论文

Flows and Asset Price: An Empirical Study in Korea

关键词

参考文献 查看全部 ↓
  • Bank of Korea, Annual Report (2014).
  • Caballero, Ricardo J., and A. Krishnamurthy, “Bubbles and Capital Flow Volatility: Causes and Risk Management,” Social Science Electronic Publishing 53 (1) (2006):35-53.
  • Cooley, Thomas F., and M. Dwyer, “Business Cycle Analysis without Much Theory a Look at Structural VARs,” Journal of Econometrics 83(1) (1998): 57-88.
  • Hendry, David F., and J. Katarina, “Explaining Cointegration Analysis: Part 1,” Energy Journal 21 (1) (2000):1-42.
  • Taguchi, Hiroyuki, P. Sahoo, and G. Nataraj, “Capital Flows and Asset Prices: Empirical Evidence from Emerging and Developing Economies,” MPRA Paper 141(2015):1-14.
  • Foreign Direct Investment Trends and Statistics, the World Bank(2010).
  • Johansen, Soren, “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica 59 (6) (1991):1551-1580.
  • Johansen, Soren, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. (Oxford: Oxford University Press, 1995).
  • Lee, Ki Seong, and S. Yoon, “Interrelationships and Volatility of the Financial Asset Prices under Capital Flows: the Case of Korea,” Economic Modelling 24 (3) (2007):386-397.
  • Kim, Soyoung, and D. Y. Yang, “The Impact of Capital Inflows on Asset Prices in Emerging Asian Economies: Is Too Much Money Chasing Too Little Good?” Open Economies Review 22(2) (2011):293-315.
  • Forbes, Kristin J., and F. E. Warnock, “Capital Flow Waves: Surges, Stops, Flight, and Retrenchment,” Journal of International Economics 88(2) (2012):235-251.
  • Lee, Keun Yoeng, “An Analysis of Volatility and Correlation Coefficients in Domestic Financial Markets,” Kyong Je Hak Yon Gu 51 (3) (2003):53-96.
  • Lee, Ki Seong, and Ryou, Jai-Won, “Analysis of the Interrelation among Financial Asset Prices under Capital Flows,” The KonKuk Journal of Business and Economic Studies 29 (2) (2004):111-133.
  • Mackinnon, James G., and H. L. Michelis, “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,” Journal of Applied Econometrics 14 (5) (1999):563-577.
  • Oh, Jeongkeun, “Correlation among Interest Rates, Stock Prices, Exchange Rates, and Current Account Balance in an Open Economy with the Booming Stock Market,” (in Korean) mimeo, the Bank of Korea (2000).
  • Ostry, Jonathan D., A. R. Ghosh, K. Habermeier, M. Chamon, M.S. Qureshi, D.B.S. Reinhardt, “Capital Inflows: The Role of Controls,” IMF Staff Position Note (2010).
  • Statistic Yearbook of Korea, Annual Report (2009).
  • Statistic Yearbook of Korea, Annual Report (2010).

Flows and Asset Price: An Empirical Study in Korea

可试读20%内容 PDF阅读 阅读器阅览

试读已结束,剩余80%未读

¥26.48 查看全文 >

VIP免费

论文目录

  • 1 Introduction
  • 2 Background
    1. 2.1 Trends of Capital Flow
    2. 2.2 Trends of Asset Prices
    3. 2.3 Policy Responses
  • 3 Literature Review
  • 4 Episodes of Surges, Stops, Flights, and Retrenchment
    1. 4.1 Capital Flows
    2. 4.2 Direct Investment
    3. 4.3 Portfolio Investment
    4. 4.4 Other Investment
  • 5 Methodology
    1. 5.1 Descriptive Statistics
    2. 5.2 Empirical Model
    3. 5.3 Exclusion Restrictions
  • 6 Empirical Results
    1. 6.1 Statistics Summary
    2. 6.2 Unit Root Test
    3. 6.3 Cointegration Test
    4. 6.4 Granger Causality Test
    5. 6.5 Impulse Responses
  • 7 Conclusion

论文图片/图表

查看更多>>>