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JOURNAL OF ECONOMIC RESEARCH update

  • : 한양대학교 경제연구소
  • : 사회과학분야  >  경제학
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  • : 연속간행물
  • : 연3회
  • : 1226-4261
  • : 2713-6418
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수록정보
수록범위 : 1권1호(1996)~26권2호(2021) |수록논문 수 : 327
JOURNAL OF ECONOMIC RESEARCH
26권2호(2021년 08월) 수록논문
최근 권호 논문
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KCI등재

1Has the RMB expanded the Efficient Frontier of the SDR?

저자 : Sheng Liu , Choon-won Park

발행기관 : 한양대학교 경제연구소 간행물 : JOURNAL OF ECONOMIC RESEARCH 26권 2호 발행 연도 : 2021 페이지 : pp. 105-130 (26 pages)

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In November 2015, the IMF decided to include the Chinese yuan, which is also called Renminbi (RMB), in the SDR basket currency, and it was implemented from 1 October 2016. The purpose of this study is to analyze whether the SDR denominated bond has become more profitable by adding the RMB into the SDR currency basket. Interest rate and foreign exchange rate data of major currencies such as USD, EUR, GBP, JPY, CNY were used, and the Sharpe ratio comparison and spanning test show that inclusion of the RMB expands the efficient frontier of the SDR. This result is due to the high interest rate of RMB-denominated bonds and the higher foreign exchange gains from the RMB. As China still maintains comparatively high interest rates, the effect of SDR's efficient frontier expansion by including RMB is likely to continue for some time

KCI등재

2Revisiting the Prebisch-Singer hypothesis in the era of globalization

저자 : Ismay Jahan , S. M. Woahid Murad , Md. Sabbir Hossain

발행기관 : 한양대학교 경제연구소 간행물 : JOURNAL OF ECONOMIC RESEARCH 26권 2호 발행 연도 : 2021 페이지 : pp. 131-158 (28 pages)

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This study revisits the validity of the Prebisch-Singer hypothesis in the era of globalization using monthly data from 1986M1 to 2019M7. To identify the trend and different stationary processes, we have estimated the linear unit root test of Elliott, Rothenberg, and Stock (1996), the nonlinear unit root test of Kapetanios, Shin and Shell (2003) and, finally, the LM unit root test of Lee and Strazicich (2003) which considers two structural breaks. Out of twenty-four primary commodities, thirteen commodities are trendless while nine of the remaining have a negative trend, and the remaining two have a positive trend. Furthermore, most of the food items follow a trend stationary process implying a temporary effect of shocks. On the other hand, most non-food and metal commodities follow a different stationary process, indicating that shocks' effect is permanent. Finally, these ambiguous findings hardly support the Prebisch-Singer hypothesis and conclude that this hypothesis could not be a generally accepted phenomenon in the globalized era.

KCI등재

3The optimum size of public education spending: the evidence from the developed, developing and transition economies

저자 : Ivan D. Trofimov

발행기관 : 한양대학교 경제연구소 간행물 : JOURNAL OF ECONOMIC RESEARCH 26권 2호 발행 연도 : 2021 페이지 : pp. 159-190 (32 pages)

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The paper examines the presence of positive effect of public education spending in a panel of 50 developed, developing and transition economies (over the 1980-2012 period) on the level and growth of output, and, provided such effect holds, considers the optimal provision of public education spending. The econometric methodology relies on panel unit root and cross-sectional dependence tests, panel regression with fixed effects, and panel quantile model with fixed effects. It is demonstrated that public education spending is productive at the margin under alternative specifications, and has positive externalities on the private economy, while the factor productivity in the government sector is higher than in the private. For the panel as a whole, the public education tended to be under-provided (the optimal level of 5.05% of GDP compared to the actual average level of 4.14% of GDP); however, the over-provision is observed in the slow-growing economies in the lower quantiles.

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4Cyclically adjusted price to earnings (CAPE) ratio and the federal funds rate

저자 : Jack Dorminey , Eric Olson , Mark E. Wohar

발행기관 : 한양대학교 경제연구소 간행물 : JOURNAL OF ECONOMIC RESEARCH 26권 2호 발행 연도 : 2021 페이지 : pp. 191-208 (18 pages)

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We investigate the risk-taking channel of monetary policy phenomenon through a joint examination of the level of interest rate and the Cyclically Adjusted Price to Earnings (CAPE) ratio. First, using the methodology outlined by Bai and Perron (2003), we identify four distinct regimes in the federal funds rate. The CAPE ratio levels across the four federal fund regimes suggest that low rates are negatively correlated with the CAPE ratio. However, we estimate a SVAR and find that the level of the federal funds only has a significant effect in the high interest rate regime.

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