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- 저자 : 이한식(Hahn Shik Lee) (검색결과 37 건)
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X-13A-S 프로그램을 이용한 계절조정방법 분석 - X-12 필터와 SEATS 방법의 비교 -
이한식,Lee, Hahn-Shik 한국통계학회 2010 응용통계연구 Vol.23 No.6
This paper compares the two most widely used seasonal adjustment methods: the X-12-ARIMA and TRAMO-SEATS procedures. The basic features of these methods are discussed and compared in both their theoretical and empirical aspects. In doing so, the X-13A-S program is used to reevaluate their applicability to Korean macroeconomic data by considering possible structural breaks in the series. The finding is that both methods provide very reliable and stable estimates of seasonal factors and seasonally adjusted data. As for the empirical comparisons, TRAMO-SEATS appears to outperform X-12-ARIMA, although the results are somewhat mixed depending on the comparison criteria used and on the series under analysis. In particular, the performance of TRAMO-SEATS turns out to compare more favorably when seasonal adjustment is carried out to each sub-samples (by taking possible structural breaks into account) than when the whole sample period is used. The result suggests that as the model-based TRAMO-SEATS has a considerable theoretical appeal, some features of TRAMO-SEATS should further be incorporated into X-12-ARIMA until a standard and integrated procedure is reached by combining the theoretical coherence of TRAMO-SEATS and the empirical usefulness of X-12-ARIMA.
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이한식 ( Hahn Shik Lee ) 국제지역학회 2010 국제지역연구 Vol.14 No.3
While new evidence on international spillover effects has been widely discussed around the globe, the MENA (Middle East and North African) region has received little attention concerning international transmission of stock market movements. In this paper, we discuss international spillover effects between the major developed markets (US, Japan and Germany) and the emerging markets in the MENA region (Turkey and Egypt). While GARCH?type models have mainly been used to investigate international stock market spillovers in much of previous studies, we develop new testing strategies based on discrete wavelet decomposition. The basic finding is that price as well as volatility spillover effects exist from the developed stock markets to the MENA counterparts, although evidence for price spillover to the Egyptian market is rather weak. As for the interdependence of the major MENA stock markets, no spillover effects are found between these markets, while the two MENA markets are somewhat related with each other.
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기업결합의 효율성증대효과: 주식시장 자료를 이용한 실증분석
이한식 ( Hahn Shik Lee ),전성훈 ( Seong Hoon Jeon ),정진화 ( Jin Hwa Chung ) 한국산업조직학회 2012 산업조직연구 Vol.20 No.2
In this paper, we investigate whether and to what extent efficiency gains can be claimed for mergers. We first assess the competitive effects of a sample of 30 mergers, by using the stock market reactions for competitors. Based on the stock market approach, we then evaluate the Korea FTC (Fair Trade Commission) merger control decisions. The main findings are as follows. Evidence for efficiency gains are found in some of the merger cases. Among the 14 cases of potentially pro-competitive mergers, where efficiency gains could be claimed, the KFTC prohibited one case and imposed remedies on 3 cases, which resulted in type-I errors. Also found is evidence that the KFTC made a type-II error in 6 cases among 9 seemingly anti-competitive mergers, which were cleared or approved with minor conditions. The outcome of the econometric analysis regarding type-I and type-II errors suggest that the FTC`s decisions seem to be in concordance with what a benevolent agency might have made, although evidence is found that the FTC made some systematic errors in type-I cases. No specific evidence is found that the agency`s decisions are affected by other factors such as the industrial effects and geographic market definition.
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신광식 ( Kwang Shik Shin ),이한식 ( Hahn Shik Lee ) 한국산업조직학회 2009 산업조직연구 Vol.17 No.2
In merger cases involving multi-store retailers, empirical analyses of prices at individual stores provide a useful evidence for identifying relevant markets and evaluating competitive effects. This paper performs such an empirical pricing study on the recent merger of WalMart Korea by Emart. The results show that Emart store prices are responsive neither to the number of nearby competing stores nor to the presence of WalMart stores, suggesting that the merger between the two is unlikely to raise a significant competitive concern. Reviewing mergers of multi-store retailers should focus on pricing evidence rather than simply relying on concentration data in the defined market.
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