Korean Abstract: 이 연구는 1995년 1분기부터 2019년 3분기까지의 북·중무역 자료를 사용하여 북한의 가장 중요한 외화획득 원천이었던 광물 수출과 품목별 수입 간의 관계를 공적분, 벡터자기회귀모형, 그리고 충격반응함수를 통하여 분석하였다. 연구 결과에 따르면 광물 수출은 수입품 중 식품, 연료, 자본재류 중간재와 공적분 관계를 가지는 것으로 추정되었다. 한편, 벡터자기회귀 분석 결과 광물 수출에 구조변화가 있었던 2010년 3분기 전후로 광물 수출과 품목별 수입의 단기적인 관계에서 상반된 결과를 발견할 수 있었다. 구조변화 이전에는 수입 충격이 광물 수출에 영향을 준 반면 구조변화 이후에는 광물 수출 충격이 차량, 섬유류 중간재, 기타 중간재, 사치재 수입을 증가시키는 것으로 추정되었다.
본 연구의 추정결과는 2010년 이후 급증한 북한의 광물 수출이 북한의 경제성장에 기여할 가능성과 한계를 동시에 보여준다. 광물 수출이 식품, 연료 등의 필수재와 더불어 자본재류 중간재와 공적분 관계를 가지며, 단기적으로는 자본재 수입과 각종 중간재 수입을 증가시킨다는 점은 광물 수출이 경제성장에 기여할 가능성을 보여준다. 그러나 기계설비자산 등 자본량 축적에 필요한 자본재 수입과의 장기균형관계는 발견되지 않았으며, 단기적 영향도 차량수입 증가에 국한된 것으로 추정되어 광물 수출에 의한 성장효과는 제한적이었을 것으로 평가된다.
English Abstract: This study investigates the relationship between mineral exports to China, North Korea’s most important source of foreign currency acquisition, and its imports of various items from China from the first quarter of 1995 through to the third quarter of 2019. The results from a cointegration analysis suggest that there exists a long-run equilibrium relationship between mineral exports and imports of food, fuel, and some intermediate goods, such as industrial supplies, parts, and accessories. The results from a vector autoregression using first-differenced variables indicate that the short-run relationship between mineral exports and imports is different between the period before and after the third quarter of 2010. Prior to structural changes, i.e., before the third quarter of 2010, import shocks affected mineral exports. However, after the third quarter of 2010, an increase in mineral exports led to an increase in the import of vehicles, intermediate goods, and luxury goods.
This paper shows both the possibilities and the limits that mineral exports can contribute to North Korea’s economic growth. The results, which show that mineral exports have a long-run relationship with intermediate goods, such as industrial supplies, parts and accessories, imply that mineral exports to China could have a positive effect on the North Korean economy. However, the fact that mineral exports do not have any significant effect on the import of machinery and equipment, which helps the accumulation of capital formation, shows that mineral exports have a limited effect on inducing long-term growth in the North Korean economy.
Korean Abstract:该研究利用1995年第一季度至2019年第三季度的北中贸易资料，通过公分、向量自我回归模型和冲击反应函数分析了北韩最重要的外汇来源矿物出口和各品种进口之间的关系。研究结果表明，矿物出口与进口产品中的食品、燃料、资本材料类中间材料有公共关系。另外，向量自我回归分析结果显示，在矿物出口结构发生变化的2010年第三季度前后，在矿物出口和各品种进口的短期关系中发现了相反的结果。据推测，在结构变化之前，进口冲击会对矿物出口产生影响，而结构变化后，矿物出口冲击会增加车辆、纤维类中间材料、其他中间材料、奢侈材料的进口。本研究的推测结果同时显示，2010年以后激增的北韩矿物出口对北韩经济增长做出贡献的可能性和局限性。矿物出口与食品、燃料等必需材料和资本材料类中间材料具有公共关系，短期内增加资本材料进口和各种中间材料进口，这表明矿物出口对经济增长做出贡献的可能性。但是，没有发现与机械设备资产等资本量积累所必需的资本货物进口之间的长期均衡关系，短期影响也被推定局限在车辆进口的增加上，因此矿物出口带来的增长效果被评价为是有限的。english abstract:This study investigates the relationship between mineral exports to China, North Korea ' s most important source of foreign currency acquisition，中国from the first quarter of 1995 through to the third quarter of 2019。The results from a cointegration analysis suggest that there exists a long-run equilibrium relationship between mineral exports and imports of food, fuel, and some intermediate goodssuch as industrial supplies, parts, and accessories。The results from a vector autoregression using first-differenced variables indicate that The short-run relationship between mineral exports and imports is different between The period before and afterthe third quarter of 2010。Prior to structural changes, i.e. before the third quarter of 2010, import shocks affected mineral exports。However, after the third quarter of 2010, an increase in mineral exports led to an increase in the import of vehicles, intermediate goods, and luxury goods。This paper shows both the possibilities and the limits that mineral exports can contribute to North Korea ' s economic growth。The results, which show that mineral exports have a long-run relationship with intermediate goods, such as industrial supplies, parts and accessories，imply that mineral exports to China could have a positive effect on the North Korean economy。However, the fact that mineral exports do not have any significant effect on the import of machinery and equipment which helps the accumulation of capital formation;shows that mineral exports have a limited effect on inducing long-term growth in the North Korean economy。
{"title":"북한의 광물 수출과 품목별 수입: 대중무역을 중심으로 (The Effects of North Korea's Mineral Export on Various Imports)","authors":"Byung-Yeon Kim, Minjung Kim, Dawool Kim","doi":"10.2139/ssrn.3547046","DOIUrl":"https://doi.org/10.2139/ssrn.3547046","url":null,"abstract":"<b>Korean Abstract:</b> 이 연구는 1995년 1분기부터 2019년 3분기까지의 북·중무역 자료를 사용하여 북한의 가장 중요한 외화획득 원천이었던 광물 수출과 품목별 수입 간의 관계를 공적분, 벡터자기회귀모형, 그리고 충격반응함수를 통하여 분석하였다. 연구 결과에 따르면 광물 수출은 수입품 중 식품, 연료, 자본재류 중간재와 공적분 관계를 가지는 것으로 추정되었다. 한편, 벡터자기회귀 분석 결과 광물 수출에 구조변화가 있었던 2010년 3분기 전후로 광물 수출과 품목별 수입의 단기적인 관계에서 상반된 결과를 발견할 수 있었다. 구조변화 이전에는 수입 충격이 광물 수출에 영향을 준 반면 구조변화 이후에는 광물 수출 충격이 차량, 섬유류 중간재, 기타 중간재, 사치재 수입을 증가시키는 것으로 추정되었다.<br><br>본 연구의 추정결과는 2010년 이후 급증한 북한의 광물 수출이 북한의 경제성장에 기여할 가능성과 한계를 동시에 보여준다. 광물 수출이 식품, 연료 등의 필수재와 더불어 자본재류 중간재와 공적분 관계를 가지며, 단기적으로는 자본재 수입과 각종 중간재 수입을 증가시킨다는 점은 광물 수출이 경제성장에 기여할 가능성을 보여준다. 그러나 기계설비자산 등 자본량 축적에 필요한 자본재 수입과의 장기균형관계는 발견되지 않았으며, 단기적 영향도 차량수입 증가에 국한된 것으로 추정되어 광물 수출에 의한 성장효과는 제한적이었을 것으로 평가된다.<br><br><br><b>English Abstract:</b> This study investigates the relationship between mineral exports to China, North Korea’s most important source of foreign currency acquisition, and its imports of various items from China from the first quarter of 1995 through to the third quarter of 2019. The results from a cointegration analysis suggest that there exists a long-run equilibrium relationship between mineral exports and imports of food, fuel, and some intermediate goods, such as industrial supplies, parts, and accessories. The results from a vector autoregression using first-differenced variables indicate that the short-run relationship between mineral exports and imports is different between the period before and after the third quarter of 2010. Prior to structural changes, i.e., before the third quarter of 2010, import shocks affected mineral exports. However, after the third quarter of 2010, an increase in mineral exports led to an increase in the import of vehicles, intermediate goods, and luxury goods.<br><br>This paper shows both the possibilities and the limits that mineral exports can contribute to North Korea’s economic growth. The results, which show that mineral exports have a long-run relationship with intermediate goods, such as industrial supplies, parts and accessories, imply that mineral exports to China could have a positive effect on the North Korean economy. However, the fact that mineral exports do not have any significant effect on the import of machinery and equipment, which helps the accumulation of capital formation, shows that mineral exports have a limited effect on inducing long-term growth in the North Korean economy.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116266999","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: 관측주기가 다른 자료를 이용하여 경제를 분석하면서 고빈도(high frequency) 자료를 저빈도(low frequency) 자료로 전환하는 경우 자료가 지닌 정보를 충분히 활용하지 못하는 문제가 발생한다. 대부분의 국가에서 GDP는 분기 단위로 발표되고 있어, GDP를 이용하여 경제분석을 하는 경우 이러한 문제가 흔히 나타나며, 특히 속보성이 떨어지는 경우 최근 데이터를 활용할 수 없어 경제변수 분석이나 전망에 제약이 발생할 수 있다.
본고에서는 이러한 문제를 해결하기 위해 혼합주기자료를 이용하여 관측되지 않는 고빈도 자료를 포함하는 변수로 구성된 은닉인자 상태공간 벡터오차수정모형을 제안하고 깁스표본추출법을 적용하는 베이지안 방식으로 추정하였다. 동 모형을 이용하면 대부분의 국가에서 관측되지 않는 변수인 월별 GDP의 추정뿐 아니라 월별 GDP에 대한 초단기 예측도 가능하다.
월별 GDP가 작성되는 캐나다를 대상으로 본고의 모형을 이용한 월별 GDP 추정치와 실제치를 비교한 결과, 추정된 캐나다 월별 GDP가 실제 발표치와 매우 근사한 것으로 나타났다. 또한 캐나다의 월별 GDP를 대상으로 표본내 예측 및 사후 예측을 실시한 결과, 본고의 모형이 기존 기법에 비해 우수하거나 동등한 수준의 표본내 예측 성과를 보였으며, 사후 예측의 성과는 훨씬 우수하였다. 한편, 우리나라를 대상으로 하여 월별 GDP 추정 및 사후 예측을 수행한 결과, 본고의 모형이 여타 예측모형에 비해 상대적으로 우수한 성과를 보였다.
English Abstract: This paper suggests a Gibbs sampling estimation of an unobserved component cointegrated VAR Model to estimate monthly GDP with mixed frequency data.
We estimate a Canadian monthly GDP and compare the estimate and actual value of Canadian monthly GDP. The results show that the discrepancy between the estimate and actual value of Canadian monthly GDP is smaller or equivalent to the estimation results of Chow-Lin (1971), Denton (1971), Fernandez (1981), and Litterman (1983).
The suggested model can be used as a forecasting model for monthly, therefore quarterly GDP unlike the class of Chow-Lin. This paper ex post forecasts Korean monthly GDP(therefore quarterly GDP) in 6 month horizon and compares the forecast performance with other quarterly forecast models. Compared to Random walk, AR(1), AR(4), VAR(1), and VAR(4) models, the suggested model showed better forecast performance.
Korean Abstract:利用观测周期不同的资料分析经济时，将高频(high frequency)资料转换成低频率(low frequency)资料时，会发生不能充分利用资料所具有的信息的问题。在大部分国家，GDP是以季度为单位公布的，因此，利用GDP进行经济分析时经常会出现这样的问题，特别是快报性下降时，无法利用最近的数据，可能会对经济变数的分析和预测产生制约。为了解决这一问题，本稿提出了利用混合周期资料，由包含无法观测到的高频资料的变数组成的隐性因子状态空间向量误差修正模型，并采用石膏抽样法的米黄色方式进行了推测。如果利用该模型，不仅可以推测大部分国家没有观测到的变数——月GDP，还可以对月GDP进行超短期预测。以按月计算GDP的加拿大为对象，利用本高模型对月GDP推定值和实际值进行比较的结果显示，推定的加拿大月GDP和实际发表值非常接近。另外，以加拿大每月GDP为对象进行抽样预测和事后预测的结果显示，本库的模型比现有技术优秀或具有同等水平的标本内预测成果，事后预测成果更加优秀。另一方面，以韩国为对象进行月GDP估算及事后预测的结果显示，本稿模型比其他预测模型取得了相对优秀的成果。English Abstract: This paper suggests a Gibbs sampling estimation of an unobserved component cointegrated VAR Model to estimate monthly GDP with mixed frequency data。We estimate a Canadian monthly GDP and compare the estimate and actual value of Canadian monthly GDP。The results show that The discrepancy between The estimate and actual value of Canadian monthly GDP is smaller or equivalent to The estimation results of Chow-Lin (1971)， Denton (1971)Fernandez (1981)， and Litterman(1983)。The suggested model can be used as a forecasting model for monthly, therefore quarterly GDP unlike The class of Chow-Lin。This paper ex post forecasts Korean monthly GDP(therefore quarterly GDP) in 6 month horizon and compares the forecast performance with other quarterly forecast models。Compared to Random walk, AR(1)， AR(4)， VAR(1)， and VAR(4) models, the suggested model showed better forecast performance。
{"title":"상태공간 벡터오차수정모형을 이용한 월별 GDP 추정 : 깁스표본추출 접근 (Estimating Korean Monthly GDP and Forecasting Korean GDP:Unobserved Component VECM and Gibbs Sampling Approach)","authors":"Kiho Kim","doi":"10.2139/ssrn.3529043","DOIUrl":"https://doi.org/10.2139/ssrn.3529043","url":null,"abstract":"<b>Korean Abstract:</b> 관측주기가 다른 자료를 이용하여 경제를 분석하면서 고빈도(high frequency) 자료를 저빈도(low frequency) 자료로 전환하는 경우 자료가 지닌 정보를 충분히 활용하지 못하는 문제가 발생한다. 대부분의 국가에서 GDP는 분기 단위로 발표되고 있어, GDP를 이용하여 경제분석을 하는 경우 이러한 문제가 흔히 나타나며, 특히 속보성이 떨어지는 경우 최근 데이터를 활용할 수 없어 경제변수 분석이나 전망에 제약이 발생할 수 있다.<br><br>본고에서는 이러한 문제를 해결하기 위해 혼합주기자료를 이용하여 관측되지 않는 고빈도 자료를 포함하는 변수로 구성된 은닉인자 상태공간 벡터오차수정모형을 제안하고 깁스표본추출법을 적용하는 베이지안 방식으로 추정하였다. 동 모형을 이용하면 대부분의 국가에서 관측되지 않는 변수인 월별 GDP의 추정뿐 아니라 월별 GDP에 대한 초단기 예측도 가능하다.<br><br>월별 GDP가 작성되는 캐나다를 대상으로 본고의 모형을 이용한 월별 GDP 추정치와 실제치를 비교한 결과, 추정된 캐나다 월별 GDP가 실제 발표치와 매우 근사한 것으로 나타났다. 또한 캐나다의 월별 GDP를 대상으로 표본내 예측 및 사후 예측을 실시한 결과, 본고의 모형이 기존 기법에 비해 우수하거나 동등한 수준의 표본내 예측 성과를 보였으며, 사후 예측의 성과는 훨씬 우수하였다. 한편, 우리나라를 대상으로 하여 월별 GDP 추정 및 사후 예측을 수행한 결과, 본고의 모형이 여타 예측모형에 비해 상대적으로 우수한 성과를 보였다.<br><br><br><b>English Abstract:</b> This paper suggests a Gibbs sampling estimation of an unobserved component cointegrated VAR Model to estimate monthly GDP with mixed frequency data.<br><br>We estimate a Canadian monthly GDP and compare the estimate and actual value of Canadian monthly GDP. The results show that the discrepancy between the estimate and actual value of Canadian monthly GDP is smaller or equivalent to the estimation results of Chow-Lin (1971), Denton (1971), Fernandez (1981), and Litterman (1983).<br><br>The suggested model can be used as a forecasting model for monthly, therefore quarterly GDP unlike the class of Chow-Lin. This paper ex post forecasts Korean monthly GDP(therefore quarterly GDP) in 6 month horizon and compares the forecast performance with other quarterly forecast models. Compared to Random walk, AR(1), AR(4), VAR(1), and VAR(4) models, the suggested model showed better forecast performance.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127403019","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 studies how high uncertainty affects corporate bank loans, addressing the important identification issue. In times of high uncertainty, firms reduce their credit demand due to delayed investments or a deterioration in their credit worthiness, while at the same time banks are more exposed to negative shocks to their balance sheet and thereby reduce credit supply. To isolate the uncertainty effect from the credit supply effect, we employ matched bank-firm loan data covering all loans extended by all financial intermediaries to the universe of listed firms in Korea, a bank-centered economy. Our empirical results reveal that a failure to control for credit supply leads to overestimation of the negative effect of uncertainty on bank loans. In addition, we find that the negative effect is stronger for relatively larger firms or financially unconstrained firms with low leverage or financial slack, once credit supply is controlled for. We confirm the same results in the analysis of firm investment, suggesting that high uncertainty may transmit to investment and bank loans mainly through the real options effects.
{"title":"Uncertainty, Credit and Investment: Evidence from Firm-Bank Matched Data","authors":"Youngjune Kim, Seohyun Lee, Hyunjoon Lim","doi":"10.2139/ssrn.3481529","DOIUrl":"https://doi.org/10.2139/ssrn.3481529","url":null,"abstract":"This paper studies how high uncertainty affects corporate bank loans, addressing the important identification issue. In times of high uncertainty, firms reduce their credit demand due to delayed investments or a deterioration in their credit worthiness, while at the same time banks are more exposed to negative shocks to their balance sheet and thereby reduce credit supply. To isolate the uncertainty effect from the credit supply effect, we employ matched bank-firm loan data covering all loans extended by all financial intermediaries to the universe of listed firms in Korea, a bank-centered economy. Our empirical results reveal that a failure to control for credit supply leads to overestimation of the negative effect of uncertainty on bank loans. In addition, we find that the negative effect is stronger for relatively larger firms or financially unconstrained firms with low leverage or financial slack, once credit supply is controlled for. We confirm the same results in the analysis of firm investment, suggesting that high uncertainty may transmit to investment and bank loans mainly through the real options effects.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"219 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126109711","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}
In this paper, we investigate and compare the different patterns of intra-firm trade and arm's length trade during the global financial crisis. Intra-firm trade refers to the cross-border flow of goods between related parties, and armi¯s length trade refers to the cross-border flow of goods between unrelated parties. Using firm-level data from the Korean manufacturing sector from 2006 to 2009, we employ two approaches that complement each other, accounting decomposition and fixed effects regression analyses. Our accounting decomposition result reveals that aggregate-level intra-firm trade is more responsive to shocks during the global financial crisis compared to armi¯s length trade, particularly in durable goods industries. The decline in intra-firm trade during the crisis is largely driven by extensive margins while the changes in armi¯s length and total trade are largely driven by intensive margins. The fixed effects panel regression results show that firmsi¯ involvement in the global value chain is the most significant determinant for the decline in a firmi¯s trade growth during the crisis, where the negative effect is stronger for armi¯s length trade than for intra-firm trade, and is more pronounced in durable goods industries than in non-durable goods industries.
{"title":"Intra-firm and Arm's Length Trade During the Global Financial Crisis: Evidence from Korean Manufacturing Firms","authors":"M. Choi, Jihyun Eum","doi":"10.2139/ssrn.3348144","DOIUrl":"https://doi.org/10.2139/ssrn.3348144","url":null,"abstract":"In this paper, we investigate and compare the different patterns of intra-firm trade and arm's length trade during the global financial crisis. Intra-firm trade refers to the cross-border flow of goods between related parties, and armi¯s length trade refers to the cross-border flow of goods between unrelated parties. Using firm-level data from the Korean manufacturing sector from 2006 to 2009, we employ two approaches that complement each other, accounting decomposition and fixed effects regression analyses. Our accounting decomposition result reveals that aggregate-level intra-firm trade is more responsive to shocks during the global financial crisis compared to armi¯s length trade, particularly in durable goods industries. The decline in intra-firm trade during the crisis is largely driven by extensive margins while the changes in armi¯s length and total trade are largely driven by intensive margins. The fixed effects panel regression results show that firmsi¯ involvement in the global value chain is the most significant determinant for the decline in a firmi¯s trade growth during the crisis, where the negative effect is stronger for armi¯s length trade than for intra-firm trade, and is more pronounced in durable goods industries than in non-durable goods industries.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125494396","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 study examines the response of intraday options-implied volatilities to scheduled announcements of major macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility significantly increases around announcements of macroeconomic news and that the extent of the response is influenced by a variety of factors, including the type of macroeconomic indicators released, option type and economic conditions. Specifically, the increase in implied volatility around these announcements is more pronounced for puts than for calls. These effects are also more pronounced in the crisis and post-crisis periods than in the pre-crisis period. Monetary policy announcements have a more substantial impact on implied volatility than other announcements, even after controlling for news surprise components. Finally, the impact appears to be greater for policy rate hikes than for policy rate cuts.
{"title":"The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility","authors":"Jieun Lee, Doojin Ryu","doi":"10.2139/ssrn.3313223","DOIUrl":"https://doi.org/10.2139/ssrn.3313223","url":null,"abstract":"This study examines the response of intraday options-implied volatilities to scheduled announcements of major macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility significantly increases around announcements of macroeconomic news and that the extent of the response is influenced by a variety of factors, including the type of macroeconomic indicators released, option type and economic conditions. Specifically, the increase in implied volatility around these announcements is more pronounced for puts than for calls. These effects are also more pronounced in the crisis and post-crisis periods than in the pre-crisis period. Monetary policy announcements have a more substantial impact on implied volatility than other announcements, even after controlling for news surprise components. Finally, the impact appears to be greater for policy rate hikes than for policy rate cuts.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"1001 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123102896","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}
We investigate the relative roles of US economic policy uncertainty and global risk aversion in contributing to financial and macroeconomic fluctuations in small open economies (SOEs) using a panel of forty SOEs that includes both advanced economies (AEs) and emerging markets economies (EMEs). We find that SOEsi¯ financial and real economic activities respond smoothly and persistently to US policy uncertainty shocks, consistent with Bloom et al. (2018), while exhibiting relatively short-lived and robust reactions to US risk aversion shocks. A novel finding of this paper is that the responses of AEs and EMEs are asymmetric: AEs react more strongly to US policy uncertainty shocks while EMEs are more sensitive to risk aversion shocks. These results suggest that the channels through which each shock is transmitted to SOEs may vary.
{"title":"Which External Shock Matters in Small Open Economies? US Economic Policy Uncertainty vs. Global Risk Aversion","authors":"Youngjune Kim, Hyunjoon Lim","doi":"10.2139/ssrn.3260396","DOIUrl":"https://doi.org/10.2139/ssrn.3260396","url":null,"abstract":"We investigate the relative roles of US economic policy uncertainty and global risk aversion in contributing to financial and macroeconomic fluctuations in small open economies (SOEs) using a panel of forty SOEs that includes both advanced economies (AEs) and emerging markets economies (EMEs). We find that SOEsi¯ financial and real economic activities respond smoothly and persistently to US policy uncertainty shocks, consistent with Bloom et al. (2018), while exhibiting relatively short-lived and robust reactions to US risk aversion shocks. A novel finding of this paper is that the responses of AEs and EMEs are asymmetric: AEs react more strongly to US policy uncertainty shocks while EMEs are more sensitive to risk aversion shocks. These results suggest that the channels through which each shock is transmitted to SOEs may vary.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124233805","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}
In this study we analyze how the price impact of trades and the bid-ask spread are related to foreign stock ownership using data from 20 emerging markets. We show that while the price impact of trades increases with the percentage of shares held by foreign investors, the bid-ask spread decreases with foreign ownership. We interpret these results as evidence that although foreign investors increase adverse selection risks for liquidity providers, they bring net benefit to the market in terms of lower trading costs by increasing competition in the price discovery process. The general increase in foreign ownership in emerging markets after the global financial crisis resulted in higher price impacts and lower spreads. The two-stage least squares regression analysis suggests that our results are unlikely to be driven by reverse causality.
{"title":"Foreign Ownership and Stock Market Liquidity","authors":"Jieun Lee, Kee H. Chung","doi":"10.2139/ssrn.2614266","DOIUrl":"https://doi.org/10.2139/ssrn.2614266","url":null,"abstract":"In this study we analyze how the price impact of trades and the bid-ask spread are related to foreign stock ownership using data from 20 emerging markets. We show that while the price impact of trades increases with the percentage of shares held by foreign investors, the bid-ask spread decreases with foreign ownership. We interpret these results as evidence that although foreign investors increase adverse selection risks for liquidity providers, they bring net benefit to the market in terms of lower trading costs by increasing competition in the price discovery process. The general increase in foreign ownership in emerging markets after the global financial crisis resulted in higher price impacts and lower spreads. The two-stage least squares regression analysis suggests that our results are unlikely to be driven by reverse causality.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"44 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132496698","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}
The Republic of Korea is aging rapidly, as the average woman in her childbearing years gives birth to only 1.17 children ─ among the world’s lowest numbers as of 2016 ─ while people are also living longer. The country is projected to enter into the status of an aged society from 2018, with a share of the elderly in its population of 14.3%, and to become a super-aged society with a share of 20% in 2025. Population aging, characterized by low fertility rates and growing life expectancy, influences the whole economy: it alters macroeconomic variables such as output growth, consumption, the current account and inflation as well as household finance, the housing and labor markets, and the industrial structure. It also causes significant changes in the fiscal and monetary policy environment. It is therefore important to assess the impact of aging from a broad, long-term perspective, so as to prepare for it in advance. The Korean government set the low fertility rate and population aging as items on its national agenda back in 2004, and since 2006 has pursued three five-year plans to tackle these issues, albeit without visible results. Given that it takes at least a generation’s time to see the effects of a population policy, failing to identify and address the current shortcomings could lead to irreversible consequences later. Against this backdrop, the Bank of Korea has been conducting broad research to analyze the situation related to population aging and devise appropriate policies in response. Under the overarching title Population Aging: Impacts and Policy Imperatives, this volume contains 15 papers, including an assessment of the macro and long-run impacts of population aging, case studies of other countries, and evaluations of and suggestions for the policies as well as the governance framework in Korea. Following this introduction in Part 1, Part 2 provides an overview of how population aging is unfolding in Korea, after which Part 3 undertakes a comprehensive evaluation of the macroeconomic implications of population aging. Part 4 then looks into the impacts of population aging on the various economic sectors, and the related policy challenges. Lastly, Part 5 provides the economic outlook for Korea as population aging progresses, and suggests policy imperatives.
{"title":"Population Aging: Impacts and Policy Imperatives","authors":"Bank of Korea","doi":"10.2139/ssrn.3258199","DOIUrl":"https://doi.org/10.2139/ssrn.3258199","url":null,"abstract":"The Republic of Korea is aging rapidly, as the average woman in her childbearing years gives birth to only 1.17 children ─ among the world’s lowest numbers as of 2016 ─ while people are also living longer. The country is projected to enter into the status of an aged society from 2018, with a share of the elderly in its population of 14.3%, and to become a super-aged society with a share of 20% in 2025. Population aging, characterized by low fertility rates and growing life expectancy, influences the whole economy: it alters macroeconomic variables such as output growth, consumption, the current account and inflation as well as household finance, the housing and labor markets, and the industrial structure. It also causes significant changes in the fiscal and monetary policy environment. It is therefore important to assess the impact of aging from a broad, long-term perspective, so as to prepare for it in advance. The Korean government set the low fertility rate and population aging as items on its national agenda back in 2004, and since 2006 has pursued three five-year plans to tackle these issues, albeit without visible results. Given that it takes at least a generation’s time to see the effects of a population policy, failing to identify and address the current shortcomings could lead to irreversible consequences later. Against this backdrop, the Bank of Korea has been conducting broad research to analyze the situation related to population aging and devise appropriate policies in response. Under the overarching title Population Aging: Impacts and Policy Imperatives, this volume contains 15 papers, including an assessment of the macro and long-run impacts of population aging, case studies of other countries, and evaluations of and suggestions for the policies as well as the governance framework in Korea. Following this introduction in Part 1, Part 2 provides an overview of how population aging is unfolding in Korea, after which Part 3 undertakes a comprehensive evaluation of the macroeconomic implications of population aging. Part 4 then looks into the impacts of population aging on the various economic sectors, and the related policy challenges. Lastly, Part 5 provides the economic outlook for Korea as population aging progresses, and suggests policy imperatives.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"28 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123692411","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}
The size of the labor force will diminish with on-going population aging. However, the magnitude of the anticipated decline remains unclear and differs according to the choice of labor input measure. If the current patterns of gender- and age-specific labor supply would remain unchanged, it is projected that the number of employed population and the total hours of work will decrease to 88% and 83% of the current levels, respectively. The actual decline in labor inputs will heavily depend on long-term changes of labor supply, especially employment of the elderly and women as well as unemployment of younger people. Given that long-term trend of labor demand is highly unpredictable, it is difficult to determine whether a large-scale decline in the work force (if actually emerged) will cause significant labor shortages. Furthermore, the extent of labor shortage will widely differ across industries and across worker types because of sectoral disparities in labor-demand changes. Over the next 10~15 years, the overall size of labor inputs in Korea will not diminish. However, the exit of the baby boom generation from the work force can produce serious labor shortages in sectors with high and increasing fractions of aging workers. In particular, population aging will hit hard the industries in which the entry of young workers is insufficient to meet rapidly growing labor demand.
{"title":"인구고령화가 노동수급에 미치는 영향 (The Outlook and Challenges of Population Aging and Labor Market)","authors":"C. Lee, Jieun Lee","doi":"10.2139/ssrn.3055586","DOIUrl":"https://doi.org/10.2139/ssrn.3055586","url":null,"abstract":"The size of the labor force will diminish with on-going population aging. However, the magnitude of the anticipated decline remains unclear and differs according to the choice of labor input measure. If the current patterns of gender- and age-specific labor supply would remain unchanged, it is projected that the number of employed population and the total hours of work will decrease to 88% and 83% of the current levels, respectively. The actual decline in labor inputs will heavily depend on long-term changes of labor supply, especially employment of the elderly and women as well as unemployment of younger people. Given that long-term trend of labor demand is highly unpredictable, it is difficult to determine whether a large-scale decline in the work force (if actually emerged) will cause significant labor shortages. Furthermore, the extent of labor shortage will widely differ across industries and across worker types because of sectoral disparities in labor-demand changes. Over the next 10~15 years, the overall size of labor inputs in Korea will not diminish. However, the exit of the baby boom generation from the work force can produce serious labor shortages in sectors with high and increasing fractions of aging workers. In particular, population aging will hit hard the industries in which the entry of young workers is insufficient to meet rapidly growing labor demand.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126615240","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 연구는 세계 180개국 자료를 이용하여 노년 부양률과 유년 부양률의 변화 등 인구구조 변화가 경상수지에 미치는 영향을 분석하였다. 유년 부양률의 증가는 경상수지에 선형적으로 음의 영향을 주는 것으로 나타났고, 노년 부양률의 증가도 경상수지에 음의 영향을 주나 노년 부양률이 높아짐에 따라 음의 영향은 점차 작아지는 것으로 나타났다. 이러한 노년 부양률의 경상수지에 대한 비선형적인 영향은 기존 연구에서 발견되지 않은 새로운 결과로써 고령화가 경제구조와 경제주체의 행태, 경제정책 등에 영향을 미치게 되면 비선형적인 영향이 관측될 수 있다. 한국의 향후 인구구조변화의 가장 중요한 특징은 고령화가 급속히 진행됨에 따라 노년 부양률이 지속적으로 증가하는 것이라고 예상된다. 이러한 노년 부양률의 증가가 향후 경상수지에 부정적 영향을 미칠 가능성도 배제할 수 없으나, 인구구조변화에 대응한 경제구조와 경제주체들의 행태 변화 및 경제정책에 따라 그 영향이 달라질 것으로 예상된다. English Abstract: This paper investigates the impact of demographic changes on the current account by using the data for over 180 countries. We find a negative linear relationship between the youth dependency ratio and the current account. We also find a negative relationship between the elderly dependency ratio but the negative relationship weakens as the elderly dependency ratio increases. This non-linear effects of the elderly dependency ratio on the current account differentiates our findings from existing literatures. Population aging may affect economic agents’ behavior, economic structure, and economic policies, which may explain the non-linear effect. In Korea, the projected elderly dependency ratio is expected to increase sharply as aging population continues to rise. It is uncertain whether this spike in the old-dependency ratio would negatively affect the current account balance since the effect may change as population aging proceeds.
Korean Abstract:本研究利用世界180个国家的资料，分析了老年抚养率和幼年抚养率的变化等人口结构变化对经常收支产生的影响。幼年扶养率的增加对经常收支产生了线性的音的影响，老年扶养率的增加也对经常收支产生了音的影响，但是随着老年扶养率的提高，音的影响逐渐变小。这种对老年抚养率经常收支的非线性影响是在现有研究中没有发现的新结果，如果老龄化对经济结构和经济主体的形态、经济政策等产生影响，就可以观测到非线性的影响。据预测，韩国今后人口结构变化的最重要特征是，随着老龄化速度加快，老年抚养率持续增加。虽然不能排除老年抚养率的增加对今后的经常收支产生负面影响的可能性，但根据应对人口结构变化的经济结构和经济主体的形态变化及经济政策，其影响也会有所不同。English Abstract: This paper investigates of demographic changes on the current account by using the data for over 180 countries。We find a negative linear relationship between the youth dependency ratio and the current account。We also find a negative relationship between the elderly dependency ratio but the negative relationship weakens as the elderly dependency ratio increases。This non-linear effects of the elderly dependency ratio on the current account differentiates our findings from existing literatures。Population aging may affect economic agents ' behavior, economic structure, and economic policies, which may explain the non-linear effect。In Korea, the projected elderly dependency ratio is expected to increase sharply as aging population continues to rise。It is uncertain whether this spike in the old-dependency ratio would negatively affect the current account balance since the effect may change as population aging proceeds。
{"title":"인구구조변화와 경상수지 (Demographic Change and Current Account)","authors":"Kyungkeun Kim, Soyoung Kim","doi":"10.2139/SSRN.3009011","DOIUrl":"https://doi.org/10.2139/SSRN.3009011","url":null,"abstract":"<b>Korean Abstract:</b> 본 연구는 세계 180개국 자료를 이용하여 노년 부양률과 유년 부양률의 변화 등 인구구조 변화가 경상수지에 미치는 영향을 분석하였다. 유년 부양률의 증가는 경상수지에 선형적으로 음의 영향을 주는 것으로 나타났고, 노년 부양률의 증가도 경상수지에 음의 영향을 주나 노년 부양률이 높아짐에 따라 음의 영향은 점차 작아지는 것으로 나타났다. 이러한 노년 부양률의 경상수지에 대한 비선형적인 영향은 기존 연구에서 발견되지 않은 새로운 결과로써 고령화가 경제구조와 경제주체의 행태, 경제정책 등에 영향을 미치게 되면 비선형적인 영향이 관측될 수 있다. 한국의 향후 인구구조변화의 가장 중요한 특징은 고령화가 급속히 진행됨에 따라 노년 부양률이 지속적으로 증가하는 것이라고 예상된다. 이러한 노년 부양률의 증가가 향후 경상수지에 부정적 영향을 미칠 가능성도 배제할 수 없으나, 인구구조변화에 대응한 경제구조와 경제주체들의 행태 변화 및 경제정책에 따라 그 영향이 달라질 것으로 예상된다. <b>English Abstract:</b> This paper investigates the impact of demographic changes on the current account by using the data for over 180 countries. We find a negative linear relationship between the youth dependency ratio and the current account. We also find a negative relationship between the elderly dependency ratio but the negative relationship weakens as the elderly dependency ratio increases. This non-linear effects of the elderly dependency ratio on the current account differentiates our findings from existing literatures. Population aging may affect economic agents’ behavior, economic structure, and economic policies, which may explain the non-linear effect. In Korea, the projected elderly dependency ratio is expected to increase sharply as aging population continues to rise. It is uncertain whether this spike in the old-dependency ratio would negatively affect the current account balance since the effect may change as population aging proceeds.","PeriodicalId":251645,"journal":{"name":"Bank of Korea Economic Research Institute Research Paper Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130210027","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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