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RISS 인기검색어
- 검색키워드
- 저자 : Tsangyao Chang (검색결과 5 건)
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- 유료
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A Reexamination of South Korea's Aggregate Import Demand Function: The Bounds Test Analysis
Tsangyao Chang,Yuan-Hong Ho,Chiung-Ju Huang 중앙대학교 경제연구소 2005 Journal of Economic Development Vol.30 No.1
This paper uses a robust estimation method referred to as the unrestricted error correction model - the bounds test analysis to re-analyze the long-term relationships between the demand for imports and it’s determinants for South Korea over the period 1980-2000. Our results show that the volume of imports, income, and relative prices are all cointegrated. The estimated long-run (short-run) elasticities of import demand with respect to income and relative price are 1.86 (0.86) and -0.2 (-0.05), respectively. The major implication of our study is that neither monetary nor fiscal policies may be used as instruments to maintain the trade balance in South Korea’s favor during this sample period.
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Tsangyao Chang,Yuan-Hong Ho,Chung-Ju Huang 중앙대학교 경제연구소 2007 Journal of Economic Development Vol.32 No.1
In this empirical note we use a more powerful nonlinear (logistic) unit root test advanced by Leybourne et al. (1998) to investigate the hysteresis in unemployment for ten European countries for the period 1961-2003. The hypothesis is confirmed for all the European countries for which Leybourne et al.’s (1998) nonlinear (logistic) unit root test is performed, except for Belgium and the UK.
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Long-Run Gains From International Equity Diversification: Taiwan`s Evidence, 1995-2001
( Chien Chung Neih ),( Tsangyao Chang ) 세종대학교 경제통합연구소 2003 Journal of Economic Integration Vol.18 No.3
This study attempts to explore whether there exist long-run gains from international equity diversification for Taiwan investors who invest in the stock markets of its major trading partners, namely those of Hong Kong, Japan, Singapore, South Korea, and the United States. We further incorporate two dummies, taking into account two financial shocks of the stock crash of the United States in 1997 (D97) and the Asian financial crisis (DAC), into our model. The results indicate that these six stock markets are cointegrated with one cointegrating vector, which implies that the efficient market hypothesis (EMH) is violated in this multinational stock markets and the Taiwan investors may not benefit from portfolio diversification in the stock markets of its major trading partners. However, the dropping of either Singapore or South Korea markets from the portfolios leads to a rejection of cointegration and hence implies gains from diversification. Our results argue that analysis of more extensive investment portfolios and the drawing of conclusions regarding portfolio diversification must be carried out with great care for Taiwan investors.
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Long-Run Gains From International Equity Diversificaiton : Taiwan's Evidence, 1995-2001
Neih, Chien-Chung,Chang, Tsangyao 세종대학교 국제경제연구소 2003 Journal of Economic Integration Vol.18 No.3
This study attempts to explore whether there exist long-run gains from international equity diverstification for Taiwan investors who invest in the stock markets of its major trading patrners, namely those of Hong Kong, Japan, Singapore, Siuth Korea, and fhe United States. We further incorporate two dummies, taking into account two financial shocks of the stock crash of the United States in 1997 (D97) and the Asian financial crisis (DAC), into our model. The results indicate that these six stock markets are cintegrated with one cointegration vector, which implies that the effictient market hypithesis (EMH) is violated in this multinational stock markets and the Taiwan investors may not benefit from portfolio diversification in the stock markets of its major trading partners. However, the dropping of either Singapire or South Korea markets from the portfolios leads to a rejection of cointegration and hence implies gains from diversification, Our results argue that analysis of more extensive investment portfolios and the drawing of conclusions regarding portfolio diversification must be cattied out with great care for Taiwan investors.
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Zan Zhang,Su-Ling Tsai,Tsangyao Chang 연세대학교 동서문제연구원 2017 Global economic review Vol.46 No.2
We adopt the newly developed nonlinear autoregressive distributed lag model, advanced by Shin, Yu and Greenwood-Nimmo [(2014) Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, in: Festschrift in Honor of Peter Schmidt, pp. 281–314 (New York: Springer)], to investigate the interest rate(IR) pass-through (IRPT) mechanism in Taiwan from 1971 M07 to 2014 M11. We find that the incomplete IRPT mechanism of deposit markets shows an asymmetric adjustment in the short run and symmetric adjustments in the long run. The deposit rate is rigid downward, which supports the customer reaction hypothesis. Moreover, we find that both the short-run and the long-run IRPT channels from the policy rate to the lending rate are also incomplete in the short run but not in the long run. The purpose of this paper is to provide accurate assessment criteria for the central bank to understand the nonlinear dynamics among the policy IR and the retail IR, thus leading to more efficient policy-making and forecasting for the Taiwanese government.
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