This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When nonlinearity is allowed to play a role in our model, quantitatively very different asymmetric dynamics are observed. Following in inflation targeting, the responses tend to be smoother and less pronounced. Our empirical results support the view that the link between uncertainty and macroeconomic activity is clear over both recessions and expansions. Furthermore, the impact of uncertainty shocks is more pronounced when economic activity is depressed especially after shocks originate from the financial market, and not from news-based policy uncertainty in Korea.
{"title":"Uncertainty Shocks and Asymmetric Dynamics in Korea: A Nonlinear Approach","authors":"Kevin Larcher, Jaebeom Kim, Youngjune Kim","doi":"10.2139/ssrn.3168910","DOIUrl":"https://doi.org/10.2139/ssrn.3168910","url":null,"abstract":"This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When nonlinearity is allowed to play a role in our model, quantitatively very different asymmetric dynamics are observed. Following in inflation targeting, the responses tend to be smoother and less pronounced. Our empirical results support the view that the link between uncertainty and macroeconomic activity is clear over both recessions and expansions. Furthermore, the impact of uncertainty shocks is more pronounced when economic activity is depressed especially after shocks originate from the financial market, and not from news-based policy uncertainty in Korea.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126618707","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines how the financial globalization affects international equity mutual funds' portfolio choices in emerging markets. By examining the monthly holdings of 155 international funds, we first show that these funds actively engage in a rebalancing strategy to maintain their risk preferences upon realization of excess return changes. We also document robust evidence that these funds' propensity of rebalancing is larger in a country whose equity market is more strongly correlated with the global market. The results help understand how the financial globalization may raise the portfolio risk of the international funds' equity holdings in emerging economies.
{"title":"Equity Market Globalization and Portfolio Rebalancing","authors":"Kyung-Soo Kim, Dongwon Lee","doi":"10.2139/ssrn.2988534","DOIUrl":"https://doi.org/10.2139/ssrn.2988534","url":null,"abstract":"This paper examines how the financial globalization affects international equity mutual funds' portfolio choices in emerging markets. By examining the monthly holdings of 155 international funds, we first show that these funds actively engage in a rebalancing strategy to maintain their risk preferences upon realization of excess return changes. We also document robust evidence that these funds' propensity of rebalancing is larger in a country whose equity market is more strongly correlated with the global market. The results help understand how the financial globalization may raise the portfolio risk of the international funds' equity holdings in emerging economies.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116319496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Korean Abstract: 본 연구에서는 기업들의 고령 노동자와 청년 노동자의 고용비중 결정요인을 「사업체패널조사」를 이용하여 실증적으로 분석하였다. 그리고 두 연령대 고용은 서로 상관관계가 있을 가능성이 높으므로 본 연구에서는 이를 반영하여 Seemingly Unrelated Regression(SUR) 모형을 이용하였다. 추정결과에 따르면, 상대적으로 청년 노동자의 임금이 높은 산업, 비정규직 비중이 낮은 기업, 컴퓨터 활용도가 높은 기업, 규모가 큰 기업, 업력이 짧은 기업, 수도권 소재 기업, 기존 노동조합의 영향이 크지 않은 기업 등에서 청년 고용비중이 높은 것으로 나타났다. 이에 반해, 상대적으로 고령 노동자의 임금이 낮은 산업, 비정규직 비중이 낮은 기업, 컴퓨터 활용도가 낮은 기업, 규모가 작은 기업, 업력이 오래된 기업, 기존 노동조합의 영향력이 존재하는 기업, 비수도권에 존재하는 기업 등에서 고령 노동자의 고용비중이 높은 것으로 나타났다. 이러한 분석 결과는 기업특성별로 연령대별 고용비중이 상이하므로 연령대별 고용 증대를 위한 맞춤형 정책접근이 필요함을 시사한다. 특히 청년고용 활성화를 위해서는 신생기업 육성 지원, 기업 내 정보통신 기술 활용도 제고 등이 효과적인 것으로 판단된다. English Abstract: We empirically analyze the determinants of employment proportions of workers by age groups, using data from “Workplace Panel Survey(WPS)”. Considering that the employments of a firm by different age groups are highly likely to be correlated with each other, we employ the Seemingly Unrelated Regression(SUR) Model. The regression results tell us that the firms with the following characteristics hire more young workers: paying higher wage for young workers, having a lower ratio of temporary workers to permanent workers, a higher computer utilization, a bigger size, or a shorter age, located around the capital, or less influenced by the labor union. On the other hand, the firms that pay a lower wage for aged workers, have a lower ratio of temporary workers to permanent workers, a smaller size, or a longer age, not located around the capital, or more influenced by the labor union have the higher proportion of aged workers to total workers. According to the estimation results, policies with consideration of these determinants of employment proportions by age groups are necessary for increasing employment of each age group.
Korean Abstract:本研究利用《企业调查》实证分析了决定企业高龄劳动者和青年劳动者雇用比重的因素。另外，由于两个年龄段的雇佣很有可能相互关联，因此本研究使用了Seemingly Unrelated Regression(SUR)模型来反映这一点。据推测结果显示,青年工人的工资相对较高的产业,非正规职比重较低的企业,电脑使用率高的企业,规模较大的企业,업력短的企业,首都地区企业,现有工会的影响不大的企业等青年雇佣比重较高的显示。与此相反,高龄劳动者的工资相对较低的产业,非正规职比重低,企业电脑使用率低的企业,规模较小的企业,업력这个古老的企业,现有工会的影响力存在的企业,存在于非首都圈的企业等地,高龄劳动者的雇用比重较高的显示。这样的分析结果暗示了根据企业特性，各年龄段的雇佣比重有所不同，因此为了增加各年龄段的雇佣，有必要接近“量身定做型政策”。特别是为了青年雇佣活性化，支持新生企业的培养、提高企业内信息通讯技术的活用度等是非常有效的。English Abstract: We empirically analyze the determinants of employment proportions of workers by age groups, using data from“Workplace Panel Survey(WPS)”。Considering that the employments of a firm by different age groups are highly likely to be correlated with each other, we employ the Seemingly Unrelated Regression(SUR) Model。regression results tell us that The firms with The following characteristics hire more young workers“年轻工人，having a lower ratio of temporary工人，a higher computer utilization, a bigger size, ora shorter age, located around the capitalor less influenced by the labor union。On the other hand, the firms that pay a lower wage for aged workers, have a lower ratio of temporary workers to permanent workers, a smaller size, ora longer age, not located around the capital，or more influenced by the labor union have the higher proportion of aged workers to total workers。According to the estimation results, policies with consideration of these determinants of employment proportions by age groups are necessary for increasing employment of each age group。
{"title":"기업특성에 따른 연령별 고용행태 분석 (Analysis on the Determinants of Employment Proportion by Age Groups)","authors":"Sang-Won Lee, Chul‐Woo Kwon, Yunmin Nam","doi":"10.2139/SSRN.2988532","DOIUrl":"https://doi.org/10.2139/SSRN.2988532","url":null,"abstract":"Korean Abstract: 본 연구에서는 기업들의 고령 노동자와 청년 노동자의 고용비중 결정요인을 「사업체패널조사」를 이용하여 실증적으로 분석하였다. 그리고 두 연령대 고용은 서로 상관관계가 있을 가능성이 높으므로 본 연구에서는 이를 반영하여 Seemingly Unrelated Regression(SUR) 모형을 이용하였다. 추정결과에 따르면, 상대적으로 청년 노동자의 임금이 높은 산업, 비정규직 비중이 낮은 기업, 컴퓨터 활용도가 높은 기업, 규모가 큰 기업, 업력이 짧은 기업, 수도권 소재 기업, 기존 노동조합의 영향이 크지 않은 기업 등에서 청년 고용비중이 높은 것으로 나타났다. 이에 반해, 상대적으로 고령 노동자의 임금이 낮은 산업, 비정규직 비중이 낮은 기업, 컴퓨터 활용도가 낮은 기업, 규모가 작은 기업, 업력이 오래된 기업, 기존 노동조합의 영향력이 존재하는 기업, 비수도권에 존재하는 기업 등에서 고령 노동자의 고용비중이 높은 것으로 나타났다. 이러한 분석 결과는 기업특성별로 연령대별 고용비중이 상이하므로 연령대별 고용 증대를 위한 맞춤형 정책접근이 필요함을 시사한다. 특히 청년고용 활성화를 위해서는 신생기업 육성 지원, 기업 내 정보통신 기술 활용도 제고 등이 효과적인 것으로 판단된다. \u0000English Abstract: We empirically analyze the determinants of employment proportions of workers by age groups, using data from “Workplace Panel Survey(WPS)”. Considering that the employments of a firm by different age groups are highly likely to be correlated with each other, we employ the Seemingly Unrelated Regression(SUR) Model. \u0000The regression results tell us that the firms with the following characteristics hire more young workers: paying higher wage for young workers, having a lower ratio of temporary workers to permanent workers, a higher computer utilization, a bigger size, or a shorter age, located around the capital, or less influenced by the labor union. On the other hand, the firms that pay a lower wage for aged workers, have a lower ratio of temporary workers to permanent workers, a smaller size, or a longer age, not located around the capital, or more influenced by the labor union have the higher proportion of aged workers to total workers. \u0000According to the estimation results, policies with consideration of these determinants of employment proportions by age groups are necessary for increasing employment of each age group.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115647094","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Korean Abstract : 일반적으로 기업의 부채가 과다할수록 기업 부실 위험이 높아지는 것으로 알려져 있으나 한국의 경우 외환위기 이후 기업에 대한 부채비율 200% 미만 규제가 설정되면서 표면적으로 부채관련 비율은 안정적인 모습을 띄게 되었다. 그러나 기업 도산관련 이론에서 거론된 지표들을 살펴보면 부채관련 비율이 안정적임에도 불구하고 기업 부실위험이 높음을 시사하고 있으며 최근 구조조정 기업(워크아웃 기업, 회생 기업)수도 빠르게 증가하고 있다.본고에서는 이러한 점을 감안하여 부채관련 지표를 포함하면서 기업의 부실위험 정도를 잘 포착할 수 있는 새로운 지수를 개발하고 이러한 취약성 지수가 기업 부실화에 미치는 영향을 분석해 보았다. IMF의 CVU(Corporate Vulnerability Utility)에서 관찰하고 있는 지표를 중심으로 주성분 분석과 동태요인분석을 2회 중복 사용하는 방법을 이용하여 한계기업, 만성적 한계기업을 대상으로 기업 취약성 지수를 산정하였다. 그 결과 만성적 한계기업을 대상으로 한 취약성 지수가 어음 부도율 등 기업부실을 나타내주는 지표와 잘 부합하였으며 최근 들어 취약성 지수가 상승세에 있는 것으로 나타났다.패널 로짓(panel logit) 모형을 통해 만성적 한계기업의 취약성 지수가 정상기업의 부실기업화에 미치는 영향을 추정해 본 결과 취약성 지수가 한 단위 상승할 경우 정상기업에서 한계기업 및 부실위험 기업이 될 확률이 유의하게 상승하는 것으로 나타났다.이러한 분석결과는 구조조정을 통해 신속하고 꾸준하게 만성적 한계기업을 정리할 필요가 있으며 본고의 기업 취약성 지수와 같은 기업부실 위험 징후를 판단할 수 있는 종합적인 지표를 개발하여 이를 금융안정을 평가하는 보조지표로 활용할 필요가 있음을 시사한다.English Abstract : It has been usually taken into account that higher debts of a company tend to increase the risk of insolvency. In the case of Korea, the debt to equity ratio seems to have been stable after the Asian financial crisis thanks to the regulatory effort of reducing companies’ debt to equity ratio below 200%. By the way, unlike the debt to equity ratio, corporate default theories implicate that many Korean companies are highly likely to face default conditions, and the number of companies undergoing restructuring is growing much fast lately.Based on such motivation, this paper develops a new corporate vulnerability index including several debt-related ratios and helping to capture corporate risks, and analyzes the effect of the vulnerability index on corporate insolvency. The index is calculated for the whole, marginal, chronic marginal, and default-risk companies by applying both principal component analysis and dynamic factor analysis with indicators from IMF’s CVU(Corporate Vulnerability Utility). The result shows that the vulnerability index for chronic marginal companies corresponds to the bankruptcy rate on promissory notes which represents the level of corporate insolvency, and recently the index is in a rising trend.According to the estimation of the effect of chronic marginal companies’ vulnerability index on corporate insolvency of regular companies through the panel logit model, the probability of turing into marginal or default-risk companies from regular companies increases as the vulnerability index increases.The implications of the results are as follows. First, swift and steady restructuring needs to be executed for stable real economy. Next, the development of comprehensive indicators by which to detect risk signs, like the corporate vulnerability index in this paper, is required to use them as sub-indicators to assess financial stability.
Korean Abstract:一般来说，企业负债越多，企业亏损危险就越高，但是韩国在外汇危机以后，随着对企业的负债比率200%以下的规定被设定，从表面上看负债相关比率趋于稳定。但是，从企业破产相关理论中提出的指标来看，虽然负债相关比率比较稳定，但暗示企业亏损危险较高，而且最近结构调整企业(结构调整企业、回生企业)数量也在迅速增加。考虑到这一点，本库开发了包括负债相关指标在内，能够很好地捕捉企业亏损危险程度的新指数，并分析了这种脆弱性指数对企业亏损产生的影响。以IMF在CVU(Corporate Vulnerability Utility)观察的指标为中心，利用主成分分析和动态因素分析两次重复使用的方法，以临界企业、慢性临界企业为对象，计算出企业脆弱性指数。其结果显示，以慢性极限企业为对象的脆弱性指数与票据拒付率等体现企业亏损的指标非常吻合，最近脆弱性指数呈现上升趋势。通过panel logit模型推测慢性临界企业的脆弱性指数对正常企业的亏损企业化产生的影响的结果显示，如果脆弱性指数上升一个单位，从正常企业成为临界企业及亏损危险企业的概率就会明显上升。这样的分析结果,通过结构调整,迅速、坚持不懈地慢性的局限性,企业有必要整理,考试的脆弱性指数和企业同样可以判断企业病险迹象要开发的综合性指标,以此为金融稳定评估的辅助指标暗示,有必要利用。英语Abstract: It has been usually taken into account that higher debts of a company tend to increase the risk of insolvency。In the case of Korea, the debt to equity ratio seems to have been stable after the Asian financial crisis thanks to the regulatory effort of reducing companies ' debt to equity ratio below 200%。By the way, unlike the debt to equity ratio, corporate default theories implicate that many Korean companies are highly likely to face default conditions，and the number of companies undergoing restructuring is growing much fast lately。Based on such motivation, this paper develops a new corporate vulnerability index including several debt-related ratios and helping to capture corporate risksand analyzes the effect of the vulnerability index on corporate insolvency。index is calculated for The whole, marginal, chronic marginal，and default-risk companies by applying both principal component analysis and dynamic factor analysis with indicators from IMF ' s CVU(Corporate Vulnerability Utility)。The result shows that The vulnerability index for chronic marginal companies corresponds to The bankruptcy rate on promissory notes which represents The level of corporate insolvency;and recently the index isin a rising trend。According to the estimation of the effect of chronic marginal companies ' vulnerability index on corporate insolvency of regular companies through the panel logit modelthe probability of turing into marginal or default-risk companies from regular companies increases as the vulnerability index increases。The implications of The results are as follows。First, swift and steady restructuring needs to be executed for stable real economy。the development of comprehensive indicators by which to detect risk signs, like the corporate vulnerability index in this paper，is required to use them as sub-indicators to assess financial stability。
{"title":"기업 취약성 지수 개발 및 기업 부실화와의 연관성 (Development of Corporate Vulnerability Index and a Connection with Corporate Insolvency)","authors":"Young Jun Choi","doi":"10.2139/SSRN.2890353","DOIUrl":"https://doi.org/10.2139/SSRN.2890353","url":null,"abstract":"Korean Abstract : 일반적으로 기업의 부채가 과다할수록 기업 부실 위험이 높아지는 것으로 알려져 있으나 한국의 경우 외환위기 이후 기업에 대한 부채비율 200% 미만 규제가 설정되면서 표면적으로 부채관련 비율은 안정적인 모습을 띄게 되었다. 그러나 기업 도산관련 이론에서 거론된 지표들을 살펴보면 부채관련 비율이 안정적임에도 불구하고 기업 부실위험이 높음을 시사하고 있으며 최근 구조조정 기업(워크아웃 기업, 회생 기업)수도 빠르게 증가하고 있다.본고에서는 이러한 점을 감안하여 부채관련 지표를 포함하면서 기업의 부실위험 정도를 잘 포착할 수 있는 새로운 지수를 개발하고 이러한 취약성 지수가 기업 부실화에 미치는 영향을 분석해 보았다. IMF의 CVU(Corporate Vulnerability Utility)에서 관찰하고 있는 지표를 중심으로 주성분 분석과 동태요인분석을 2회 중복 사용하는 방법을 이용하여 한계기업, 만성적 한계기업을 대상으로 기업 취약성 지수를 산정하였다. 그 결과 만성적 한계기업을 대상으로 한 취약성 지수가 어음 부도율 등 기업부실을 나타내주는 지표와 잘 부합하였으며 최근 들어 취약성 지수가 상승세에 있는 것으로 나타났다.패널 로짓(panel logit) 모형을 통해 만성적 한계기업의 취약성 지수가 정상기업의 부실기업화에 미치는 영향을 추정해 본 결과 취약성 지수가 한 단위 상승할 경우 정상기업에서 한계기업 및 부실위험 기업이 될 확률이 유의하게 상승하는 것으로 나타났다.이러한 분석결과는 구조조정을 통해 신속하고 꾸준하게 만성적 한계기업을 정리할 필요가 있으며 본고의 기업 취약성 지수와 같은 기업부실 위험 징후를 판단할 수 있는 종합적인 지표를 개발하여 이를 금융안정을 평가하는 보조지표로 활용할 필요가 있음을 시사한다.English Abstract : It has been usually taken into account that higher debts of a company tend to increase the risk of insolvency. In the case of Korea, the debt to equity ratio seems to have been stable after the Asian financial crisis thanks to the regulatory effort of reducing companies’ debt to equity ratio below 200%. By the way, unlike the debt to equity ratio, corporate default theories implicate that many Korean companies are highly likely to face default conditions, and the number of companies undergoing restructuring is growing much fast lately.Based on such motivation, this paper develops a new corporate vulnerability index including several debt-related ratios and helping to capture corporate risks, and analyzes the effect of the vulnerability index on corporate insolvency. The index is calculated for the whole, marginal, chronic marginal, and default-risk companies by applying both principal component analysis and dynamic factor analysis with indicators from IMF’s CVU(Corporate Vulnerability Utility). The result shows that the vulnerability index for chronic marginal companies corresponds to the bankruptcy rate on promissory notes which represents the level of corporate insolvency, and recently the index is in a rising trend.According to the estimation of the effect of chronic marginal companies’ vulnerability index on corporate insolvency of regular companies through the panel logit model, the probability of turing into marginal or default-risk companies from regular companies increases as the vulnerability index increases.The implications of the results are as follows. First, swift and steady restructuring needs to be executed for stable real economy. Next, the development of comprehensive indicators by which to detect risk signs, like the corporate vulnerability index in this paper, is required to use them as sub-indicators to assess financial stability.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134601673","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper shows that discrete and vastly different loan rates offered by different types of financial firms constitute, in fact, an elaborate mechanism that makes borrowers tell the truth regarding their ability to pay back loan principal and interest. Suppose that once a borrower fails to pay back a loan to a bank, he cannot borrow from any banks again and must contact higher-interest charging credit finance companies to get a new loan. This creates a well-defined incentive for borrowers: pay back and remain in the banks' loan market vs. do not pay back and move to, say, credit finance companies' loan market in which a higher loan rate is charged. This mechanism does not require the financial firms to verify even if the borrower declares bankruptcy, and therefore is more efficient than a standard debt contract A la Townsend (1979) in terms of verification cost. As the interest rates offered by different types of financial firms should be well aligned in order to prevent the deception of borrowers, we can also analyze how many different types of financial firms, that is, how many discrete and different loan rates, can co-exist in the economy.
本文表明，不同类型的金融公司提供的离散且差异巨大的贷款利率实际上构成了一种精心设计的机制，使借款人说出有关其偿还贷款本金和利息能力的真相。假设一旦借款人不能偿还银行贷款，他就不能再从任何银行借款，必须联系利息更高的信用金融公司来获得新的贷款。这为借款人创造了一个明确的激励:偿还贷款并留在银行贷款市场，而不偿还贷款并转移到信贷金融公司的贷款市场，后者的贷款利率更高。即使借款人宣布破产，这种机制也不需要金融公司进行验证，因此在验证成本方面比标准债务合同更有效(a la Townsend(1979))。由于不同类型的金融公司提供的利率应该很好地一致，以防止借款人的欺骗，我们也可以分析有多少不同类型的金融公司，即有多少分立的和不同的贷款利率，可以在经济中共存。
{"title":"Loan Rate Differences Across Financial Sectors: A Mechanism Design Approach","authors":"Byoung-Ki Kim, Jun Gyu Min","doi":"10.2139/ssrn.2878407","DOIUrl":"https://doi.org/10.2139/ssrn.2878407","url":null,"abstract":"This paper shows that discrete and vastly different loan rates offered by different types of financial firms constitute, in fact, an elaborate mechanism that makes borrowers tell the truth regarding their ability to pay back loan principal and interest. Suppose that once a borrower fails to pay back a loan to a bank, he cannot borrow from any banks again and must contact higher-interest charging credit finance companies to get a new loan. This creates a well-defined incentive for borrowers: pay back and remain in the banks' loan market vs. do not pay back and move to, say, credit finance companies' loan market in which a higher loan rate is charged. This mechanism does not require the financial firms to verify even if the borrower declares bankruptcy, and therefore is more efficient than a standard debt contract A la Townsend (1979) in terms of verification cost. As the interest rates offered by different types of financial firms should be well aligned in order to prevent the deception of borrowers, we can also analyze how many different types of financial firms, that is, how many discrete and different loan rates, can co-exist in the economy.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127614037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Motivated by recently introduced retail payment schemes using information technology, often called “FinTech,” we examine the effects of fraud liability regime and information accessibility on the incentive for the anti-fraud investment in a vertically separated payment scheme. When the payment service providers make their revenue from consumer fee, it is shown that the anti-fraud investment is made more by parties with liability, and the anti-fraud investment is socially sub-optimal. When the FinTech payment service provider (FPP) makes its revenue other than from consumer fee, the FPP liability regime leads to greater anti-fraud investment and lower accident probability, compared to the case in raising revenue from consumer fees. The effect under the IPP liability regime, however, is inconclusive. Finally, under certain conditions, the FPP’s information accessibility to the IPP’s transaction data can enhance the anti-fraud investment and welfare.
{"title":"Liability, Information, and Anti-Fraud Investment in a Layered Retail Payment Structure","authors":"Kyoungsoo Yoon, Jooyong Jun","doi":"10.2139/ssrn.2824869","DOIUrl":"https://doi.org/10.2139/ssrn.2824869","url":null,"abstract":"Motivated by recently introduced retail payment schemes using information technology, often called “FinTech,” we examine the effects of fraud liability regime and information accessibility on the incentive for the anti-fraud investment in a vertically separated payment scheme. When the payment service providers make their revenue from consumer fee, it is shown that the anti-fraud investment is made more by parties with liability, and the anti-fraud investment is socially sub-optimal. When the FinTech payment service provider (FPP) makes its revenue other than from consumer fee, the FPP liability regime leads to greater anti-fraud investment and lower accident probability, compared to the case in raising revenue from consumer fees. The effect under the IPP liability regime, however, is inconclusive. Finally, under certain conditions, the FPP’s information accessibility to the IPP’s transaction data can enhance the anti-fraud investment and welfare.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126282723","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Korean Abstract: 본고는 주택부문 거시건전성 정책이 주택가격에 미치는 영향을 사건연구와 동적패널분석을 통해 살펴보았다. 이를 위해 2006년 3월부터 2015년 6월말까지 서울시, 경기도 및 6대 광역시의 시군구별 주택실거래가격지수 및 시군구별 주택담보인정비율(LTV)와 총부채상환비율(DTI) 자료를 산출하여 활용하였다. 분석결과 DTI 규제가 LTV 규제보다 주택가격에 효과적으로 영향을 미치는 것으로 나타났다. DTI 규제는 강화 및 완화 시 모두 주택가격 규제의도에 부합하는 효과를 나타내었지만 LTV 규제는 완화 시에만 효과가 있었다. 이러한 분석결과는 주택부문에 대한 자금공급을 적절히 통제하여 과도한 부채증가와 이로 인한 주택가격 상승이라는 악순환을 억제하기 위해 LTV 및 DTI 규제 정책을 활용하는데 필요한 정보를 준다는 측면에서 의의가 있다. 본 논문은 주택실거래자료를 바탕으로 시군구별 LTV 및 DTI 규제 한도를 추정한 후 이를 이용하여 주택부문 거시건전성 정책의 변화가 주택가격에 미치는 영향을 살펴본 최초의 연구이며, 과도한 주택가격 상승 및 신용증가에 대응하고자 LTV 및 DTI 규제를 도입하고 있는 각국 정책당국에게 중요한 시사점을 제공할 수 있을 것이라고 생각한다. English Abstract: We investigate the effects of macro-prudential policies on house prices using event study approaches and dynamic panel models. We construct a unique dataset with house price index based on real transactions and newly estimated loan-to-value (LTV) and debt-to-income (DTI) limits for a monthly panel of 98 districts across Seoul, the Gyeonggi Province and six metropolitan cities covering the period from March 2006 to June 2015. We show that DTI limits appear to be more effective in stabilizing house prices than LTV limits. Both tightening and loosening DTI and only loosening LTV limits are effective. Overall, the results indicate that macro-prudential policies could be a useful tool in curbing excessive household debts and the subsequent house price bubbles. This is the first study to estimate LTV and DTI limits at the district level and analyze the effects of macro-prudential policies on house prices. Our study would provide important lessons for the policy authorities that are implementing LTV and DTI regulations with an aim to cope with a surge in house prices and credit extension.
Korean Abstract:本高中通过事件研究和动态分析分析了住宅部门宏观健全性政策对住宅价格产生的影响。为此，从2006年3月开始到2015年6月末为止，计算并使用了首尔市、京畿道及6大广域市的市郡区住宅实际交易价格指数及市郡区住宅担保认证比率(LTV)和总负债偿还比率(DTI)资料。分析结果显示，DTI限制比LTV限制更有效地影响住宅价格。DTI制度在强化及缓和时都显示出了符合住宅价格规制意图的效果，但是LTV制度只在缓和时才有效果。这样的分析结果在适当控制对住宅部门的资金供给，为抑制过度的负债增加和由此引起的住宅价格上升的恶性循环，提供了活用LTV及DTI规制政策所必需的信息方面具有重大意义。本文住宅实际资料为基础,各市、郡、区ltv及推测后利用dti限度住宅健全性宏观政策的变化对房价的影响,观察最初的研究,过度的住宅价格上涨及应对信用增加,正在引进ltv及dti,各国政府可以提供重要的启示会觉得。英语Abstract: We investigate the effects of macro-prudential policies on house prices using event study approaches and dynamic panel models。We construct a unique dataset with house price index based on real transactions and newly estimated loan-to-value (LTV) and debt-to-income (DTI) limits for a monthly panel of 98 districts acrossSeoul, the Gyeonggi Province and six metropolitan cities covering the period from March 2006 to June 2015。We show that DTI limits appear to be more effective in stabilizing house prices than LTV limits。Both tightening and loosening DTI and only loosening LTV limits are effective。Overall, the results indicate that macro-prudential policies could be a useful tool in curbing excessive household debts and the subsequent house price bubbles。This is the first study to estimate LTV and DTI limits at the district level and analyze the effects of macro-prudential policies on house prices。Our study would provide important lessons for the policy authorities that are implementing LTV and DTI regulations with an aim to cope with a surge in house prices and credit extension。
{"title":"주택실거래 자료를 이용한 주택부문 거시건전성 정책 효과 분석(The Effects of Macro-Prudential Policies on House Prices Using Real Transaction Data: Evidence from Korea)","authors":"Hosung Jung, Jieun Lee","doi":"10.2139/SSRN.2809494","DOIUrl":"https://doi.org/10.2139/SSRN.2809494","url":null,"abstract":"Korean Abstract: 본고는 주택부문 거시건전성 정책이 주택가격에 미치는 영향을 사건연구와 동적패널분석을 통해 살펴보았다. 이를 위해 2006년 3월부터 2015년 6월말까지 서울시, 경기도 및 6대 광역시의 시군구별 주택실거래가격지수 및 시군구별 주택담보인정비율(LTV)와 총부채상환비율(DTI) 자료를 산출하여 활용하였다. 분석결과 DTI 규제가 LTV 규제보다 주택가격에 효과적으로 영향을 미치는 것으로 나타났다. DTI 규제는 강화 및 완화 시 모두 주택가격 규제의도에 부합하는 효과를 나타내었지만 LTV 규제는 완화 시에만 효과가 있었다. 이러한 분석결과는 주택부문에 대한 자금공급을 적절히 통제하여 과도한 부채증가와 이로 인한 주택가격 상승이라는 악순환을 억제하기 위해 LTV 및 DTI 규제 정책을 활용하는데 필요한 정보를 준다는 측면에서 의의가 있다. 본 논문은 주택실거래자료를 바탕으로 시군구별 LTV 및 DTI 규제 한도를 추정한 후 이를 이용하여 주택부문 거시건전성 정책의 변화가 주택가격에 미치는 영향을 살펴본 최초의 연구이며, 과도한 주택가격 상승 및 신용증가에 대응하고자 LTV 및 DTI 규제를 도입하고 있는 각국 정책당국에게 중요한 시사점을 제공할 수 있을 것이라고 생각한다. English Abstract: We investigate the effects of macro-prudential policies on house prices using event study approaches and dynamic panel models. We construct a unique dataset with house price index based on real transactions and newly estimated loan-to-value (LTV) and debt-to-income (DTI) limits for a monthly panel of 98 districts across Seoul, the Gyeonggi Province and six metropolitan cities covering the period from March 2006 to June 2015. We show that DTI limits appear to be more effective in stabilizing house prices than LTV limits. Both tightening and loosening DTI and only loosening LTV limits are effective. Overall, the results indicate that macro-prudential policies could be a useful tool in curbing excessive household debts and the subsequent house price bubbles. This is the first study to estimate LTV and DTI limits at the district level and analyze the effects of macro-prudential policies on house prices. Our study would provide important lessons for the policy authorities that are implementing LTV and DTI regulations with an aim to cope with a surge in house prices and credit extension.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"13 24","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120853139","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Policy makers employed unconventional monetary policy (UMP) tools to respond to the recent global financial crisis in the U.S. and other advanced economies, and the UMP is about to be normalized. In this paper, we try to quantitiatively assess the effects of the UMP and its normalization on capital flows to emerging market economies. We find that the UMP significantly affected capital flows on average. The effects of the normalization are closely related with the effects of the UMP. Importantly, the larger the capital inflows due to the UMP, the larger the capital outflows due to the normalization. Moreover, policy makers need to be careful of a potential risk of unexpected capital outflows (exceeding the expected ones) during an uncertain period whose size tends to be proportional to the size of the previous capital inflows.
{"title":"Spillovers from U.S. Unconventional Monetary Policy and its Normalization to Emerging Markets: A Capital Flow Perspective","authors":"S. Suh, Byungsoo Koo","doi":"10.2139/ssrn.2752814","DOIUrl":"https://doi.org/10.2139/ssrn.2752814","url":null,"abstract":"Policy makers employed unconventional monetary policy (UMP) tools to respond to the recent global financial crisis in the U.S. and other advanced economies, and the UMP is about to be normalized. In this paper, we try to quantitiatively assess the effects of the UMP and its normalization on capital flows to emerging market economies. We find that the UMP significantly affected capital flows on average. The effects of the normalization are closely related with the effects of the UMP. Importantly, the larger the capital inflows due to the UMP, the larger the capital outflows due to the normalization. Moreover, policy makers need to be careful of a potential risk of unexpected capital outflows (exceeding the expected ones) during an uncertain period whose size tends to be proportional to the size of the previous capital inflows.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130438118","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A New Keynesian model with labor friction, in which involuntary unemployment can be endogenized, is estimated with the Korean macroeconomic data using a Bayesian estimation approach. The model is extended by specifying a small open economy with tradable and nontradable goods sectors to characterize the Korean labor market empirically. Results of empirical analyses based on the estimated model can be summarized as follows. First, the sectoral reallocation of labor plays an important role in the adjustment of the Korean labor market, which responds to macroeconomic shocks, particularly foreign shocks. Second, the historical decomposition analysis demonstrates that the cyclical fluctuations of unemployment in Korea are explained by key domestic shocks, such as domestic productivity shocks and preference shocks. A relatively small contribution of foreign shocks to aggregate labor market variables is partly caused by the sectoral shift of employment rather than extensive changes in aggregate employment and labor force
{"title":"Macroeconomic Shocks and Dynamics of Labor Markets in Korea","authors":"Tae Bong Kim, Hangyu Lee","doi":"10.2139/ssrn.2676440","DOIUrl":"https://doi.org/10.2139/ssrn.2676440","url":null,"abstract":"A New Keynesian model with labor friction, in which involuntary unemployment can be endogenized, is estimated with the Korean macroeconomic data using a Bayesian estimation approach. The model is extended by specifying a small open economy with tradable and nontradable goods sectors to characterize the Korean labor market empirically. Results of empirical analyses based on the estimated model can be summarized as follows. First, the sectoral reallocation of labor plays an important role in the adjustment of the Korean labor market, which responds to macroeconomic shocks, particularly foreign shocks. Second, the historical decomposition analysis demonstrates that the cyclical fluctuations of unemployment in Korea are explained by key domestic shocks, such as domestic productivity shocks and preference shocks. A relatively small contribution of foreign shocks to aggregate labor market variables is partly caused by the sectoral shift of employment rather than extensive changes in aggregate employment and labor force","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121209651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Modeling a hedge fund’s probability of failure by a dynamic logit regression, I document that a probability of fund failure has a significantly negative effect on the fund’s future returns. A quintile portfolio with highest failure probability underperforms a quintile portfolio with lowest failure probability by 5~6% per year from 1997 to 2012. The results are robust to the definition of hedge fund failure and controlling for a large set of risk factors and fund characteristics. Moreover, the negative effect of failure probability on future fund returns is stronger for funds with weak share restrictions.
{"title":"Failure Risk and the Cross-Section of Hedge Fund Returns","authors":"Jung-min Kim","doi":"10.2139/ssrn.2604794","DOIUrl":"https://doi.org/10.2139/ssrn.2604794","url":null,"abstract":"Modeling a hedge fund’s probability of failure by a dynamic logit regression, I document that a probability of fund failure has a significantly negative effect on the fund’s future returns. A quintile portfolio with highest failure probability underperforms a quintile portfolio with lowest failure probability by 5~6% per year from 1997 to 2012. The results are robust to the definition of hedge fund failure and controlling for a large set of risk factors and fund characteristics. Moreover, the negative effect of failure probability on future fund returns is stronger for funds with weak share restrictions.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116192685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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