(The) predictive power of the Nelson-Siegel lambda parameter in the South Korean economy

학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2022.8,[iii, 27 p. :]본 연구는 무차익 거래 Nelson-Siegel 모형에서 동태적으로 수준, 기울기, 곡도 외에 λ 팩터를 추정하여 λ 팩터가 장기금리, 장단기 금리차, 장기금리 변동성, 장단기 금리차의 변동성, 단기 금리 변동성 외에 한국 거시 경제 움직임에 선행해서 추가적인 설명력을 가지는지 확인하였다. 무차익 거래 Nelson-Siegel 모형에서 동태적으로 λ 팩터를 추정하기 위해 확장 칼만 필터를 사용해서 추정하였다. 이후 추정된 λ 팩터가 2000년 2월부터 2022년 3월까지의 표본에서 한국 수출 변동과 산업생산 지수 변동 그리고 경제 불황에 유의미하게 선행하는지 확인하였다. 경제 지표의 경우 회귀식을 이용했고 경제 불황에 대해서는 랜덤 포레스트 모형을 사용했다. 모든 목적 변수에서 λ 팩터는 단기 1개월 구간보다는 장기 12개월 후 경제를 더 효과적으로 설명하는 것을 확인했다. 이는 λ 팩터를 고정시키지 않고 동태적으로 추정할 때 일반적으로 보는 수준, 기울기, 곡도에서는 확인할 수 없는 경제 설명력을 가진다는 것을 시사한다.한국과학기술원 :금융공학프로그램

Lysostaphin-assisted signal amplification for the electrochemical impedance immunosensor for Staphylococcus aureus

학위논문(석사)--아주대학교 일반대학원 :분자과학기술학과,2014. 8Maste

Density Forecast Evaluations via a Simulation-Based Dynamic Probability Integral Transformation

This paper presents simulation-based density forecast evaluation methods using particle filters. The simulation-based dynamic probability integral transformation or log-likelihood evaluation method is combined with the existing density forecast evaluation methods. This methodology is applicable to various density forecast models, such as log stochastic volatility models and affine jump diffusion (AJD) models, for which the probability integral transform or likelihood computation is difficult due to the presence of latent stochastic volatilities. This methodology is applied to the daily S&P 500 stock index. The empirical results show that the AJD models with jumps perform the best for out-of-sample evaluations

Variance risk premium in a small open economy with volatile capital flows: The case of Korea

This paper extends the research on the variance risk premium by considering a small open economy with volatile capital flows the Korean economy. The empirical analysis in this paper finds that as in the US, the variance risk premium in Korea has a predictive power for the Korea Composite Stock Price Index (KOSPI) 200 stock returns over one-month and three-month horizons, indicating that it reflects the level of risk aversion in the Korean economy. The short-term forecasting ability of the variance risk premium is comparable to that of other popular predictor variables, such as the dividend yield and output gap. Moreover, a factor-augmented vector autoregression (FAVAR) analysis shows that the global liquidity sector is more important than the domestic macroeconomic sector in determining the variance risk premium. An increase in global liquidity significantly reduces both the variance risk premium and economic uncertainty

Macro-finance term structure analysis using structural vector autoregression

This paper analyzes the macro-finance term structure model for the Korean government bonds by using the dynamic Nelson-Siegel model. We investigate the impulse responses of the term structure to structural shocks by converting the reduced-form VAR implied by the dynamic Nelson-Siegel model into the structural VAR representation. Our emprical analysis provides the following. First, from the in and out-of-sample analysis, we find that the macro-financeterm structure model provides a better fit than other models such as the random walk model and the yield-only model. Second, the impulse response analysis from structural VAR model shows that the effect of macro economy on the yield curve is more statistically substantial than the effect of the yield curve on the macro economy. Among the yield curve factors, in particular, the "slope" factor of the yield curve sensitively responds to the macro shocks. Lastly, we decompose the bond yields with various maturities into the expectation and term premium components. We find that changes in the short rates are mainly driven by variations of the expectation component, while the long rates are mostly driven by variations of the term premium component. The longer the maturity of the term premium is, the bigger effect it receives from the shocks of yield curve factors rather than those of the macro economic factors

外國人直接投資의 技術傳播效果 分析 : 韓國의 製造業을 中心으로

학위논문(석사)--서울大學校 大學院 :國際經濟學科 國際經濟學專攻,1996.Maste

A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX

This paper investigates return and cash flow predictability via the decomposition of VIX. The squared VIX index is decomposed into expected return variations (ERV) and variance risk premium (VRP). Without imposing a strong assumption on the dynamics of the return variations, I examine the predictability via the generalized method of moments (GMM) approach with appropriately chosen instruments. Empirical analysis shows the short-term return predictability of VRP and the short- and long-term cash flow predictability of ERV. (C) 2019 Elsevier B.V. All rights reserved

Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models

CoVaR; DCC (dynamic conditional correlation) model; MES (marginal expected shortfall); Systemic risk; Threshold VA

Monetary Aggregates and the Central Bank's Financial Stability Mandate

Money is the balance sheet counterpart to bank lending. As such, highly procyclical components of money reflect incremental bank lending that may reverse abruptly as financial conditions deteriorate. Components of monetary aggregates that correspond to cross-border banking sector flows depend sensitively on both domestic and global financial factors and display a procyclical pattern that may be utilized in constructing a set of indicators of the vulnerability of the financial system to crises. We illustrate our arguments by drawing on the experience of Korea and by presenting an empirical analysis of cross-border banking flows into "demand-pull" and "supply-push" components

Term premia in affine term structure models with unspanned macroeconomic factors: The case of Korea

Using the yield data for Korean government bonds, I examine several discrete-time affine term structure models with unspanned macro factors, such as output and inflation, and compares term premia implied from alternative models with different combinations of output and inflation variables. Empirical analysis shows that, except for 1-year maturity ones, there is little difference among the medium-to long-term term premia across alternative models. The model-implied term premium estimates do not show a significant pro-or counter-cyclicality in relation to output variables, but show a highly positive correlation with inflation variables. In addition, I test the traditional expectation hypothesis by fitting Campbell-Shiller long-rate regressions to the Korean bond data, the expectation hypothesis is strongly rejected as in the case of the US, due to time-varying term premia, and an additional Monte Carlo simulation study indicates that the term structure models considered in this paper show a success in matching the regression coefficients estimated from the sample. © 2020, Korean Econometric Society. All rights reserved