Managerial Incentives and Risk-Taking Behaviors of Fund Managers

Seungyeon Won,Jae Joon Han,Shin Dong Jeung 한국재무학회 2011 財務硏究 Vol.24 No.3

기간프리미엄의 변동과 장단기 금리의 괴리

원승연 ( Seungyeon Won ),심명화 ( Myounghwa Sim ) 한국재무관리학회 2022 財務管理硏究 Vol.39 No.2

본 연구는 2010년부터 2021년 9월까지 국내 채권시장을 대상으로, 채권시장에서의 수급요인이 장기채금리의 기간프리미엄에 미치는 영향을 실증 분석한다. 주요 발견은 다음과 같다. 첫째, 채권시장의 수급요인이 기간프리미엄에 영향을 미쳤다. 보험과 연기금으로 구성된 장기투자자의 순매수는 금리상승기와 하락기에 모두 기간프리미엄을 하락시켰다. 반대로 증권사 및 은행 등으로 구성된 단기 투자자의 순매수는 기간프리미엄을 상승시켰다. 다만, 단기투자자의 경우 그 영향력은 금리상승기에만 유의하였다. 둘째, 장기투자자와 단기투자자의 상호작용으로 인해서 발생하는 기간프리미엄의 변동이 금리하락기에 단기금리와 기간프리미엄이 상반된 방향으로 움직이도록 한 원인이었으며, 이것이 해당 기간 장단기 금리간의 괴리를 유발하는 요인임을 확인하였다. We investigate whether preferred-habitat investors exist in the Korean bond market and their supply and demand can affect the term structure of bond yields. We find that pension funds and insurance companies continue to prefer holding long-term bonds, and their net buying is negatively related to the term premium. By contrast, short-term investors, such as banks and securities firms, are less likely to exhibit maturity preference; their net buying increases the term premium, particularly during periods of rising interest rates. These findings suggest that long-term investors are preferred-habitat investors, whereas short-term investors act as risk-neutral arbitrageurs. Furthermore, a short-term interest rate is negatively related to a term premium during periods of declining interest rates, which is inconsistent with the expectation hypothesis. From our findings, we infer that short-term investors less actively participate in arbitrage during periods of falling rates due to restrictions, and that the limit of arbitrage allows yields at different maturities to be disconnected from each other.

정책금융 현황과 정책금융 공급체계 개편 과제

원승연(Seungyeon Won),이기영(Kiyoung Lee) 한국경제발전학회 2021 經濟發展硏究 Vol.27 No.2

본 연구는 200년대 이후 정책금융의 흐름을 총체적으로 살펴보고 그 문제점을 분석함으로써, 정책금융 공급체계의 개선 과제를 제시하는데 목적을두었다. 200년대 이후 금융시장의 성장에도 불구하고 정책금융의 시장 대비비중은 확대되었다. 그것은 소득분배 개선 목적의 정책금융이 증가한 반면, 필요성이 축소된 중소기업 정책금융이 오히려 지속적으로 증가하였기 때문이다. 이러한 추세는 미시적 접근에 기초한 기존 연구 결론과 마찬가지로, 총량적인 관점에서 볼 때에도 정책금융이 중소기업 정책금융을 중심으로 과잉 공급되고 있음을 확인해주는 것이다. 정책금융의 과잉 공급은 정책금융을 시장실패의 교정보다는 산업정책 수단으로 활용하려는 정부의 태도와 조직을 확대하고자 하는 정책금융기관의 행태에 기인한 바 크다. 이러한 인식을 기초로 본 연구는 정책금융 공급체계의 문제점과 개선 방안을 지적하고, 주요한정책금융 영역별로 정책금융기관 개편 과제를 제시하였다. This study aims to present the chalenges of improving the government-sponsored loans suply system by comprehensively examining and identifying its problems of flow of government-sponsored loans since the 200s. Despite the growth of the financial market since the 200s, the proportion of government-sponsored loans to the market total loans has expanded. That is due a rise in government-sponsored loans for improving income distribution as wel as for smal and medium-sized enterprises. The neds for providing government-sponsored loans for smal and medium-sized enterprises have ben reduced in recent years, but they continued to increase. This result is confirmed by former research conclusions based on microscopic aproaches from an agregate perspective. The oversuply of goverment-sponsored loans is largely due to the government s strong stance toward the use of goverment-sponsored loans as an industrial policy means rather than to corect market failures. Furthermore, the selfish behavior of government-sponsored financial instiutions escalated the size of the government-sponsored loans for expanding their own organizations. Based on this perception, this study points out the problems and improvements of the government-sponsored loans suply system and also provides the task for reorganizing the government-sponsored financial instiutions by major areas.

2007∼2009년 금융위기 시 연방준비은행의 증권사에 대한 최종대부자 기능과 그 시사점

원승연 ( Seungyeon Won ) 한국금융연구원 2021 금융연구 Vol.35 No.1

본 연구는 2007∼2009년 금융위기 시 미국 연방준비은행이 최종대부자로서 실시했던 증권사에 대한 유동성 공급 프로그램, Term Securities Lending Facility(TSLF)와 Primary Dealer Credit Facility(PDCF)를 분석하여, 한국에서도 발생할 가능성이 있는 자본시장 발 금융위기에 대한 대응책 마련을 위한 시사점을 제시하였다. TSLF와 PDCF는 증권사에 대한 긴급 유동성 공급을 통해서 금융시스템을 안정화시키는데 기여함으로써, 일부 도덕적 해이를 유발한 측면이 있음에도 불구하고 전체적으로 사회적 편익이 훨씬 컸던 적절한 최종대부자 기능의 집행이었다고 평가한다. 이것은 연방준비은행이 금융시스템 관리자로서 적극적인 자세를 갖고, 집행 과정에서 절차적 정당성을 확보하면서 자본시장에 적합한 새로운 정책 수단을 마련하였던 것에 힘입은 바 크다. 본 연구는 향후 예상되는 금융위기에 대비하기 위해 한국은행 등 관련 기관이 적극적인 자세를 갖고 준비해야 함을 강조하고, 이를 뒷받침하기 위한 제도적 개선 방안을 제시하였다. 첫째, 한국은행이 자본시장에서도 최종대부자로서 기능을 적극적으로 수행하도록 한국은행법 개정을 통해서 최종대부자 기능의 실행 요건 개선하고 Bagehot 준칙을 유동성 공급 원칙으로 삽입할 것을 제안하였다. 둘째, 한국은행이 증권사에 대한 감독권이 없음을 전제로, 이를 보완할 수 있는 관련 기관간의 협력체계 및 감독권 조정 등의 제도적 보완 장치를 제안하였다. This paper suggested the policy implication for stabilizing the financial system against the crisis of the capital market in Korea, analyzing the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF) by which the Federal Reserve (Fed) as a lender of last resort (LLR) supplied liquidity to the primary dealers during the financial crisis of 2007∼2009. The two facilities, TSLF and PDCF, are effective in stabilizing the financial system by giving liquidity to the primary dealers in emergency. As a whole, Fed are evaluated to have executed the appropriate policy though they might give rise to the primary dealer’s moral hazard a little bit. The factors which enabled the policy to stabilize the financial system are as follows: First, the institutional system are already established to support the Fed’s action as a lender of last resort, including the Federal Reserve Act. Second, Fed had the attitude and capability of advancing the legally proper process for making the policy. Third, Fed executed the policy suitable for solving the problem of the capital market in crisis. Especially, TSLF were more effective. Last, the coordination with the Treasury and SEC also contributed to Fed’s active execution. However, among the Fed policy for stabilizing financial system during year 2007∼2009, the rescue program for the specific private financial company such as AIG is blamed to make financial companies’ moral hazard worse and then aggravate financial fragility in the long run. It gives a point of dispute how to apply to Bagehot’s rule in reality, which central bank should keep as a lender of last resort. Considering the magnitude and aggregate risk level of capital market, the financial crisis starting from capital market may happen in Korea. Therefore, Bank of Korea (BOK) and other government organization should prepare for this new type of financial crisis with active attitude and revise the public system for stabilizing financial market in advance. Based on the lesson of Fed case, this paper suggested the two measures for advancing the system. First, more favorable condition should be established for BOK’s LLR function by way of revision of BOK Act. The execution condition for BOL’s emergency loan should be revised, by prescribing the condition as the situation in financial system risk or expected to happen financial system risk. Also, for protecting from external pressure for emergency loans, the principle for emergency loans which reflect bagehot’s rule should be inserted in BOK Act. Second, as BOK has no financial supervisory authority, the cooperation with financial supervisory agencies and Treasury Department is important. This paper suggested that the council between BOK and Financial Supervisory Services should be established in practical level. In addition, it suggested that the so called Financial Stability Council, which many academic studies advised to establish as a coordination mechanism for financial system stabilization policy among diverse financial supervisory agencies including BOK, should coordinate the activities of agencies and BOK related with emergency loans. Also, it need to be considered that BOK has more inspection authority on only the financial companies which borrowed the emergency loans from BOK.

가계의 금융부채가 소득불평등에 미치는 영향

원승연(Won, Seungyeon) 한국사회정책학회 2015 한국사회정책 Vol.22 No.3

본 연구는 ‘가계금융복지조사’ 자료를 이용하여 소득분위별 금융부채의 현황을 분석하고, 그것이 소득불평등에 미치는 영향을 분석하였다. 첫째, 소득수준이 낮을수록 금융부채로 인한 이자부담률 또는 원금상환부담률은 확대되는 경향이 있다. 둘째, 지니계수와 에스테반?레이 지수로 계산한 소득불평등도는 금융부채로 인한 원리금 부담을 고려할 때 훨씬 악화되었다. 셋째, 금융부채비율이 높은 가계는 원리금상환을 차감한 가처분소득이 하락하는 양상을 보였다. 특히 하위층 가계는 경상소득이 증가하더라도 금융부채비율이 높을 때 가처분소득이 하락할 가능성이 높은 것으로 나타났다. 이는 금융부채의 증가가 상위층보다는 하위층 가계의 실질적인 가처분소득을 보다 감소시키는 역할을 함으로써 소득불평등을 악화시키는 요인이 될 수 있음을 시사한다. 본 논문의 연구 결과는 소득불평등의 완화를 위해서는 소득불평등을 오히려 확대시킬 수 있는 금융지원 정책을 지양하고, 소득분배의 불평등을 근원적으로 개선할 수 있는 근본적인 방안의 모색이 필요함을 제시한다. This paper, using the ‘Survey of Household Finances and Living Condition’, analyzed the households’ financial debts by income decile and the influence of financial debts on the income inequality. The empirical results are as follows. First, As households’ incomes are lower, their burden from the financial debts are larger. Second, calculating the level of income inequality by the Gini’s coefficient and Esteban-Ray Index, the inequality of the disposable income which is deducted by the interest and principal payment of financial debts became worse than that of current income. Third, as the households have higher financial debt ratios, their disposable incomes in next year decreased more. Above all, the lower-class households have the higher probability for their disposable incomes to decrease even if their current incomes increase. This shows that the increase of financial debts makes the lower-class households’ disposable incomes worse than higher and middle class households’ ones, which implies that the financial debts of households may aggravate the income equality. The results suggest that the government should develop the fundamental income distribution policy, not dependent on the financial supporting policy which increase the households’ financial debts.

국민연금의 수익률과 재정건전성

원승연 ( Seungyeon Won ) 한국금융학회 2017 금융연구 Vol.31 No.2

이 연구는 국민연금 재정추계에서 가정한 기금 운용수익률 또는 요구수익률의 타당성을 검토하였다. 이 연구는 재정추계의 요구수익률 설정은 자산시장에서의 위험을 고려하지 않음으로써, 재정건전성을 과대평가할 가능성이 있음을 제시하였다. 최적화 모형을 이용하여 요구수익률실현 가능성을 검토한 결과 목표수익률을 높이기 위한 포트폴리오 위험 증가가 장기적인 요구수익률을 달성하는데 제약으로 작용할 수 있음을 확인하였다. 따라서 자산시장의 기대수익률이 하락하는 상황에서 위험자산 비중 증가를 통한 자산배분 전략의 변화만으로 장기 요구수익률을 실현하지 못할 수 있음도 제시하였다. 이러한 연구 결과는 국민연금의 경우에도 일반적인 수익률의 기대치와 위험 사이의 상충관계가 존재하는 것을 구체적으로 확인할 수 있음을 지적하여, 장기투자자가 수익률 제고를 목표로 하는 경우 위험 감수에 따른 상반된 영향을 고려해야 함을 제시하였다는데 의의가 있다. 또한 이 연구는 정책적인 관점에서 국민연금의 재정추계 결과가 노후보장을 위한 세대간 부담을 결정하는 국민연금 제도 개편과 연관되는 것이니만큼, 자산시장의 환경을 반영하여 합리적으로 기금 운용수익률이 설정되는 것이 중요함을 지적하였다는 의의가 있다. This study evaluates the rationality of the assumption on the expected returns of National Pension Fund by `the National Pension Fiscal Projection Committee` in 2013. Though the assumption on the expected returns is one of critical factors for evaluating the fiscal soundness of National Pension Fund, it has not been set up with fully considering current financial asset markets. This study indicates that the assumption did not consider the risk of financial markets so that it might over-evaluate the fiscal soundness of National Pension Fund. This study highlights that the fund can not increase the risk un-limitedly for accomplishing the objective returns or required returns by the National Pension Fund fiscal projection. Though the higher ex-ante risk in portfolio may induce the higher short-term expected returns, the increased volatility may cause the decrease of long-term accumulated portfolio returns. The reason is as follows; The increase of portfolio risk will increase the probability that the gap between ex-ante expected return an ex-post realized returns would widen. Then the wider gap between two returns also increase the probability that the long-term average returns will be lower than the short-term expected returns. Therefore, the increase of portfolio risk for higher expected returns may result in the counter-factual effect on decreasing the long-term average returns. This study analyzes the results of asset allocation optimization under the assumption of various financial asset markets by using some of optimal asset allocation models including Markowitz Model. Especially, considering the relationship between portfolio risk and long-term expected returns, this study evaluates the probability that the results of optimized asset allocation can meet the required returns of National Pension Fund which the National Pension Fiscal Projection Committee` assumed in 2013. The results show that it is less probable for National Pension Fund to meet the required returns even with considering all plausible asset allocation strategy. Under the current situation of decreasing expected returns of all asset classes, the higher portfolio risk strategy may have the long-term returns decrease by enlarging the gap between expected short-term returns and realized short-term returns and then lowering the accumulated returns, even if it may increase the short-term expected returns of portfolio. This suggests that the fiscal projection of National Pension Fund need to correct the assumption of expected or required returns in responding to the changing financial asset markets, and then re-evaluate the fiscal soundness of National Pension Fund. The fiscal soundness of Nation Pension fund is important in terms of income allocation between the generation, rather than depletion of fund itself. The mistaken evaluation on fiscal soundness may keep the implau-sible contribution-benefit system of National Pension, making impact on the distortion of intergenerational income allocation. The results of this paper imply that the National Pension System should be changed for fair-ness of intergenerational allocation, rationalizing the assumption of expected returns on the National Pension Fund and correcting the evaluation on the fiscal soundness of National Pension Fund.

Evaluating User Experience Using Physiological Data from Conversational Interfaces for Interactive TV

Seungyeon Lee(이승연),Chan Hyeok Yun(윤찬혁),Gee Won Shin(신지원),Soo Yeon Kim(김수연),Myung Hwan Yun(윤명환) 대한인간공학회 2020 대한인간공학회 학술대회논문집 Vol.2020 No.6

Objective: This study aims to investigate TV viewers’ user experience (UX) of a conversational agent (CA) that assisted interactions while watching TV. Background: TV is evolving into an interactive product as technology advances, but the TV interface has not changed much. This can limit the UX of interactive TV viewers. Therefore, it is necessary to identify how the use of voice-interactive interface affects the TV users in order to have a better interactive TV experience. Method: To comparatively analyze the UX with the CA interface and the traditional remote control unit (RCU) interface, physiological measurements (skin conductance; SC) for objective data as well as self-report questionnaires were evaluated. Results: Physiological measurement results showed that SC differed between CA and RCU interactions. Most SC data were high at the beginning of the CA interaction but decreased over time. In RCU sessions, SC maintained a constant value or increased. Consequently, CA had a greater effect on the overall attractiveness while having more emotional appeal. Conclusion: Subjective results showed that CA provided a more positive TV experience regarding emotional aspects. Application: Physiological measurement can provide a more detailed and rich interpretation of the emotional changes and cognitive efforts during human-TV interaction, leading to better understanding of the UX meditated by interactive agent.

Effect of water temperature, fish age and MS-222 concentration on the anesthetization of river pufferfish, Takifugu obscurus

Seungyeon Lee,Phuong Thi Nguyen,Dong-Won Han,Ho-Kyung Song,Jin-Hyoung Kim 한국수산과학회 양식분과 2022 한국수산과학회 양식분과 학술대회 Vol.2022 No.5

Comparative Fruit Physiological Performance and Major Metabolic Responses of Jujubes in Four Orchards at Harvest

Seungyeon Han,Hnin Phyu Lwin,Hyo-Won Park,Narae Han,Chul Woo Kim,Uk Lee,Jinwook Lee 한국원예학회 2019 한국원예학회 학술발표요지 Vol.2019 No.5

RocksDB 컴팩션시 파일 간 키 범위 중첩 분석

신승연(Seungyeon Shin),안미진(Mijin Ahn),이상원(Sang-won Lee) 한국정보과학회 2017 한국정보과학회 학술발표논문집 Vol.2017 No.12