Examinations of the Restructured Korea Economy

• 발행기관: 한국자료분석학회
• 저자명: Sang Young Jei Hyun-seok Yang A Ra Cho
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.12 No.4, 1753~1760쪽, 전체 8쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2010.08.30

영문 초록

In this paper, the constant conditional correlation(Bollerslev, 1990)-multivariate threshold GARCH(Glosten, Jaganathanm and Runkle, 1993) procedure is used to model the relationship between the renovated Korea economies and asymmetry effects after the financial crisis. These is one hypothesis: the insulation effect hypothesis. In terms of shortand long-run domestic shock and foreign shock, volatility of short-run domestic increases by 0.0261, while that of short-run foreign shocks decreases. However, volatility of long-run shock decreases for domestic and foreign shocks, respectively. Therefore, these results indicate that stable Korea economy has better insulation effects for the long-run period.

목차

Ⅰ. Introduction

Ⅱ. The Model

Ⅲ. Data and Empirical Results

Ⅳ. Conclusion

References

키워드

Financial Crisis CCC-BTGARCH The insulation effects Asymmetric effects