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장봉규 한국무역통상학회 2015 무역통상학회지 Vol.15 No.2
The exchange rate pass-through is non-linear and asymmetric unlike the standard models. The asymmetric effects of exchange rate changes can be explained using the quantity constraint model and the market share model. To explain the non-linear effects the menu cost and switching cost in consumption were assumed. This study tests the asymmetry and non-linearity assumptions in the effects of exchange rate changes on the export prices of manufacturing goods. We estimated the export price as functions of the exchange rate with interactive dummy variables reflecting the various situations. The results suggest that especially asymmetries in exchange rate pass-through cannot be ignored. In the pre-crisis the price effect of won appreciation was greater than that of won depreciation as the quantity constraint model says, but after the crisis the result was reversed suggesting the market share model is appropriate.
Optimal portfolio selection with transaction costs when an illiquid asset pays cash dividends
장봉규 대한수학회 2007 대한수학회지 Vol.44 No.1
We investigate an optimal portfolio selection problem withtransaction costs when an iliquid aset pays cash dividend s and there areconstraints on the iliquid aset holding. We provide close d form solutionsfor the problem, and by using these solutions we ilustrate i nterestingfeatures of optimal policies.