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JOURNAL OF ECONOMIC RESEARCH update

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수록정보
수록범위 : 1권1호(1996)~27권1호(2022) |수록논문 수 : 335
JOURNAL OF ECONOMIC RESEARCH
27권1호(2022년 05월) 수록논문
최근 권호 논문
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KCI등재

저자 : Yujie Zhang , Deokwoo Nam

발행기관 : 한양대학교 경제연구소 간행물 : JOURNAL OF ECONOMIC RESEARCH 27권 1호 발행 연도 : 2022 페이지 : pp. 1-22 (22 pages)

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This paper uses a time series of investors' expectations of future stock market returns, which is proposed by Greenwood and Shleifer (2014), as a new proxy for expectations of future economic developments. Incorporating this measure of expectations into otherwise standard VAR models and implementing the approach of sign restrictions to identify news shocks, we provide empirical evidence in favor of the news-driven business cycles hypothesis. New shocks identified by exploiting movements in the measure of investors' expectations are found to induce a generalized boom of the economy that is associated with delayed and permanent increases in total factor productivity, but not with its current improvements.

KCI등재

저자 : Eunwoo Song , Jinhyung Cho

발행기관 : 한양대학교 경제연구소 간행물 : JOURNAL OF ECONOMIC RESEARCH 27권 1호 발행 연도 : 2022 페이지 : pp. 23-52 (30 pages)

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This paper verifies the effects of the changes in the price limit in the KOSPI market by conducting a comparative analysis on stock price's volatility under the 15% and 30% price limit. We employ time series data for all individual stocks from January 2, 2001 to December 31, 2020. In particular, the focus of our research is to verify the Volatility Spillover Hypothesis, Delayed Price Discovery Hypothesis and Trading Interference Hypothesis. First, analysis for Volatility Spillover Hypothesis indicates that volatility spillover takes place as stocks trade at their limit price. However, after the price limit expands, the volatility spillover for stocks that previously failed to reach the limit decreases. Second, the result for the Delayed Price Discovery Hypothesis suggests that although the price spillover takes place during the trading its price limit, the price spillover for groups that have failed to reach the limit price significantly decreases after the expansion of the price limit. Lastly, the result for the Trading Interference Hypothesis indicates that after the price limit expands, the trading interference decreases as stock price reaches its price limit. In all hypotheses tested, it seems apparent that the volatility in the KOSPI market gradually decreased as a result of the expansion of the price limit.

KCI등재

저자 : Eric Iksoon Im , Sang-hyop Lee , Tam Bang Vu , Hyun Kyung Kim

발행기관 : 한양대학교 경제연구소 간행물 : JOURNAL OF ECONOMIC RESEARCH 27권 1호 발행 연도 : 2022 페이지 : pp. 53-67 (15 pages)

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This paper formally establishes tighter-than-known connectivity between Least Squares (LS) estimators and Leontief's input-output (I/O) model. First, this study shows that the nexus between partial and total derivatives of the general function of a given number of independent variables is identical to the one between LS estimators of regression coefficients. Second, this study presents that the nexus between the coefficients is exactly represented by Leontief's I/O model. Third, this study shows that the Leontief matrix therefrom is positive-definite as long as regressor collinearity is less than perfect, satisfying the Hawkins-Simon condition. Finally, this study derives Cramer/Leontief alternative to Frisch/Waugh/Lovell theorem.

KCI등재

저자 : Siwook Lee , Seungju Kim

발행기관 : 한양대학교 경제연구소 간행물 : JOURNAL OF ECONOMIC RESEARCH 27권 1호 발행 연도 : 2022 페이지 : pp. 69-84 (16 pages)

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This paper investigates the impact of exports on Korean economic growth since its economic take-off period in the 1960s, employing the import-adjusted GDP decomposition method and the related export multiplier. Our results indicate that the direct contribution of net exports to GDP growth was 27.2% over the period 1960-2019, equivalent to 2.1 percentage points per annum over the last six decades. This figure is truly a remarkable one, taking into consideration that the average growth rates of developed and developing countries were 3.1% and 3.4% over the same period, respectively. We also find that, while the direct contribution of net exports to GDP growth remained undiminished at the later stages of economic development, the indirect impact of exports via their stimulation of domestic demand was the major source of exports' contribution to growth at the take-off period in the 1960-70s.

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