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Uncertainty Channel between Inflation and Output Growth in Japan and Korea
Chung,Sang-Kuck,Kim,Seong- Ki 한국무역연구원 2014 무역연구 Vol.10 No.1
Bivariate ARFIMA and ARMA-GARCH-M models are used to explain the relationship between uncertainty and average outcomes for inflation and output growth. To analyze the quantitative importance, the effect of an inflation (output) surprise on inflation (output growth) uncertainty, average inflation and output growth were considered. Empirical results show different effects of uncertainty on inflation and growth. For the Japanese economy empirical results provide strong empirical confinnation of Friedman s hypothesis. Bivariate ARFIMA-GARCH-M model also provides a statistical support for Cukiennan and Meltzer s, Deveraux s, and Black s are all statistically significant, but the coefficients for Deveraux s and Black s are negative. For the Korean economy from ARFIMA-GARCH-M models, the Friedman and Deveraux s hypotheses do hold, but two other hypotheses do not obtain statistical support.
Thresholds Unit Roots Test and Out-of-sample Forecasting of Real Effective Exchange Rates
SANG-KUCK CHUNG,JIN-SAM KIM,HAN-GYOUN KANG 한국무역학회 2009 Journal of Korea trade Vol.13 No.2
In this paper, we apply standard ADF and KPSS tests as well as the new threshold test, which allows non-linearity in the testing procedure, to the real effective exchange rate of 27 industrial countries. The main conclusions are in order. First, we find strong evidence for nonlinearity. Second, the one-sided Wald test provides support for PPP in more countries than standard tests, which is consistent with the findings of previous studies. Further, from individual t-ratio tests we find evidence for a two-regime threshold model in which real effective exchange rates are characterized by unit root behavior within a band of real appreciation or depreciation of about 10% and then outside this band, real effective exchange rates are mean reverting. Third, point forecasts generated by the threshold model are superior to those generated by a simple AR in terms of RMSE criteria.
Regime Dependent Volatility Spillover Effects in Stock Markets Between Kazakhstan and Russia
Sang Kuck CHUNG,Vasila Shukhratovna ABDULLAEVA 한국유통과학회 2021 The Journal of Asian Finance, Economics and Busine Vol.8 No.8
In this study, to capture the skewness and kurtosis detected in both conditional and unconditional return distributions of the stock markets of Kazakhstan and Russia, two versions of normal mixture GARCH models are employed. The data set consists of daily observations of the Kazakhstan and Russia stock prices, and world crude oil price, covering the period from 1 June 2006 through 1 March 2021. From the empirical results, incorporating the long memory effect on the returns not only provides better descriptions of dynamic behaviors of the stock market prices but also plays a significant role in improving a better understanding of the return dynamics. In addition, normal mixture models for time-varying volatility provide a better fit to the conditional densities than the usual GARCH specifications and has an important advantage that the conditional higher moments are time-varying. This implies that the volatility skews implied by normal mixture models are more likely to exhibit the features of risk and the direction of the information flow is regime-dependent. The findings of this study contain useful information for diverse purposes of cross-border stock market players such as asset allocation, portfolio management, risk management, and market regulations.
Chung Kuck Lee(李忠國),Jae Duck Choi(崔在德),Sung Kun Choi(崔盛根) 대한구강악안면외과학회 1977 대한구강악안면외과학회지 Vol.3 No.1
Multiple cysts in the maxilla are not common and the mechanism of their formation is not well understood. The multiple cysts in the maxilla was composed of 5 different cysts and involved the left maxillary sinus. It was enucleated and Caldwell Luc operation was performed on the involved left maxillary sinus. The postoperative course was uneventful.
Chung, Sang-kuck 국제무역학회 2004 국제무역연구 Vol.10 No.1
이 논문은 관세율, 수출보조금, 환율 등이 수입물가에 어느 정도 전가되는 효과를 갖는지를 이론적으로 분석하고 있다. 수입물가에 전가되는 크기를 도출하는 과정에서 수출물가도 동시에 고려하는 보다 일반화된 모형을 제시하고 있다. Bertrand의 복점모형의 이윤극대화 문제로부터 환율의 증가가 동일한 수준의 관세와 수출보조금의 증가보다 수입물가가 더 큰 영향을 받는다. 그러나 관세율과 수출보조금을 비교하는 경우, 수출보조금이 관세율보다 수입물가에 전가되는 효과가 더 크게 나타났다. This study examined the effect of specific tariff rates, export subsidies, and exchange rates on the magnitude of pass-through into import prices. In the process we contribute to a systematic analysis of the importance of the extent of the pass-through on import prices. From Bertrand duopoly profit maximization problem it will definitely be the case that an exchange rate with the same level of importsas the subsidy and an ad valorem tariff has led to a higher domestic price in terms of absolute value. However, for the extent of pass-through for a export subsidy and an ad valorem tariff we show that a export subsidy with the same level of imports as a tariff has led to a higher domestic price in terms of absolute value.
A Bivariate ARFIMA-IGARCH-M Modelling of the Effects of Uncertainty on Inflation and Output Growth
Sang-Kuck Chung 서울대학교 경제연구소 2002 Seoul journal of economics Vol.15 No.1
The main contribution of this paper is to use bivariate ARFIMA-IGARCH-M methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the Korean economy from 1970 to 2002. According to sample types, empirical results show different effects of uncertainty on inflation and growth. Using the producer prices and wholesale prices index, we support all hypotheses considered except Friedman's and reject the Cukierman and Meltzer hypothesis only using consumer prices index.
Chung, Sang-Kuck 인제대학교 인문사회과학연구소 1998 인문사회과학논총 Vol.5 No.1
This paper provides Monte Carlo simulation results of the fractional fully modified OLS and investigates whether forward exchange rates are unbiased forecasts of future spot rates. If the forward rate and the future spot rate are fractionally cointegrated, the serial correlation effect is no longer present, and another endogeneity bias in the limiting OLS distribution prevents achieving an asymptotic mixture of normals as in a non-stationary case. In order to obtain the usual valid inference, this paper is based on the procedure of fractional fully modified OLS. From empirical evidence, in the case of Quadratic kernel the FFM-OLS estimates without using the prewhitening method support the hypothesis that the risk premium is stationary for the UK pound and Swiss frac, and give evidence in support of a non-stationary risk promium for the other currencies. And the FFM-OLS estimates with the prewhitening method support the hypothesis that the risk premium is stationary for the German mark, the UK pound, and Swiss frac, and give evidence in support of a non-stationary risk premium for the Italian lira and Franch frac.