Reconciling the Return Predictability Evidence under Structural Breaks

( Cheolbeom Park ) 서울대학교 한국행정연구소 2016 Journal of Policy Studies Vol.31 No.2

This study shows that the poor out-of-sample performance of the real-time adjusted dividend-price ratio reported in Lettau and Nieuwerburgh (2008) is mainly a result of the gap period between the occurrence of a break and its detection, which implies that the poor out-of-sample performance of the adjusted dividend-price ratio is due to the requirement in Bai and Perron`s (1998) proce-dure that breaks must be away from the boundaries of the sample. A substantial improvement in the out-of-sample performance of the adjusted dividend-price ratio during the gap period is shown with the use of Andrews`s (2003) procedure in the real-time adjustment of the dividend-price ratio. The newly suggested procedure for the adjusted dividend-price ratio in this study has better out-of-sample performance than the simple sample mean, although it is not significant.

Demographic Structure and Financial Markets in Korea

Cheolbeom Park,Dong Heon Kim 한국경제연구학회 2012 Korea and the World Economy Vol.13 No.2

This paper examines the relationship between the demographic structure and asset prices in Korea based on the standard life-cycle model. To this end, this paper employs a non-parametric model which has an advantage of no functional form for the relationship a priori. We find that the estimated relation between the real interest rate and population density function is consistent with the implication from lifecycle models, whereas the relation between the normalized stock price and population density function is not. The projection based on the projected population estimates indicates that the real interest rate is going to rise until the 2020 due to the increase trend of old consumers and their dissaving behavior after the retirement.

Asset Prices, Heterogeneous Expectations, and Limited Short Sales

CHEOLBEOM PARK(박철범) 고려대학교 미래성장연구소 2016 미래성장연구 Vol.2 No.1

This paper extends the Harrison-Kreps model by allowing limited short sales and finite wealth. The main results of this paper are: (1) investors always pursue short-term gains (or participate in single-period speculation) when perceiving heterogeneous expectations; (2) important properties of the equilibrium price in the Harrison-Kreps model still hold even when limited short sales and finite wealth are allowed; (3) an increase in short-sale costs raises the risky asset price; and (4) an increase in the dispersion of expectations about future dividends also raises the risky asset price when the risky asset is held by a minority of investors.

Issues with a Chained-Type Price Index : An Analysis with the Producer Price Index

PARK, CHEOLBEOM;RYU, AND DEOCKHYUN 경제연구소 2011 Journal of Economic Development Vol.36 No.3

Regarding the recent switch from the fixed base price index to the chained-type price index in many countries, we examine important issues including the selection of the weight to produce more accurate chained-type price indices and to maintain statistical consistency in the time series of a price index in this study. We determine that the actual weight from year t-3 data better produces a more correct chained-type producer price index at t between two available methods of selecting the weights. This weighting method also provides generally better statistical consistency and stability for the chained-type producer price index. We also compare the MAE and RMSE of the price equations of the fixed base and chain indices. Both the unit root test and comparison of the model performance evaluation reveal no critical difference, thus confirming a stability over the two indices. In particular, the substitutability of the chain index for the fixed base index is highly obtained, regardless of the time horizon. Overall, we can confidently assert that the chain index provides a statistical consistency and stability over a fixed base index.

주택가격 변화가 소비에 영향을 미치는 경로에 대한 고찰 : 한국의 패널 데이터 분석

박철범(논평) ( Cheolbeom Park ) 한국금융연구원 2019 韓國經濟의 分析 Vol.25 No.1

한국의 재정패널 데이터를 이용하여 주택가격 변화가 어떠한 경로를 거쳐 소비의 변화에 영향을 미치는지를 살펴보았다. 평균적으로 주택가격 변화에 대한 소비의 반응은 작게 나타났지만, 가구들에 따라서 반응이 상이하게 나타났다. 주택 소유자가 고령인 가구와 다주택 소유의 가구는 주택가격이 상승할 때 소비를 증가시키지만 무주택 가구 또는 1주택 소유 가구는 소비를 감소시키거나 반응이 유의하지 않았는데, 이러한 결과는 주택자산 효과(Housing wealth effect) 가설과 부합하는 것으로 보인다. 또한, 정부가 총부채상환비율(Debt-to-income ratio)를 강화할 때, 주택가격이 상승하더라도 차입제약이 강화되어 해당 규제를 받는 가구들은 소비를 감소시키는 현상도 발견하였는데, 이러한 결과는 주택가격 변화가 차입제약 경로를 통하여서도 소비에 영향을 미칠 수 있음을 암시한다. 마지막으로, 주택과 소비에 동시에 영향을 미치는 거시경제적 공통 요인(Common factor)이 중요하다는 증거는 발견할 수 없었다. Utilizing household-level panel data, this study examines the relation between house price changes and consumption changes. Although the overall impact of house price changes on consumption is small, the responses of consumption to housing price changes are heterogeneous across households. Old homeowners and households owning multiple houses raise consumption in response to house price changes whereas young homeowners and households with one house do not. These results indicate the relevance of housing wealth effect hypothesis to understand the relation between house price changes and consumption changes. In addition, when borrowing constraint is tightened by tightening debt-to-income ratio, households reduce the consumption even with an increase in the house price, which is also consistent with the borrowing constraint hypothesis.

Election Cycles and Stock Market Reaction:

Jiyoun An,Cheolbeom Park 대외경제정책연구원 2012 Working Papers Vol.2012 No.1

This study investigates movements of the stock return volatility during election periods (from one-year before an election to one-year after the election) with the use of data from 16 countries. The main findings of this study are (1) stock return volatility declines over time as elections approach, (2) the level of the stock return volatility during election periods is lower than that during non-election periods, and (3) the stock return volatility rises quickly during election months and immediately after the elections. The first and second findings confirm conjectures made on the dynamic pattern of the volatility in previous studies such as Pantzalis et al. (2000) and Wisniewski (2009).

Stock Market Reaction to Oil Price Shocks

Hansol Jung,Cheolbeom Park 한국계량경제학회 2011 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.22 No.3

In this study, we assess the responses of aggregate stock returns and their volatility in the face of oil price shocks in the Norwegian and Korean markets. Both Norway and Korea are small open economies; the former exports oil, and the latter imports it. We determine herein that the responses of aggregate stock returns and volatility differ substantially, depending on the underlying cause of the oil price rise and depending on whether an economy exports or imports oil. Additionally, a larger portion of stock return variations in small open economies can be explained by the world crude oil market as opposed to the US market; this implies that the small open economies have more oil-dependent technology and limited access to the global financial market. Finally, the results of our analysis of the conditional covariance measure indicate that the responses of stock returns and volatility are not based on a risk-return tradeoff relationship.

Time-varying Cointegration Models and Exchange Rate Predictability in Korea

PARK, SOOKYUNG,PARK, CHEOLBEOM Korea Development Institute 2015 KDI Journal of Economic Policy (KDI JEP) Vol.37 No.4

We examine the validity of popular exchange rate models such as the purchasing power parity (PPP) hypothesis and the monetary model for Korean won/US dollar exchange rate. Various specification tests demonstrate that Korean data are more favorable for both models based on time-varying cointegration coefficients as compared to those based on constant cointegration coefficients. When the abilities to predict future exchange rates between those models based on time-varying cointegration coefficients are compared, an in-sample analysis shows that the time-varying PPP (monetary model) has better predictive power over horizons shorter (longer) than one year. Results from an out-of-sample analysis indicate that the time-varying PPP outperforms models based on constant cointegration coefficients when predicting future exchange rate changes in the long run.

인구구조 변화와 주택가격 움직임: 전국 및 광역시 비교 분석 및 예측

安智熙 ( Jihee Ann ),朴哲範 ( Cheolbeom Park ) 한국국제경제학회 2020 국제경제연구 Vol.26 No.1

본 논문은 비모수 추정법(nonparametric estimation)을 응용하여 인구분포와 표준화된 주택가격(주택가격-임대소득 비율)의 관계를 분석하였다. 비모수추정법에 의하여 추정된 연령 반응함수는 생애주기가설의 설명과 대체적으로 일치하고, 추정된 주택가격지수는 실제 주택 가격지수의 움직임을 잘 설명하는 것으로 나타났다. 서울 및 6대 광역시별로 추정된 연령반응 함수는 지역의 인구분포에 따라 상이한 모습을 보이는 것으로 추정되었는데 고령화가 진행 될수록 고령세대가 주택가격에 음(-)의 방향으로 영향을 미치는 것으로 보인다. 마지막으로 추정된 연령반응함수와 시나리오별 미래 인구추계를 사용하여 전국, 서울 및 6대 광역시의 미래 표준화된 주택가격을 예측하였는데 울산과 인천을 제외한 지역에서 표준화된 주택가격이 하락할 것으로 예측되었다. Employing the nonparametric estimation approach, we examine the relation between the demographic structure and normalized house price (the price-rent ratio) in Korea. We find that the estimated age response function is generally consistent with the implication of the life-cycle hypothesis, and that the estimated price-rent ratio tracks the actual price-rent ratio closely. Estimated age response functions for Seoul and 6 metropolitan cities in Korea show heterogeneous shapes, but the elderly population is more likely to have a negative impact on the price-rent ratio as the area becomes more aged. Using the estimated age response functions and population projections, we also make forecasts for the price-rent ratios and show that the price-rent ratio will decline in Korea except Ulsan and Incheon areas.

State-Space Model and Present Value Model: An Application to the Korean Stock Market

Kwang Hun Choi,Cheolbeom Park 한국계량경제학회 2013 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.24 No.1

We have applied the state-space model to the Korean stock market under restrictions imposed by the present-value relation. Our main findings are (i) expected stock returns vary over time and have persistent and predictable component, (ii) expected dividend growth rates do not contain persistent and predictable component, (iii) expected stock returns play relatively more important role in explaining variations in the price-dividend ratio, (iv) shocks to expected stock returns are also more crucial in understanding unexpected stock return shocks, and (v) the state-space model does not appear to perform better than the predictive regression in terms of the ability in forecasting stock returns or dividend growth rates.