An Evaluation of the US Monetary Policy Since Mid-80s

김장렬,임기영 한국외국어대학교 국제지역연구센터 2008 International Area Studies Review Vol.11 No.2

We investigate the role of housing price in the conduct of monetary policy for the US economy. Since 1986, we construct an empirical model, simulate the estimated model with a set of alternative monetary policy rules, and compare the stabilization performances of the rules. Our findings are : i) there is plenty of room for further stabilization of inflation and output, if the Fed shifts from the historical monetary policy rule to the optimal counterpart; ii) the optimal rule improves upon the historical one not because the former takes into account additional policy indicators such as movements in housing prices, but because it takes a quite different reaction scheme reacts toward the historical policy indicators, and iii) as long as the Fed maintains appropriate reactions to the historical policy indicators, housing price inflation does not contain much extra information for further stabilization.

Developing a Regime-Switching Present Value Model: Switching Fundamentals and Bubbles

김장렬,조성진 한국국제경제학회 2022 International Economic Journal Vol.36 No.4

We develop a present-value model where the fundamental and non-fundamental components switch between distinct regimes. The non-fundamental component is specified as a periodically collapsing bubble of Balke and Wohar [Balke, N. S., & Wohar, M. E. (2009). Market fundamentals versus rational bubbles in stock prices: A Bayesian perspective. Journal of Applied Econometrics, 24(1), 35–75. https://doi.org/10.1002/jae.1025]. The fundamental component is constructed as in van Binsbergen and Koijen [van Binsbergen, J. H., & Koijen, R. S. J. (2010). Predictive regressions: A present-value approach. The Journal of Finance, 65(4), 1439–1471. https://doi.org/10.1111/j.1540-6261.2010.01575.x], by treating the expectations of market fundamentals as latent variables. Unlike existing methods, e.g. [Zhu, X. (2015). Tug-of-war: Time-varying predictability of stock returns and dividend growth. Review of Finance, 19(6), 2317–2358. https://doi.org/10.1093/rof/rfu047; Choi, K. H., Kim, C., & Park, C. (2017). Regime shifts in price-dividend ratios and expected stock returns: A present-value approach. Journal of Money, Credit and Banking, 49(2–3), 417–441. https://doi.org/10.1111/jmcb. 12384; Chan, J. C., & Santi, C. (2021). Speculative bubbles in presentvalue models: A Bayesian Markov-switching state space approach. Journal of Economic Dynamics and Control, 127, 1–26], ours requires no unnecessary approximations, accommodates flexible forms of regime-switching, and the resulting present-value formula is internally consistent.

Housing and the US Business Cycle: Price or Quantity?

김장렬 한국외국어대학교 영미연구소 2012 영미연구 Vol.27 No.-

This paper analyzes the relationship between housing and the business cycle in the US. We start with constructing and estimating a baseline Markov-switching common factor model, and the importance of housing variables is then evaluated by comparing the results for the baseline model with those for the extended models augmented with the housing market variables. Two strands of extended models are considered: one in which housing variables directly affect the individual macroeconomic series and thereby the business cycle, and the other in which they affect the probabilities of transitions between expansion/recession phases. Results for the first extension support the importance of the housing quantity variables as argued by Leamer (2007): the growth in housing permits and housing new housing starts exert significant effects on the macroeconomic indicators and consequently the business cycle, but house price growth does not. For the second extension, however, we find that house price growth contains useful information beyond what is in the housing quantity variables. More specifically, while higher quantity growth affects which phase will prevail in the next period only when the economy is currently in the expansion, higher house price growth is informative whether the economy is currently in recession or expansion.

Characteristics of $CaSO_4$:Dy TL Dosimeters by Determining LLDs, Fadings and Sensitivity Changes in Repeat Uses

김장렬,김봉환,장시영,이형섭,이재기,Kim, Jang-Lyul,Kim, Bong-Hwan,Chang, Si-Young,Lee, Hyung-Sub,Lee, Jae-Ki Korean Association for Radiation Protection 1997 방사선방어학회지 Vol.22 No.3

현재 한국원자력연구소에서 개인방사선피폭관리용으로 사용되고 있는 C-300-A $CaSO_4$:Dy 열형광선량재의 최소검출한계(LLD)를 계산 및 실험에 의하여 구하였으며, 이때 오차의 확율이 자연방사선의 측정변화에 기인되는 선량준위로 정의되는 임계준위도 함께 구하였다. 개인방사선피폭서비스를 수행하는 기관에서는 이를 이용하여 개인선량계 패용 기간동안의 자연방사선 판독결과와 기지의 선량을 조사시킨 선량제의 판독결과로부터 쉽게 LLD를 구할수 있다. 또한 3개월간에 걸쳐 온도 및 습도의 변화에 따른 개인선량제의 잠상퇴행률을 실험적으로 구하였다. 마지막으로 40회 연속사용시 개인선량계의 반복사용에 의한 감도변화를 측정하였다. 본 실험결과 얻어진 잠상퇴행률과 연속사용시의 감도변화를 실제 개인방사선피폭 평가시 적용방법에 대하여 간략하게 논의하였다. Theoretical and experimental determination of the lower limits of detection (LLD) of C-300-A $CaSO_4$:Dy TL dosimeters which are currently used for the personnel monitoring in Korea Atomic Energy Research Institute(KAERI) are described with a critical level which is defined as the signal level above which a result has a probability of being due to a fluctuation of the background. The personnel monitoring processors can derived easily the LLD of their system using this method with the background readings of their service interval and the irradiation readings of the known doses. Experimental studies were also conducted for the fading rates of the dosimeters with the temperatures and humidities for 3 months. Finally sensitivity changes in repeat uses were measured for 40 times consecutive uses of the dosimeters. The applications of the experimental results of fading rates and sensitivity changes in real personnel monitoring services are discussed briefly.

광대역 전력 구동단 증폭기의 설계 및 제작 ( A Design and Fabrication of Wide-band Driving Power Amplifier )

김장렬,김경준,유형석,류근관,조광윤,홍의석 한국통신학회 1997 한국통신학회 학술대회논문집 Vol.16 No.3

How an Issue in Cyberspace Shifts to the Real World: Three Stage Cyber-Issue Diffusion (CID) Model

김장렬,신호창 사이버커뮤니케이션학회 2008 사이버 커뮤니케이션 학보 Vol.25 No.2

This study identifies the characteristics of communication in cyberspace, in particular, how an issue is formed, diffused and amplified to the extent that it arouses collective action in the off-line world. The degree of influence was tested by six media types and by three issue stages (n=298). Qualifications of how an issue shifted from a cyber issue to off-line action was suggested and tested. A Three-Stage Cyber-Issue Diffusion (CID) Model was proposed that identifies an issue cycle in cyberspace as a forming stage, a diffusion stage and an action stage.

The Asymmetric Relationship between Output Volatility and Growth: Evidence from the U.K. Industrial Production

김장렬 국제지역학회 2010 국제지역연구 Vol.14 No.3

Prior research on the relationship between output volatility and growth has produced mixed results, failing to provide clear empirical evidence on the sign of the relationship. In this paper, we raise the possibility that such failure is due to misspecification in empirical models previously used, i.e., not taking into account the business cycle dependence of the volatility-growth relation. We set off with the conjecture that higher volatility exerts qualitatively different effect on growth depending on whether the economy is in expansion or contraction. We estimate a series of ARCH-type models with the monthly industrial production data of the U.K., and find strong evidence suggesting that the volatility-growth relation is positive when the economy is in expansion, while higher volatility lowers growth rate in the contraction phase. We also find evidence supporting that the volatility-growth relation estimated in the paper captures a a causal relation, not a bidirectional correlation.

Solving Dynamic Rational Expectation Models: an Accuracy Comparison

김장렬,Gieyoung Lim 한국응용경제학회 2006 응용경제 Vol.8 No.1

This paper compares the first and second order approximate solution methods for dynamic general equilibrium models. Applying two solution methods of different approximation orders to a medium scale DSGE model, we show that the second order approximate solution is more accurate than the first order one in the spirit of den Haan and Marcet (1994). Also, the inaccuracy of the first order approximate solution method turns out to be large enough to yield incorrect welfare ranking of alternative monetary policy rules. 이 논문은 동태일반균형모형에 대한 일차 및 이차 근사해법을 비교분석한다. 우리는 이차 근사해가 일차 근사해보다 정확함을 보인다. 또한 일차근사해법의 부정확성에 의해 각 통화정책 규칙하 후생의 순위가 바뀔 수도 있음을 보인다.

Permanent and Transitory Components of European Business Cycle

김장렬 한국외국어대학교 영미연구소 2011 영미연구 Vol.24 No.-

In this paper, we have estimated a model that incorporates two key features of business cycles, co‐movement among economic variables and switching between regimes of expansion and recession, to aggregate quarterly data for the former Europe countries in the OECD. Two common factors, interpreted as reflecting the permanent and transitory components of the business cycle in the region, and estimates of turning points from one regime to the other were extracted from the data by using the Kalman filter and maximum likelihood estimation approach of Kim (1994). Estimation results confirm a fairly typical stylized fact of business cycles ‐ recessions are steeper and shorter than recoveries, and both co‐movement and regime switching are found to be important features of the business cycle in the region. The two common factors produce sensible representations of the trend and cycle, and the estimated turning points agree quite well with independently determined chronologies.

Legacy of the Two Crises: the Case of Malaysia

김장렬 한국외국어대학교 국제지역연구센터 2011 International Area Studies Review Vol.14 No.4

This paper examines the long-run effects of the two crises, that is, the Asian currency crisis and the subprime financial crisis, on the Malaysian GDP. Using a Markov-switching unobserved components model, we decompose the Malaysian GDP into the permanent and transitory components which are subject to possible shifts around the two crises periods. According to the estimation results with the quarterly GDP over 1986:Q1 to 2011:Q1, the output loss caused by the two crises was moderate in the sense that the trend output did not decrease even in the midst of the two crisis-driven recessions, despite the sharp declines in actual GDP. Also, comparison of the actual and trend growth rates across the pre-, inter-, and post-crises periods strongly suggests that the growth potential of the Malaysian economy has declined after the two crises.