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Present value relations of stock prices from the perspective of Ι(∞) Processes
윤가원 釜山大學校 商科大學 2002 釜山商大論集 Vol.73 No.-
본고에서는 최근 윤가원 (2002) 이 제시한 I(∞) 모형을 이용하여 주가의 현재 가치 모형에서 주가 및 배당의 시계열 성질을 연구하였다. 만약 로그로 표시된 배당이 랜덤워크를 따른다면, 주가 및 배당 시계열은 I(∞) 이어야 한다. 따라서, 주가의 현재 가치 모형에 의하면 로그로 표시된 주가 및 배당은 CI(1,1)을 따르고, 주가 및 배당은 CI(∞,∞)을 따른다. 한편, 간단한 컴퓨터 모의실험에 의하면, 주가 및 배당간에 가성적인 공적분이 발견될 위험이 높다. 또한 비선형 tan^(-1)(g) 필터는 가성적인 공적분의 위험을 완벽하지는 못하지만, 어느 정도 줄일 수 있음을 보였다.
Cointegration with regime shifts : an application us prices and wages
윤가원 釜山大學校 商科大學 1999 釜山商大論集 Vol.70 No.-
In their classic work on cointegration, Engle and granger (1987) found little evidence of cointegration between US prices and wages. However, cointegration tests are known to be less powerful when structural changes are present. In this paper we will examine whether the two series are cointegrated when structural breaks are considered. By applying testing procedures developed by Gregory and Hansen (1996), we find evidence of cointegration between the two series once the possibility of regime shifts is allowed. A particular form of regime shifts and possible break points are also identified. Furthermore, estimated error correction models imply that it is wages that are responsible for the long-run dynamic behavior of prices, not the other way around. The result is consistent with the prediction of the markup-pricing hypothesis. Additional results from models allowing multiple structural changes confirm that forecasting inflation rates will be difficult because the inflation process is very unstable.
Is the yield on three year corporate bond really the representative Korean interest rate?
윤가원 釜山大學校 經營ㆍ經濟硏究所 1997 經營 經濟 硏究 Vol.16 No.1
While the yield on three year corporate bond is widely used as the benchmark Korean interest rate, little supporting empirical results have been provided. In this paper to discuss the repesentative Korean interest rates, the spectral-temporal indices of three Korean bond yields are estimated. We apply a recently developed technique of Lim and Martin (1994), which is based on both spectral and temporal approaches. Empirical results show that the yield on corporate bond with three year to maturity is approximately coincident with the estimated interest rate index and can serve as the representative Korean interest rate. We also find that one year Monetary Stabilization bond yield leads the interest rates index while five year National Housing bond yield lags the index.
선거와 시장경제Ⅱ-2000 국회의원 선거시장을 중심으로-
한경동(Kyungdong Hahn),신혁승(Hyukseung Shin),윤가원(Gawon Yoon) 한국경제연구원 2001 한국경제연구원 연구보고서 Vol.2001 No.-
This study is composed of three papers, which are related with the Political Stock Market to track the dynamics of election campaign, and to predict outcomes. One is a comprehensive and comparative review of the markets held in U.S.A., Canada, Australia, Sweden, Netherlands, Germany and Korea to find out factors to influence the function of the markets. The other one focuses on the 2000 Korean National Assembly Stock Market, secondly implemented in Korea by Assembly Stock Market, secondly implemented in Korea by Korea Economic Research Institute and Joongang Daily Newspaper after the 1998 Korean Presidential Market (KPSM). The predictions of the 2000 Korean National Assembly Stock Market was quite accurate to the outcome of the election. The forecasting errors were only 0.55~5.15% points to the Parties' actual vote shares. The third paper econometrically investigates the power of an unconventional Granger-causality test between opinion polls and political stock market prices implemented in Forsythe et al. (1992), through Monte Carlo simulations.
Yoon, Gawon 釜山 大學校 經營 經濟 硏究所 1999 經營 經濟 硏究 Vol.18 No.1
Incorporating cointegrating relationships helps forecast cointegrated nonstationary variables. Little has been known, however, for the forecasting of the cointegrating relationship themselves, even though they are sometimes an interesting object of research; it is not clear whether better forecasts of cointegrating relationships are possible if cointegration is taken into consideration. In this paper, we forecast the spread between the six month US commercial paper and T-bill rates. While the two interest are nonstationary, their spread is stationary and is known to have some forecasting power for the future movements of economic activities. Four different information sets are considered in predicting the spread: A univariate information set of the present and past values of the spread, one with present and past values of the two interest rates composing a VAR process, the same bivariate system of interest rates with error correction model [ECMs]. and finally an ARX type model with common stochastic trends derived from ECMs as exogenous variables. It turns out that forecasts from VAR processes have the lowest root mean squared errors and dominate those from the ECMs and ARX type models. Therefore, the consideration of cointegrating relationship between the interest rates does not lead to improved forecasts of their spread. However, all the structural models are beaten by a naive forecast of no change, even though the spread is stationary. A shorter subsample period is also considered to test the robustness of the results. A possible explanation of the findings is provided.