.2580596","DOIUrl":"https://doi.org/10.2139/ssrn.2580596","url":null,"abstract":"For decades credit rating agencies were viewed as trusted arbiters of creditworthiness and their ratings as important tools for managing risk. The common narrative is that the value of ratings has been compromised by the evolution of the industry to a form where issuers pay for ratings. In this paper we show how credit ratings have value in equilibrium and how reputation insures that in equilibrium ratings will reflect the correct assessment of credit worthiness. There will always be an information distortion because of the fact that purchasers of ratings need not reveal them. We argue that regulatory reliance on ratings and the increasing importance of risk-weighted capital in prudential regulation have more likely contributed to distorted ratings than the matter of who pays for them. In this respect, much of the regulatory obsession with the conflict created by issuers paying for ratings is misguided.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127985427","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":"Central Bank Transparency and Independence: Updates and New Measures","authors":"N. Dincer, Barry Eichengreen","doi":"10.2139/SSRN.2579544","DOIUrl":"https://doi.org/10.2139/SSRN.2579544","url":null,"abstract":"This paper reports updated measures of transparency and independence for more than 100 central banks. The indices show that there has been steady movement in the direction of greater transparency and independence over time. In addition, we show that outcomes such as the variability of inflation are significantly affected by both central bank transparency and independence. Disentangling the impact of the two dimensions of central bank arrangements remains difficult, however.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125646243","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":"우리나라 통화정책에서 통화·신용량의 역할 (The Role of Money and Credit Aggregates in Conduct of Monetary Policy in Korea)","authors":"Heungmo Lee, Hyun E. Kim","doi":"10.2139/SSRN.2579528","DOIUrl":"https://doi.org/10.2139/SSRN.2579528","url":null,"abstract":"Korean Abstract: 글로벌 금융위기를 계기로 그동안 경시되어 왔던 통화·신용량의 중요성이 학계 및 중앙은행을 중심으로 재인식되고 있다. 그러나 양적지표를 실제 금리중심의 인플레이션 타게팅 운용체계에 어떻게 접목시킬 것인가에 관한 연구는 이제 시작단계이다. 이와 관련하여 본고는 한국은행 금융통화위원회의 월별 의사록 내용을 토대로 금통위원들이 통화·신용량을 언급하며 표명한 금리결정 의사 및 강도를 지수화(indexation)하고 동 지수를 이용하여 우리나라가 인플레이션 타게팅 제도를 도입한 이후 통화/신용량을 금리결정에 어떻게 반영해 왔는지를 분석하였다. 분석결과 금융통화위원회는 통화·신용량의 움직임에도 유의하면서 기준금리를 결정한 것으로 나타났는데, 이는 한국은행이 자산가격과 신용경색 등을 고려하여 인플레이션 타게팅 제도를 신축적으로 운용해 왔음을 시사한다. English Abstract: After having been de-emphasized from around the early 1990s, the importance of financial factors such as the money and credit aggregates in the implementation of monetary policy under inflation targeting regimes has gained renewed attention since the recent global financial crisis that erupted in August 2007. Further discussions and rigorous analysis are however needed, to reach a broadly shared consensus among academia and policymakers on the issue of when and how the central bank should incorporate these quantity variables into its actual conduct of interest rate-focused inflation targeting.Our aim in this paper is to address the issue of how the Monetary Policy Committee (MPC) of the Bank of Korea took into consideration the actual money and credit aggregates in its policy decisions under inflation targeting over the period 2003-2011. A novelty of our empirical analysis is its construction of an index as a measure for capturing, using the monthly Committee meeting minutes for the period concerned, how many MPC members mentioned their intentions with regard to the policy stance by taking the current movements of money and credit aggregates into consideration just prior to their policy decisions. For the analysis we set up a discrete choice framework for the index. We assign integer values of from 4 through -4, depending upon how many MPC members show their intentions that the policy stance be “tight,” “neutral,” or “easy,” in consideration of the movements of money and credit aggregates for a specific month. The integer value 4 denotes that more than five MPC members mentioned favoring a policy rate hike while the value 2 indicates that it was less than two MPC members. The same classification applies to the negative integer values. A zero value indicates that no MPC member has shown any favoring of a “tight” or “easy” policy stance at all, implying an intended “neutral” stance of the MPC members.We conduct OLS estimation of the effects of the index on the actual policy rate decisions by the Committee members, using an equation controlling for two key macroeconomic indicators such as the inflation gap and the output gap that the Committee considers in setting policy. Interestingly, the estimated index coefficient turns out to be positive and statistically significant. The regression suggests that when the MPC members frequently and strongly mentioned the need to take notice of the movements of money and credit aggregates around the time of the Committee meeting, monetary policy was dominated by conce","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130001585","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}