The Risk-Taking Channel of Monetary Policy in Korea

Moohwan Kim 한국경제연구학회 2014 Korea and the World Economy Vol.15 No.3

This paper evaluates the impact on the bank risk of some control variables and the specific characteristics of five domestic banks in Korea by using data from the fourth quarter of 2005 to the fourth quarter of 2013 in order to test the risk-taking channel of monetary policy. Bank risk is measured by credit default swap (CDS) premium. In particular, this study focuses on the relationship between bank risk and the nominal short-term interest rate that reflects monetary policy. As the period of low interest rates becomes longer, banks are willing to take greater risks. This study confirmed that the risk-taking channel exists. This means that monetary policy has a direct impact on financial stability.

A Study on the Asymmetry of [Financial Contagion] Volatility Spillovers between East Asian Stock Markets

Moohwan Kim 한국무역학회 2023 한국무역학회 학술대회 Vol.2023 No.8

Evaporation of Water in an Aqueous Lithium Bromide Solution flowing over a Horizontal Tube

Dongkwan Kim,Moohwan Kim 대한설비공학회 2001 International Journal of Air-Conditioning and Refr Vol.9 No.3

화재보험 손해액에 대한 극단치이론과 재보험전략

김무환 ( Moohwan Kim ),권순일 ( S. I. Kwon ) 한국리스크관리학회 2016 리스크 管理硏究 Vol.27 No.4

안정적 보험경영을 위해서는 거대손해에 대한 발생빈도와 심도를 추정하고, 위험에 상응하는 보험가격을 적용하는 것은 무엇보다 중요하다. 하지만, 대상기간을 확장하는 경우에도 합리적 가격결정에 필요한 신뢰성 있는 관찰이 어려울 수 있으며, 또한 이는 최근의 경제적 가치가 집중되는 일반적 현상을 반영하는 데는 한계가 있다. 따라서 거대 손해 구간에 대하여 적정 보험가격을 결정하고, 해당 위험의 보유 또는 재보험 출재를 결정하기 위해서는 손해심도 분포를 이용하여야 한다. 이를 위해, 본 논문에서는 화재보험 손해액 자료를 가지고 분포의 꼬리 부분을 모형화하기 위해 극단치이론을 이용한다. 분석 결과에 의하면, 화재보험 손해액 자료는 독립적이고 동질적인 분포를 따르는 것으로 나타났고, 일반화된 파레토 분포가 가장 적합한 것으로 드러났다. 고액구간에 대한 재보험가격 추정결과, 임계치가 높을수록 순보험료가 하락하여, 보험실무와도 부합하는 것으로 나타난다. 본 논문의 결과와 분석기법을 활용하여 안정적이고 효율적인 재보험 전략을 수립할 수 있을 것으로 기대된다. For the stable insurance business, insurance companies should focus on the frequency and severity of catastrophic event and set up the strategy for diversification of risk. However, even though the span of observation is extended, it is hard to obtain reliable observations necessary to compute the reasonable insurance premium. Moreover, it has limitation in reflecting the fact that economic values are recently concentrated. Therefore, an insurance company must use the severity distribution of loss to determine appropriate insurance price, the amount of risk retention and the risk transfer strategy. For this purpose, we adopt the extreme value theory to model the tail risk using fire insurance loss data. According to the result of the analysis, the dataset in question is independently and identically distributed and is fitted well with Generalized Pareto distribution. The result shows that the higher the threshold is, the lower the net premiums get. Using the resulting outcome and analytical tools employed in this paper, insurance companies are expected to employ its risk transferring strategy.

KOSPI지수와 원/달러환율의 상호 의존구조

김무환 ( Moohwan Kim ) 한국경제통상학회 2016 경제연구 Vol.34 No.4

This paper analyzes the dependence structure between the real KOSPI index returns and the real WON/USD exchange rate returns. To do so, we estimate copula function using the monthly data from 2000 January to 2015 December. Asymmetric tail behavior may be explained by interest rates spread between Korea and America, and some macro-economic variables. According to the analysis results, the dependence structure in the tail behavior of two variables of interest seems to be symmetric and not strong. Our results from AIC amd BIC criteria show that in the case of static analysis, student-t copula fits well to the tail dependence and for the dynamic case, SJC copula is appropriate to describe the data. The results suggest the following things: first, the tail dependence between the real stock returns and the real exchange rate returns appears to be independent, second, the dynamic copula approach is more appropriate than the static copula function to explain the dependence structure of the associated two variables.

Closed-form Solution을 이용한 복수 감쇠극을 갖는 대역통과 필터 설계

김무환(Moohwan Kim),이범선(Bomsun Lee) 한국통신학회 2002 한국통신학회 학술대회논문집 Vol.2002 No.7

한국 금시장에서 선물계약의 헤지 효과성

김무환 ( Moohwan Kim ) 한국경제통상학회 2018 경제연구 Vol.36 No.3

The purpose of this study is to calculate the optimal hedge ratio of gold futures for gold investment in Korea and to evaluate the hedging effectiveness. To obtain optimal hedge ratios, we apply various methods including OLS, CCC and DCC GARCH and copula models with daily data on gold spot and futures. In order to evaluate the hedging effectiveness, we try to compare the results for in-sample and out-of-sample forecasting with the variance minimization principle. The data includes gold futures and gold spot prices for the nine-year period from 2006 to 2015 on the daily basis. This analysis helps establish better hedging strategies and a portfolio for diversified investment. The analysis results show that compared to the conditional volatility model (i.e., CCC and DCC GARCH model), the variance reduction of the traditional hedge model (i.e., ECM model) by the least squares method is the highest when the whole sample is applied. On the other hand, according to the analysis results based on the out-of-sample, the variance reduction rate of the DCC GARCH model is higher than the other models. However, the performance of the conditional volatility model does not appear to be significant due to the weak link between the Gold spots and futures markets and the insufficiency of the relative frequency of trading.

EXPERIMENTAL APPROACHES FOR WATER DISCHARGE CHARACTERISTICS IN PEMFC USING NEUTRON IMAGING TECHNIQUE AT CONRAD, HMI

TAEJOO KIM,김종록,CHEULMUU SIM,SUNGHO LEE,YOUNGJIN SON,MOOHWAN KIM 한국원자력학회 2009 Nuclear Engineering and Technology Vol.41 No.1

In this investigation, we prepared a 1 and 3-parallel serpentine single PEMFC, which has an active area of 100 cm2 and a flow channel cross section of 1x1mm. Distribution and transport of water in a non-operating PEMFC were observed by varying flow types and the flow rates (250, 400, and 850 cc/min). This investigation was performed at the neutron imaging facility at the COld Neutron RAdiography facility (CONRAD), HMI, Germany of which the collimation ratio and neutron fluence rate are 250, 1 106 n/s/cm2, respectively. The neutron image was continuously recorded by a scintillator and lens- CCD coupled detector system every 10 seconds. It has been observed that although the distilled water was supplied into the cathode channel only, the neutron image showed a water movement from the cathode to the anode channel. The water at the cathode channel was completely discharged as soon as the pressurized air was supplied. But the water at the anode channel was not easily removed by the pressurized air except for the 3-parallel serpentine type with 850 cc/min of air flow rate. Moreover, the water at the MEA wasn’t removed for any of the cases.

X-ray 현미경을 이용한 GDL(가스확산층)에서 물의 거동 및 분포에 관한 실험적 연구

김종록(Jongrok Kim),김태주(TaeJoo Kim),김무환(MooHwan Kim) 대한기계학회 2008 대한기계학회 춘추학술대회 Vol.2008 No.5

The water management is one of the most critical issues for the PEMFC commercialization. In order to make a proper scheme for water management, the information of behavior of water is very important. So, the X-ray imaging has joined the canon of diagnostic methods for the fuel cell research and is applied worldwide with qualitative and quantitative results. In this study, we did experimental study about behavior of water in GDL using X-ray microscope in Pohang Accelerator Laboratory. For this aim, we prepared a simple experimental model which has two channels on both face of GDL. The behavior of water in the GDL were observed as functions of the thickness of compressed GDL and the pressure of injected water on a channel. X-ray microscope shows the water in GDL had different behavior for each thickness of GDL and each pressure of injected water on steady and unsteady conditions. The water easily permeated to GDL when compressed GDL was thick and pressure of injected water was high.

중성자 영상법을 이용한 PEMFC에서 유동 방향과 차압에 따른 성능 및 물 분포에 관한 실험적 연구

김태주(TaeJoo Kim),김종록(Jongrok Kim),심철무(CheulMuu Sim),김무환(MooHwan Kim) 대한기계학회 2008 대한기계학회 춘추학술대회 Vol.2008 No.5

In this investigation, we prepared a 3-parallel serpentine single PEMFC which has the active area of 25㎠ and the flow channel cross section of 1×1㎜. Distribution and transport of water in an operating PEMFC were observed by varying the flow directions (co-current and counter-current) in each channel and the differential pressures (100, 200, 300 ㎪) applied between the anode and cathode channels. This investigation was performed at the neutron imaging facility at the NIST. It has been observed that the differential pressure affects the performance of PEMFC while the flow direction affects spatial distribution of water when the neutron images were analyzed for several different operating conditions. More specifically, the amount of water production in the fuel cell increased as the partial pressure increases at a given current density and the water production was more uniform for the counter current than the co-current case. It is shown that the neutron imaging technique is a powerful tool to visualize the PEMFC.