- 요약
- Ⅰ. 서론
- Ⅱ. 선행연구
- Ⅲ. 모형의 설정
- Ⅳ. 실증분석 결과

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https://www.riss.kr/link?id=A60146149
2007
Korean
GARCH-M ; 은행업 ; 시장리스크 ; 금리리스크 ; 환율리스크 ; banking ; market risk. interest rate risk ; foreign exchange risk
324
KCI등재
학술저널
2187-2205(19쪽)
9
0
상세조회0
다운로드목차 (Table of Contents)
참고문헌 (Reference)
1 김명직, "금융시계열분석" 경문사 2002
2 정상국, "금리수준의 변화와 금리변동성이 산업별 주가수익분포에 미치는 효과" 한국금융학회 8 (8): 95-134, 2003
3 박래운, "금리변동이 금융기관의 금리리스크에 미치는 영향분석" 62 : 2005
4 Brooks, R. D., "U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach" 14 : 17-43, 2000
5 Tai, C. S., "Time-varying Market, Interest Rate, and Exchange Rate Risk Premia in the US Commercial Bank Stock Returns" 10 : 397-420, 2000
6 Choi, J. J., "The Sensitivity of Bank Stock Returns to Market, Interest and Exchange Rate Risks" 16 : 983-1004, 1992
7 Flannery, M. J., "The Impact of Market Interest Rates on Intermediary Stock Prices" 520-538, 1982
8 Chamberlain, S., "The Exchange Rate Exposure of U.S. and Japanese Banking Institutions" 21 : 871-892, 1997
9 Aharony, J., "The Effects of DIDMCA on Bank Stock-holders’ Return and Risk" 12 : 317-331, 1988
10 Flannery, M. J., "The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions" 39 (39): 1141-1153, 1984
1 김명직, "금융시계열분석" 경문사 2002
2 정상국, "금리수준의 변화와 금리변동성이 산업별 주가수익분포에 미치는 효과" 한국금융학회 8 (8): 95-134, 2003
3 박래운, "금리변동이 금융기관의 금리리스크에 미치는 영향분석" 62 : 2005
4 Brooks, R. D., "U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach" 14 : 17-43, 2000
5 Tai, C. S., "Time-varying Market, Interest Rate, and Exchange Rate Risk Premia in the US Commercial Bank Stock Returns" 10 : 397-420, 2000
6 Choi, J. J., "The Sensitivity of Bank Stock Returns to Market, Interest and Exchange Rate Risks" 16 : 983-1004, 1992
7 Flannery, M. J., "The Impact of Market Interest Rates on Intermediary Stock Prices" 520-538, 1982
8 Chamberlain, S., "The Exchange Rate Exposure of U.S. and Japanese Banking Institutions" 21 : 871-892, 1997
9 Aharony, J., "The Effects of DIDMCA on Bank Stock-holders’ Return and Risk" 12 : 317-331, 1988
10 Flannery, M. J., "The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions" 39 (39): 1141-1153, 1984
11 Elyasiani, E., "Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rates: A GARCH-M Model" 22 : 535-563, 1998
12 Kwan, S. H., "Re-examination of Interest Rate Sensitivity of Commercial Bank Stock Returns Using a Random Coefficient Model" 5 : 61-76, 1991
13 Ryan, Suzanne K., "Market, interest rate and foreign exchange rate risk in Autrailian banking: A GARCH-M approach" 2 : 2004
14 Flannery, M. J., "Market Evidence on the Effective Maturity of Bank Assets and Liabilities" 16 (16): 435-445, 1984
15 Choi, J. J., "Is Foreign Exchange Risk Priced in the Japanese Stock Market" 33 : 361-382, 1998
16 Akella, S. R., "Interest Rate Sensitivity of Bank Stock Returns: Specification Effects and Structural Changes" 13 : 147-154, 1990
17 Bae, S. C., "Interest Rate Changes and Common Stock Returns of Financial Institutions: Revisited" 13 (13): 71-79, 1990
18 Bollerev, T., "Generalized autoregressive conditional heteroskedasticity" 31 : 307-327, 1986
19 Brooks, R. D., "Financial Market Deregulation and Bank Risk: Testing for Beta Instability" 34 : 180-199, 1995
20 Brooks, R. D., "Financial Deregulation and Relative Risk of Australian Industry" 36 : 308-320, 1997
21 McKenzie, M. D., "Exploring the Economic Rationale of Extremes in GARCH Generated Betas: The Case of U.S. Banks" 40 : 85-106, 2000
22 Booth, J. R., "Expectations, Interest Rates, and Commercial Bank Stocks" 8 (8): 51-58, 1985
23 Engle, R. F., "Estimating time varying risk premia in the term structure : the ARCH-M model" 55 : 391-407, 1987
24 Bundt, T. P., "DIDMCA and Bank Market Risk: Theory and Evidence" 16 : 1992
25 Wetmore, J. L., "Commercial Bank Risk: Market, Interest Rate, and Foreign Exchange" 17 (17): 585-596, 1994
26 Kane, E.J., "Change in Market Assessments of Deposit-Institution Riskiness" 1 : 207-229, 1988
27 Elyasiani, E., "Bank Stock Return Sensitivities to the Long-term and Short-term Interest Rate: A Multivariate GARCH Approach" 30 : 32-53, 2004
28 Madura, J., "Bank Exposure to Interest Rate Risk: A Global Perspective" 18 : 1-13, 1995
29 Engle, R. F., "Autoregressive conditional heteroscedasticity with estimates of variance of United Kingdom inflation" 50 : 987-1007, 1982
30 Brewer, E., "An Intracyclical Analysis of the Risk Sensitivity of Bank Stock Returns" 29 : 125-144, 1990
31 Lynge, M. J., "An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach" 15 (15): 731-742, 1980
32 Bollerev, T., "ARCH modeling in finance : A review of the theory and empirical evidence" 52 : 5-59, 1992
33 Song, F. M., "A Two-Factor ARCH Model for Deposit-Institution Stock Returns" 26 (26): 323-340, 1994
34 Lloyd, W. P., "A Test of Stone’'s Two-Index Model of Returns" 12 : 363-376, 1977
35 Chance, D. M., "A Re-Examination of Interest Rate Sensitivity in the Common Stocks of Financial Institutions" 3 (3): 49-56, 1980
크로스 미디어 렙에 대한 광고주와 광고대행사의 인식에 대한 비교 연구
학술지 이력
| 연월일 | 이력구분 | 이력상세 | 등재구분 |
|---|---|---|---|
| 2026 | 평가 | 재인증평가 신청대상 (재인증) | |
| 2020-01-01 | 등재 | 등재학술지 유지 (재인증) | ![]() |
| 2017-01-01 | 등재 | 등재학술지 유지 (계속평가) | ![]() |
| 2014-01-14 | 학술지명변경 | 외국어명 : Korea Journal of Business Administration -> Korean Journal of Business Administration | ![]() |
| 2014-01-09 | 학술지명변경 | 외국어명 : 미등록 -> Korea Journal of Business Administration | ![]() |
| 2013-01-01 | 등재 | 등재 1차 FAIL (등재유지) | ![]() |
| 2010-01-01 | 등재 | 등재학술지 유지 (등재유지) | ![]() |
| 2008-01-01 | 등재 | 등재학술지 유지 (등재유지) | ![]() |
| 2005-05-30 | 학회명변경 | 영문명 : Daehan Association Of Business Administration Korea (Daba) -> DAEHAN Association of Business Administration, Korea (DABA) | ![]() |
| 2005-01-01 | 등재 | 등재학술지 선정 (등재후보2차) | ![]() |
| 2004-01-01 | 등재 | 등재후보 1차 PASS (등재후보1차) | ![]() |
| 2002-01-01 | 등재 | 등재후보학술지 선정 (신규평가) | ![]() |
학술지 인용정보
| 기준연도 | WOS-KCI 통합IF(2년) | KCIF(2년) | KCIF(3년) |
|---|---|---|---|
| 2016 | 1.26 | 1.26 | 1.44 |
| KCIF(4년) | KCIF(5년) | 중심성지수(3년) | 즉시성지수 |
| 1.53 | 1.53 | 2.107 | 0.23 |