초과포지션과 스프레드

김희호(Hee Ho Kim),김석진(Seok Chin Kim) 한국경영학회 2006 經營學硏究 Vol.35 No.1

Spread is defined as a difference between ask and bid rates for a specific currency in the foreign exchange (FX) market. The spread reflects the transaction costs as well as the exchange risk. Its change is interpreted as signal of the information changes on the efficient market. Even though its growing importance in the market, many studies have not focused on the spread either because the spread is believed to be a kind of transaction cost or because it practically determined in the market.Inventory holding cost of spread was studied by many researchers such as Demsetz(1968),Ho?Stoll(1981), Stoll(1978), and Bollen?Smith?Whaley(2004). As exchange volatilities increase, the spread tends to increase and the expected loss gets greater by exchange risk against holding a foreign exchange inventory. According to Demsetz(1968), the inventory holding cost is a compensation for guaranteeing immediacy of transaction to the customers. A dealer would take the position asked by a seller if that position was not completely traded. The dealer takes exchange risk with that position in return for spread. The immediacy depends on the time interval taken in a transaction during which a position is completely offset.The shorter time interval will not cause much exchange risk and, thus, the less inventory holding cost. Th spread is stochastic, as such is the time interval of transaction. The previous studies are based on two important assumptions; a risk neutral dealer and non-trivial time interval. The development in internet and information technology, however, eliminates the time interval of transaction and result in the immediacy of transaction in the FX market. Spread does not reflect the inventory holding cost anymore and is not a compensation for the immediacy of transaction. Taking this recent market development into account, this paper proposes two different assumptions from the previous ones; no time interval of transaction and a risk averse dealer.Under these two assumptions, spread does not count on the uncertainty of time interval, but on the uncertainty of excessive position brought about by immediate transaction. An important emphasis shifts over from time dimension to volume dimension in determining spread. A main channel through which the undesired inventory affects spread depends on the risk aversion degree of dealer and variance of the undesired inventory in the FX market. The undesired position tends to deviate a dealer’s portfolio balance from his optimal balance and thus decreases his expected utility, otherwise maximized. Spread would compensate for a dealer’sexpected loss of utility caused by the undesired position.This study develops a theoretical model to examine the effect of undesired excessive position on the spread. We provide the simulation results by exploring how differently the probability of undesired excessive position influence the spread in the market. We test spread as dependant of undesired excessive position and its volatilities.Using GARCH(1,1) method and the daily data of the Korean Won/U.S. Dollar exchange rate from a market leading dealer during January 2-June 29, 2004, evidence provides a strong support for our theory. It is shown that the undesired excessive position and its volatilities have an significant impact on the spread in the Korea FX market. Actually realized volume of transaction does not seem to affect the spread, though. Taking data of futures trading as a proxy for undesired excessive position, the evidence was not statistically significant in explaining spread changes.This empirical result seems to be in sharp contrast to those of the previous studies. The relationship between trading volume and spread seems to vary across the markets. We skip over the effect of dealer’s pricing strategy on spread because it goes beyond the scope of our study. A study on the effect of dealer’s pricing strategy is remained for a future research.

잔여수요를 이용한 환율의 수출가격 전가효과

김희호 ( Hee Ho Kim ) 한국경제학회 2002 經濟學硏究 Vol.50 No.3

This study examines the exchange rate effect on the export price, using a residual demand. The price elasticity of residual demand, reflecting the market power, depends on the convexity of demand which turns out to respond to changes in the exchange rate and production cost of foreign companies competing in the export markets. This study focuses on the pricing-to-market effects of the exchanges rate in the incomplete market with a varying mark-up rate according to changes in the relative exchanges rates of the competing foreign companies in the export markets. Using the monthly data over January 1990-March 2001, this paper provides an evidence for the hypothesis that the pricing-to-market effects of the exchange rate depend on the exchange rates of the competing foreign companies in the export markets of polyester texture, TV monitor, steel and electricity memory industries.

최적 간접헤징과 가격필요조건

김희호 ( Hee Ho Kim ),김미화 ( Mi Hwa Kim ) 한국파생상품학회 2006 선물연구 Vol.14 No.1

상대적 환 위험의 경쟁효과와 기업가치

김희호(Hee Ho Kim) 한국경영학회 2003 經營學硏究 Vol.32 No.2

This paper develops the residual demand model to incorporate the competitive effect of the relative exchange risk exposure on the exporting firm`s value. The relative exchange rate of the competing foreign company is shown to be important in determining a mark-up rate representing a degree of competitiveness in the export market, while the exchange rate between the home and destination`s currencies is cancelled out in the process of maximizing the oversea`s sale profit. Breaking down the exchange risk exposure into two different effects, the competitive and the contractual effects, we can present the competitive effect of exchange risk as a function of the relative exchange rate on firm`s value. The evidence that the exchange risk exposure coefficient in firm`s value is statistically insignificant must be explained by the mis-specification of the capital asset pricing model in lieu of explanation that there is no association between the exchange risk exposure and firm`s value as in the previous studies. The conversion and contractual effects of the current and past exchange rates of the home currency on the firm`s value seems to depend on the hedging ratio elasticities of the exporters, though.

서울 경매 주택가격의 결정 요인 분석

김희호(Hee-Ho Kim),박세운(Sae-Woon Park) 한국산업경제학회 2013 한국산업경제학회 정기학술발표대회 논문집 Vol.- No.춘계

경매참가자의 태도와 경매기간의 결정

김희호 ( Hee Ho Kim ),이재민 ( Jai Min Lee ) 한국국제경제학회 2015 국제경제연구 Vol.21 No.2

본 연구는 노동시장의 직업탐색(job search) 모형을 경매시장에 적용하여 경매(낙찰)기간의 결정모형을 이론적으로 개발하였으며, 이를 통해 경매참가자의 태도가 경매기간에 미치는 효과를 실증적으로 분석하였다. 본 연구의 차별성은 경매기간이 경매낙찰가격과 같이 경제시스템 내부에서 주택의 헤도닉 특성과 경매참가자의 태도 등에 의해 결정된다는 것을 이론적, 실증적으로 보여주고 있다. 본 연구는 경매참가자의 태도와 경매낙찰기간의 관계를 분석하고 있어서 우리나라 경매시스템의 효율성과 주택정책에 많은 시사점을 제시할 수 있다는데 그 의미가크다. 2006년 1월부터 2012년 12월까지 서울지역 주택경매의 월별자료, FIML 추정기법과 분위수회귀분석(quantile regression)을 사용한 실증분석 결과는 본 연구의 가설을 지지하고 있다. Adapting the model of job search in labor market, we develop a determination model of auction duration to examine the effect of attitudes of auction attendants on auction time in a auction search model. Unlikely the recent empirical studies focusing on explaining auction prices, we use auction data in three different district courts (Kangnam, Songpa, and Nowon) of Seoul during 2006 and 2012 to support our hypothesis dealing with the importance of the attitudes of attendants in determining auction time. This provides important policy guides toward the systematic efficiency of auction market in terms of dealing with the attitudes of attendants.

연구논문 : 베이시스 변동위험과 리스크 프리미엄

김희호 ( Hee Ho Kim ) 한국금융학회 2005 金融學會誌 Vol.10 No.1

소득변동이 주택가격에 미치는 동태적 효과 -전세가비율과 담보대출규모를 고려할 때

김희호 ( Hee Ho Kim ),박세운 ( Sae Woon Park ),장홍시아 ( Hong Xia Zhang ) 한국부동산분석학회 2015 不動産學硏究 Vol.21 No.4

This paper aims to explore a theoretical model explaining the relationship between income and house prices in the Chonsei system of Korea. In theory, the existence of Chonsei housing demand reduces the effects of income on housing prices less elastically than such effects without Chonsei. The Full Information Maximum Likelihood (FIML) method was applied to monthly data of housing sales and Chonsei transactions in seven metropolitan cities of Korea from January 2008 through December 2014 in order to test the hypothesis that income effects on housing price depend on the Chonsei-to-house price ratio. Given theoretical results about the de-leveraging effects of income changes with the Chonsei ratio, the evidence generally supports our hypothesis of the income de-leveraging effect on the Korean housing market with a Chonsei system. This means that a higher Chonsei ratio would mitigate the income effect on housing prices during periods of economic recession. The empirical results indicate that the housing prices of cities such as Seoul and Incheon with lower Chonsei ratios would respond more sensitively to income changes than other cities do. Meanwhile, Seoul with its lower LTV ratio tends to have higher income elasticities in housing prices than other areas. These results provide many policy implications from the literature. If the goal of macroeconomic policies is to stabilize the housing price level, the government needs to deal with housing prices as well as the Chonsei ratio and LTV as part of a microeconomic policy approach.

1865~1910년 국제 금본위제도와 근대조선의 화폐량 추정

김희호(Kim, Hee-Ho),이정수(Lee, Jung-Soo) 부산경남사학회 2018 역사와 경계 Vol.108 No.-

개항 이후 근대조선에서 일본과 외국의 화폐가 범람하였고, 당오전, 평양전과 백동화는 남발되고 화폐의 사주와 밀주, 위조가 성행하였다. 하지만 화폐의 발행과 유통에 대한 관리체계의 부재로 인해 실제 화폐가 얼마나 유통되었는지에 대한 정확한 자료를 구할 수 없다. 본 연구는 개항 전후부터 국제 금본위제도가 도입되는 시기인 1865~1910년에 국제 地金(銀) 이동과 일본 화폐량을 바탕으로 근대조선의 화폐량을 체계적으로 추정하였다. 이를 위해서 본 연구는 먼저, 근대조선에서 발행된 상평통보, 당백전, 당오전, 평양전, 백동화 등 한전 주전량을 추정하고, 둘째, 국제 금, 은, 동의 시세 변동에 따라 근대조선의 지금 이동량, 엽전 수출량과 일본화폐 유입량을 체계적으로 추정하였다. 셋째, 한전과 일본 화폐량, 지금 이동을 모두 합하여 근대조선의 총 화폐량을 추정하였다. 본 연구의 의미는 19세기 말 국제 금본위제도의 시각에서 근대조선의 화폐량을 체계적으로 정리해보고, 이를 통해 화폐자료의 부족으로 연구가 제한적이었던 근대조선의 화폐와 물가사, 무역사 등 관련 연구의 진전에 일조를 하고자 한다. Since 1876, the opening period of the trade port, foreign currencies inclusive of Japanese and Chinese currencies were flooded into the modern Joseon Dynasty in 1865-1910. Too much Korean cash moneys of Dangojeon, Pyongyangjeon, and Baekdonghwa were minted to circulate without any official controls by Korean government. Due to the lack of a systematic monetary system for minting coin money, accurate data on the actual circulated volume of coin money has not been available until now. This study tries to estimate the money volume of the modern Joseon Dynasty based on the international movement of gold (or silver and copper), when the international gold standard system was prevailed as reserve money in the world trade system. For this purpose, this study firstly estimated the total amount of coin money minted by the modern Joseon Dynasty, and secondly, changes in money volume caused by movements of gold (or silver) and foreign currencies was systematically estimated. Third, we estimated total volume of money in modern Joseon dynasty by summing coin money, foreign currency, and gold"s currency conversion together. This study is very meaningful to provide the meta-data of money volume in the modern Joseon dynasty period, on which few studies have focused due to lack of monetary data.

역사철학 : 조선후기 토지소유계층과 지가의 변동

김희호 ( Hee Ho Kim ) 경북대학교 영남문화연구원 2011 嶺南學 Vol.0 No.20

이 연구는 1590년~1900년 동안 경상도와 전라도 지역에서 거주하였던 여덟 양반가의 田畓賣買明文자료를 수집하여, 이를 장기 시계열 자료로 정리하였다. 또한 이 자료를 사용하여 조선후기 두 지역에서 신분별 토지소유규모의 변화를 살펴보고, 양반층의 토지소유변화가 지가변동을 초래했는지를 분석하였다. 지역별로 차이는 있지만 조선후기 양반층의 토지소유규모는 대체로 증가하였으며, 이러한 양반층의 토지증가는 지가상승을 동반하는 것으로 나타났다. 이 연구는 조선후기 신분별 토지소유규모가 시기에 따라 변화하며, 양반층은 토지의 소유집중이 상민과 노비층은 토지의 하향분해가 일어났다는 것을 실증적으로 보여주고 있다. This study empirically analyzes the relationship between land ownership and its prices during 1590~1900 Choseon Korea. In order to do so, the old trading documents for lands in the Kyungsang (southeastern of Korea) and Cheonla (southwestern) areas were gathered to build the long run series of land prices, land ownership, and numbers of transaction. The results indicate that land increased by 47% for the Elites (the Yangban), compared to the previously owned lands during 1590~1900. Land acquired by the Elites was sold out by the Sangmin (the commerers) and the Nobi (the slaves). This land accumulation by the Yangban turned out to increase the land prices for a sample period.