Wavelets and Wavelet Estimation: A Review

Lee, GeungHee THE KOREAN ECONOMIC SOCIETY 1998 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.4 No.1

Wavelets have received a lot of attention in statistics since Donoho and Johnstone (1994) introduced wavelet shrinkage estimators, which include some important ideas-wavelets as a new local basis, multiresolution analysis and thresholding. From these ideas, we can reilluminate the methods and data analyses based on Fourier series and truncated estimators. In this paper, we review wavelets, wavelet series estimators, their model selection methods and their applications in econometrics and economics.

Economic Analysis of FRAND Commitment

안일태(Illtae Ahn),윤기호(Kiho Yoon) THE KOREAN ECONOMIC SOCIETY 2011 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.22 No.3

본 논문은 표준설정기구(standard-setting organization)의 특허 선정시 적정한 사후적(ex-post) 로열티수준 판단방안으로 논의되고 있는 Swanson and Baumol(2005)의 사전경매(ex-ante auction) 모형을 바탕으로 표준선정의 효과를 분석하였다. 하류시장이 꾸르노(Cournot) 수량경쟁 상태인 과점 모형을 설정한 후, 표준설정기구가 하류기업들의 이윤을 기준으로 특허 선정하는 경우와 사회후생을 기준으로 특허 선정하는 경우를 비교·분석하였으며, 특히 사회후생이 후자의 경우 오히려 낮아질 수 있음을 보였다. 또한, 상류 특허권자들과 하류시장 기업들이 독립적인 경우와 더불어 수직 통합되어 있는 경우도 같이 분석함으로써 균형결과들이 어떻게 달라지는지 살펴보았다. This paper provides an economic analysis of reasonable royalty rates when the patents are selected by a standard-setting organizations (SSOs). Based on the ex-ante auction model proposed by Swanson and Baumol (2005) for determining reasonable rates for FRAND (fair, reasonable and nondiscriminatory) commitment, this paper analyzes and compares the equilibrium outcomes when the SSO selects a standard by profit criterion and by social welfare criterion. It is shown that the social welfare may be lower when the patents are selected to maximize the social welfare rather than to maximize the profits. This paper deals with the case when the upstream patent holders are independent as well as the case when they are vertically integrated with the downstream firms.

Predicting Business Cycle Phases with Indexes of Leading and Coincident Economic Indicators : A Multivariate 'Regime-Shift' Approach

Kim,Chang-Jin THE KOREAN ECONOMIC SOCIETY 1996 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.2 No.2

Existing literature report at least three features of the composite leading index based on U.S. data: i) The CLI contains useful information for linear forecasts of the composite coincident index (CCI) or other coincident variables; ii) The CLI leads the business cycle phases with nonlinear dynamics; iii) The CLI carries information about the transitional dynamics of business cycle phases. All these features of the CLI are incorporated in a bivariate Markov-switching VAR model (MS-VAR model) of the CCI and the CLI. The MS-VAR model with time-varying transition probabilities, based on the real-time data, provides a moderate signal of recession one month before the August 1990 recession started, while the other competing models in this paper and the 'experimental recession index' of Stock and Watson (1992) fail to indicate an increased probability of recession until the recession had been in progress for two or three months. When we applied the bivariate models introduced in this paper to Korean data (monthly CLI and CCI), the results were not as satisfactory as those for U.S.

Nonlinear Error Correction and Asymmetric Adjustment

Lee,Hahn Shik,Hong,Eun Pyo THE KOREAN ECONOMIC SOCIETY 1997 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.3 No.2

If there is an equilibrium operating on a dynamic system, as suggested by some economic theory, there will be forces to keep the variables in the system from drifting too far apart from each other, although individual economic variables may wander widely over time. In this case, one can expect that these forces tend to increase as the variables in the system deviate farther away from the equilibrium. In this paper, we examine whether the strength of an attraction can be different depending on the direction as well as the size of equilibrium errors, using nonlinear error-correction models. We first propose simple estimation and testing procedures to measure the strength of an attraction. These procedures are then illustrated by applying them to a few economic data sets, and evidence is presented for the nonlinearity and/or asymmetry of the adjustment process.

Spectral Risk Measures를 이용한 우리나라 금융자산의 최적 자산 배분

김진호(Jin Ho Kim),김윤정(Yoonjeong Kim) THE KOREAN ECONOMIC SOCIETY 2009 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.20 No.4

대표적 coherent risk measure 인 CVaR 또는 expected shortfall(ES)은 투자자의 리스크회피 정도를 반영하지 않으며, 극단적 손실에 대해 동일한 가중치를 부여한다는 한계를 갖는다. Acerbi(2002, 2004)는 해결책으로서 각 투자자의 리스크회피 정도를 반영하는 spectral risk measure(SRM)를 소개하였다. 본 논문에서는 ES 와 새로운 측정방법인 SRM 을 사용하여 국내 KOSPI, 원/달러 환율 및 국고채의 3 가지 자산으로 포트폴리오를 구성하고, 리스크회피정도에 따른 자산배분비율을 비교하였다. SRM 에서 손실분포의 꼬리부분에 동일한 가중치를 부여하는 리스크회피계수(R)를 이용하여 ES 를 SRM 에 대응시킬 수 있다. 리스크회피계수별 자산배분 결과를 살펴보면, 리스크회피정도가 클수록 고수익/고리스크에 해당하는 주식의 비중이 감소하는 반면 표준편차가 낮은 채권의 비중은 증가하였다. 또한, ES 의 효율적 투자선과 SRM 의 각 리스크회피계수별 효율적 투자선을 도출하여 다음의 두 가지 결과를 확인하였다. 첫째, 리스크회피정도에 따라 리스크 즉, SRM 값이 차이를 보인다. 둘째, 리스크회피정도가 클수록 투자자는 SRM 값이 낮은 포트폴리오를 선택한다. ES 는 SRM 의 수많은 효율적 투자선 중 하나일 뿐이며, 리스크회피정도가 클수록 ES 기준 효율적 투자선과 SRM 기준 효율적 투자선 간 차이가 커진다는 사실도 확인하였다. 따라서 보수적으로 운영되어야 하는 포트폴리오나 리스크회피정도가 큰 투자자들의 경우, ES 를 기준으로 한 자산배분은 적절하지 않을 수 있다. As a coherent risk measure, CVaR or expected shortfall(ES) is limited in terms of applying equal weights to the extreme loss beyond Value-at-Risk regardless of investors' risk aversion. Acerbi(2002, 2004) introduced spectral risk measures(SRMs) that reflect investors' subjective risk aversion. In this study, portfolios are composed of three different Korean financial assets: the KOSPI index, won-dollar exchange rates, and the government bond. The asset allocations derived from ES and SRMs with various risk aversion coefficients are compared. The SRMs model converges to the ES model by imposing equal weights to the loss beyond VaR. The results show that when investors are more risk averse, the weights for high-risk stocks decrease and the weights for low-risk government bonds increase. The efficient frontiers of ES and SRMs show that the risk taken depends on the degree of risk aversion, and that investors select the lower risk portfolio when they are more risk averse. The efficient frontier of ES is one of the various efficient frontiers of SRMs, which implies that asset allocation based solely on ES is not appropriate for very risk-averse investors or conservatively managed portfolios.

ARE EXCHANGE RATES PREDICTABLE?: MARKOV SWITCHING MODEL WITH ENDOGENOUS TRANSITION PROBABILITIES

LEE,JOON-HAENG THE KOREAN ECONOMIC SOCIETY 1995 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.1 No.1

The Markov switching model (MSM) is considered interesting because it captures nonlinearity and structural instability of economic time series subject to occasional regime shifts. Engel and Hamilton (1990) apply a MSM in an exchange rate analysis using a constant transition probability function. That is, they assume that the probability of switching from on state to the other is constant regardless of the status of the economy. However, the likelihood of government intervention or regulation-the main causes of regime changes - usually is not independent of a country's economic status. This paper proposes a nonstationary MSM, in the sense that the transition probability function is time varying and a function of market fundamentals. This specification emphasized the role of real interest rate differentials in determining the direction of exchange rate movements. This paper develops maximum likelihood estimation procedures for four different specifications of endogenous transition probability function, - constant, linear, step, and logit-using the EM algorithm. Nonstationary MSM's are estimated using quarterly data of the pound-dollar exchange rate from 1974 to 1989. Forecasting results show that nonstationary MSM's outperform the constant transition probability model as well as the random walk model. For out-of-sample forecasting, nonstationary MSM'S outperform the random walk model, while Engel-Hamilton model does not. The results provide strong support for the nonstationary MSM; i.e., the exchange rate follows a switching-regime stochastic process which is driven by the real interest rate differential.

OPTIMAL FISCAL POLICY IN KOREAN BUSINESS CYCLE

KIM,SEONG-SUHN THE KOREAN ECONOMIC SOCIETY 1995 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.1 No.1

Recent empirical evidence suggests that the stock of public sector capital may be an important input to private production. This paper examines the business cycle implications of productive public capital in a general equilibrium model of optimal fiscal policy. In the model, public sector capital evolves according to an optimal accumulation process chosen by the government and financed by distorting taxes on private sector income. On the expenditure side, a distinction is made between public consumption, which affects demand side of the economy through the utility function of households, and public investment which affects the supply side through production technology. Public capital is a direct input to the neoclassical production technology and is intended to capture the productive effects of items such as the core infrastructure. Calibrated versions of the model are solved using recursive methods and simulated to study the business cycle properties of the model relative to Korean data.

동태적 불일치와 통화정책의 효과

남광희(Kwanghee Nam) THE KOREAN ECONOMIC SOCIETY 2005 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.16 No.4

본 연구는 동태적 불일치의 문제가 발생하는 확률적 동태 거시모형에서 최적통화정책을 분석하였다. 중앙은행에 대한 신뢰가 부족한 재량체제, 신뢰가 존재하는 공약체제 및 물가안정목표제의 최적 통화정책과 테일러 준칙을 비교하였다. 물가안정목표제가 실시된 1998년부터 2004년까지의 우리나라 자료를 바탕으로 모의실험을 통해 손실함수를 추정한 결과, 공약체제의 후생손실이 가장 작으며, 산출갭의 변동을 전혀 고려하지 않는 경직적 물가안정목표제는 테일러 준칙에 비해 후생손실의 측면에서 열위에 있었다. 특히, 사회적으로 경기안정을 더 원할수록, 비용충격의 지속성이 낮을수록, 가격경직성이 커질수록, 노동공급탄력성이 커질수록 경직적 물가안정목표제는 후생손실의 측면에서 악화되었다. This paper explores implications for optimal monetary policies under the dynamic time inconsistency problem. I develop a dynamic optimizing model calibrated to recent Korean data covering from 1998 to 2004. I investigate the consequences of alternative monetary policies with particular focus on the loss function. Policy simulations include variations on discretion, commitment, strict inflation targeting, and Taylor rule. The simulation results indicate that commitment remains the most preferred policy regime in terms of the loss function. The strict inflation targeting regime is worse than the Taylor rule regime in terms of the welfare loss. Moreover, the loss in the strict inflation targeting increases as the society puts higher weight on the output stability, the cost-push shock is less persistent, the price is more staggered, or the labor supply is more elastic.

An Empirical Analysis of the Foreign Direct Investment by Korean Firms: An Application of the Generalized Tobit Model

Moon, Choon-Geol,Kim, Hyo-Dong THE KOREAN ECONOMIC SOCIETY 1998 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.4 No.1

We build an integrated empirical model to study Korean firms' decision to invest in the developing countries and/or in the developed countries and the amounts of investments in these two groups of countries when they decide to invest abroad. The resulting empirical model, a version of the generalized Tobit model, is estimated through maximum likelihood estimation. We find that whether or not a firm decides to make direct investment to the developing countries is more or less the same as whether or not a firm decides to make positive amount of direct investment to these countries. The significant determinants for these decisions include both firm-specific microeconomic variables and host country's macroeconomic environment. However, we failed to identify any significant determinant for individual firm's decision to make FDI to the developed countries, implying that this decision is based on diverse and individual reasons. Individual firm's decision on the amount of FDI to the developed countries is based on firm-specific microeconomic variables only, reflecting relatively stable and favorable macroeconomic environments in these countries.

산업별 주가지수를 이용한 한국 주식시장 평균-분산 최적화 모형

김인배(Inbae Kim) THE KOREAN ECONOMIC SOCIETY 2006 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.17 No.1

본 논문에서는 한국의 주식시장을 7개의 산업군으로 분류한 후, 투자자들이 이들 산업군 주가지수와 무위험 채권으로 포트폴리오를 구성한다고 가정하였다. 평균-분산 최적화 모형을 이용하여 이들 포트폴리오 수익률의 움직임을 설명하려 하였으며, 다변량-ARCH, 나아가 투자자의 상대적 위험회피도까지도 시간에 따라 변하도록 허용하였다. 그 결과 투자자들이 명목수익률보다는 실질수익률에 근거하여 투자하고 있으며, 인플레이션에 대해 헤지하고 있음을 발견하였다. 또한 통계적으로 유의하면서도 기존문헌에서 적절하다고 판단하는 크기의 위험회피도를 추정할 수 있었다. 한국 주식시장에서 투자자들의 위험회피도는 매우 안정적인 모습을 보이고 있으나, 1997년 금융위기를 전후하여 약 일년 가량 위험회피도가 하락했던 것으로 나타났다. 이와 같은 결과로부터 자산가격결정 모형에 보다 폭넓은 투자수단이 포함되어야 할 필요성이 제기된다. This paper classified the Korean stock market into 7 industrial groups, and assumed that investors make portfolio decision over these stocks and a risk-free bill. Various forms of the Mean-Variance Optimization model with a multivariate-ARCH, even with a timevarying relative risk aversion coefficient were applied to explain the Korean stock market movement. We found that investors hedge against inflation, which means they are more concerned with the real return, rather than the nominal. Regarding to the risk aversion coefficient, we were able to obtain an appropriate size of the estimates. They were very stable over the time, but decreasing over a year around the 1997 financial crisis. This result suggests a critical point in asset pricing model that more variety of investment instruments should be considered in investor's portfolio.