Testing for Nonlinear Threshold Cointegration in the Monetary Model of Exchange Rates with a Century of Data...... Junsoo Lee·Mark C. Strazicich
화페모형에 의한 환율 결정 이론의 비선형 문턱 공적분 검정: 100년간 자료를 중심으로 … 이준수·마크 스트래지시히

The monetary model suggests that nominal exchange rates between two countries will be determined by important macroeconomic variables. The existence of a cointegrating relationship among these fundamental variables is the backbone of the monetary model. In a recent paper, Rapach and Wohar (2002, Journal of International Economics) advance the literature by testing for linear cointegration in the monetary model using a century of data to increase power. They find evidence of cointegration in five or six of ten countries. We extend their work to the nonlinear framework by performing threshold cointegration tests that allow for asymmetric adjustments in two regimes. Asymmetric adjustments in exchange rates can occur, for example, if transactions costs are present or if policy makers react asymmetrically to changing fundamentals. Moreover, whereas Rapach and Wohar (2002) found it necessary to exclude the relative output variable in some cases to maintain the validity of their cointegration tests, we can include this variable as a stationary covariate to increase power. Overall, using their same long-span data, we find more support for cointegration in a nonlinear framework.



Analyzing the Effect of Changes in the Benchmark Policy Interest Rate Using a Term Structure Model
이자율 기간구조를 이용한 정책금리 변경의 효과 분석...... 송준혁

This paper estimates the term structure of interest rates with the setup of 3-factor no arbitrage model and investigates the trend of term premia and the effectiveness of changes in policy interest rates. The term premia are found to be high in a three-year medium term objective, which can be interpreted as reflecting the recognition of investors who expect a higher uncertainty in real activities for the coming three years than for a longer term. Then, in order to look into the effect of policy interest rates after the recent change of benchmark interest rate, this paper analyzes the effects of the changes in short-term interest rates of the financial market on the yield curve of the bond market at time of change. Empirical results show that the discrepancy between call rate, short-term rate in money market, and instantaneous short rate, short-term rate in the bond market, is found to be significantly widened, comparing to the periods before the change in benchmark interest rate. It is not easy to conclude clearly for now whether such a widening gap is caused by the lack of experiences with managing new benchmark interest rate or is just an exceptional case due to the recent turmoil in the global financial market. However, monetary policy needs to be operated in a manner that could reduce the gap to enhance its effectiveness.



Changes in the Business Cycle of the Korean Economy: Evidence and Explanations
한국 경기변동의 특징 및 안정성에 대한 연구...... 이재준

With a relatively simple quantitative method, this study comprehensively analyzes the characteristics related to business cycles represented by macroeconomic variables of Korea since 1970. This empirical analysis deals with roughly following three topics: How to identify cyclical component with respect to trend; with what characteristics and how the economic variables of each sector move with in the phases of business cycle, and; whether there are signs of a structural change in the phases of business cycle.
Section 2 discusses how to identify trends and cycle components, the basis assumption for the analysis of business cycle. Like the Korean economy, where a relatively high growth rate has been maintained, it is appropriate to determine its economic recession based on the fall in the growth trend, not in the absolute level of real output. And, it is necessary to apply the concept of growth cycle against a traditional concept of business cycle. Accordingly the setting of growth trend is of preliminary importance in identifying cyclical fluctuations. The analysis of Korea’s GDP data since 1970, the decomposition of trends and cycles through the Band-pass filter is found to appropriately identify the actual phases of busyness cycle. Section 3 analyzes what particular relationship various economic variables have with output fluctuations during the phases of economic cycle, using the corss-correlation coefficients and prediction contribution. Section 4 monitors the stability of the phases of Korea’s business cycle and quantitatively verifies whether there is a structural break, and then reviews the characteristics of variations in each sector. And, stylized facts observed through these studies are summarized in the conclusion.
The macroeconomic stability of Korea, in particular, is found to continue to improve since 1970, except for the financial crisis period. Not only that, it is found that its volatility of economic growth rate as well as inflation have been reduced gradually. Meanwhile, until recently since 2000, the volatility in domestic demand has remained stable, while that in exports and imports has been increased slightly. But, in an over all perspective, Korea’s business cycle variation is on the decline due to shorter response period to shocks and the formation of complementary relationship among economic sectors.



Market Power of Internet Portals with Direct and Indirect Network Externality
직·간접 네트워크 외부성하에서 인터넷포털 기업의 시장력 분석...... 진양수

In the internet portal industry, the indirect network externality from portal visitors to advertisers and the direct network externality among portal visitors have important implications for anti-trust policies. This paper examines the existence and the magnitude of the direct/indirect network externality in the Korean internet portal industry and measures its effect on the market power of the internet portals. The results show that the direct/indirect network externality is substantive in the industry hence the market share of a portal in the visitors' side has the ‘leverage’ effect on its market power in the advertisers’side.



The Impacts of Smoking Bans on Smoking in Korea
금연법 강화가 흡연에 미치는 영향...... 김범수·김아람

There is a growing concern about potential harmful effect of second-hand or environmental tobacco smoking. As a result, smoking bans in workplace become more prevalent worldwide. In Korea, workplace smoking ban policy become more restrictive in 2003 when National health enhancing law was amended. The new law requires all office buildings larger than 3,000 square meters (multi-purpose buildings larger than 2,000 square meters) should be smoke free. Therefore, a lot of indoor office became non smoking area. Previous studies in other counties often found contradicting answers for the effects of workplace smoking ban on smoking behavior. In addition, there was no study in Korea yet that examines the causal impacts of smoking ban on smoking behavior. The situation in Korea might be different from other countries. Using 2001 and 2005 Korea National Health and Nutrition surveys which are representative for population in Korea we try to examine the impacts of law change on current smoker and cigarettes smoked per day. The amended law impacted the whole country at the same time and there was a declining trend in smoking rate even before the legislation update. So, the challenge here is to tease out the true impact only. We compare indoor working occupations which are constrained by the law change with outdoor working occupations which are less impacted. Since the data has been collected before (2001) and after (2005) the law change for treated (indoor working occupations) and control (outdoor working occupations) groups we will use difference in difference method. We restrict our sample to working age (between 20 and 65) since these are the relevant population by the workplace smoking ban policy. We also restrict the sample to indoor occupations (executive or administrative and administrative support) and outdoor occupations (sales and low skilled worker) after dropping unemployed and someone working for military since it is not clear whether these occupations are treated group or control group. This classification was supported when we examined the answers for workplace smoking ban policy existing only in 2005 survey. Sixty eight percent of indoor occupations reported having an office smoking ban policy compared to forty percent of outdoor occupation answering workplace smoking ban policy. The estimated impacts on current smoker are 4.1 percentage point decline and cigarettes per day show statistically significant decline of 2.5 cigarettes per day. Taking into account consumption of average sixteen cigarettes per day among smokers it is sixteen percent decline in smoking rate which is substantial. We tested robustness using the same sample across two surveys and also using tobit model. Our results are robust against both concerns. It is possible that our measure of treated and control group have measurement error which will lead to attenuation bias. However, we are finding statistically significant impacts which might be a lower bound of the true estimates. The magnitude of our finding is not much different from previous finding of significant impacts. For cigarettes per day previous estimates varied from 1.37 to 3.9 and for current smoker it showed between 1%p and 7.8%p.



Growth of Felonies after the 1997 Financial Crisis in Korea
외환위기 이후 흉악범죄의 증가와 정부의 범죄억지정책...... 김두얼·김지은

The Korean economy successfully overcame the macroeconomic downturns driven from the Asian financial crisis in a very short period of time. The economic shock, however, generated a variety of social problems, one of which was the increase in felonies (homicides, robbery, rape, and arson), or degradation of public safety.
We argue that the Korean criminal policy has not been effective to ameliorate the rising trends in crime caused by the financial crisis. In order to substantiate this claim, we assess the effectiveness of criminal policy: policing, sentencing, and corrections.
First, there has been resource shortage in policing since the 1997 financial crisis. For the past ten years, the investment of human resource and budget in the police has been virtually stagnant, as well as in prosecutors’ investigation activities. The insufficient resource allocation in policing caused a huge decline in arrest rates and prosecution rates.
Second, the Korean judicial system has not increased the severity of punishment. Comparing the pre- and the post-financial crisis period, the average length of prison sentence by the courts has declined. Given the degrading in the quality of crime and the decreasing amount of inputs into the policing and prosecution, the government should have increased the severity of punishment to deter crime.
Third, we found that the government hired more officers and allocated larger budget into prison and probation. However, it is difficult to suggest that the increased level of resources in correctional programs have been effective in preventing released prisoners from committing future crimes. This is because the number of repeat offenders convicted of more than a third offense increased dramatically since 1997, pushing felonies upward.
In sum, the government organizations failed to respond respectively or to make coordinated actions, eventually causing a dramatic increase in crimes. This research brings explicit policy implications. In order to prevent possible additional degradation of public safety, the government must put more efforts into increasing the effectiveness of policy and to investing more resources into said policies. We also emphasize the importance of the institutional mechanisms which foster policy coordination among the Police, the Prosecutor’s Office, the Ministry of Justice, and other relevant government organizations.



The Role of Extensive and Intensive Margins in Korean Exports to China
우리나라 대중국 수출에서의 수출 집약도 및 다양도의 역할...... 이시욱

This paper examines relative contributions of extensive margin and intensive margin of Korean exports growth to China after 1990s’, based on an analytical approach proposed by the Hummels and Klenow(2005). In this paper, extensive margin is defined as a weighted count of Korean exports categories relative to the rest of world’s export categories to China. On the other hand, intensive margin refers to Korean exports to China relative to the rest of the world’s exports to China, exclusively in those product categories that Korea exports to China.
According to the results of the analysis, the expansion of Korean exports to China was induced mainly by the increase of intensive margin. This result is consistent with Besede and Prusa(2007) as well as the Helpman, Melitz and Rubinstein(2007) who suggest that intensive margin is a more important factor than extensive margin for sustaining growth of export in the long term.
In addition, this paper shows that the survival rates of exports of parts and components and capital goods is relatively higher in comparison to those of primary and consumption goods. This implies that the expansion of international division of labor under the global production network could substantially affect the survival of exports.



Declines in Exchange Rate Pass-through to Export Prices in Korea
우리나라 수출가격에 대한 환율전가율 변화...... 이항용·김현욱

This paper investigates changes in the extent of exchange rate pass-through to export price in Korea. First, empirical results show that export prices have become less responsive to the exchange rate since the financial crisis in 1997. The decline of exchange rate pass-through to export prices suggests that Korean exporters are more likely to use profit margins to absorb part of the impact of exchange rate changes, consistent with pricing to market phenomenon. Second, this paper finds asymmetries in the response of export prices to exchange rate changes. In the post-crisis period. appreciations are more likely to be offset by markup adjustment than depreciations. Third, this paper documents that a significant portion of the decline of exchange rate pass-through is a result of both increased volatility of exchange rate and increased competition with China in the world market.

1.Testing for Nonlinear Threshold Cointegration in the Monetary Model of Exchange Rates with a Century of Data...... Junsoo Lee·Mark C. Strazicich
화페모형에 의한 환율 결정 이론의 비선형 문턱 공적분 검정: 100년간 자료를 중심으로

Ⅰ. Introduction
Ⅱ. Monetary Model and Testing for Threshold Cointegration
Ⅲ. Empirical Results
Ⅳ. Conclusion References


2.이자율 기간구조를 이용한 정책금리 변경의 효과 분석...... 송준혁
Analyzing the Effect of Changes in the Benchmark Policy Interest Rate Using a Term Structure Model

Ⅰ. 서 론
Ⅱ. 모형 설정
Ⅲ. 자료 및 추정
Ⅳ. 정책금리 변경의 효과 분석
V. 결 론
참 고 문 헌


3.한국 경기변동의 특징 및 안정성에 대한 연구...... 이재준
Changes in the Business Cycle of the Korean Economy: Evidence and Explanations

Ⅰ. 서 론
Ⅱ. 국내 경기변동요인의 식별
Ⅲ. 거시경제변수의 경기변동상의 일반적 특징
Ⅳ. 경기순환과정의 안정성에 대한 분석
Ⅴ. 결 론 참 고 문 헌 부 록


4.직·간접 네트워크 외부성하에서 인터넷포털 기업의 시장력 분석...... 진양수
Market Power of Internet Portals with Direct and Indirect Network Externality

Ⅰ. 서 론
Ⅱ. 선행 연구
Ⅲ. 국내 인터넷포털 산업
Ⅳ. 데이터
Ⅴ. 모 형
Ⅵ. 추 정
Ⅶ. 추정 결과
Ⅷ. 네트워크 외부성 분석
Ⅸ. 결 론 참 고 문 헌


5.금연법 강화가 흡연에 미치는 영향...... 김범수·김아람
The Impacts of Smoking Bans on Smoking in Korea

Ⅰ. 서 론
Ⅱ. 문헌 연구
Ⅲ. 한국의 금연정책들
Ⅳ. 실증분석
Ⅴ. 회귀분석 결과
Ⅵ. 추정의 안정성 확인
Ⅶ. 결 론
참 고 문 헌


6.외환위기 이후 흉악범죄의 증가와 정부의 범죄억지정책...... 김두얼·김지은
Growth of Felonies after the 1997 Financial Crisis in Korea

Ⅰ. 서 론
Ⅱ. 범죄억지정책의 틀
Ⅲ. 흉악범죄의 추이
Ⅳ. 정부의 범죄억지정책
Ⅴ. 맺음말 참 고 문 헌


7.우리나라 대중국 수출에서의 수출 집약도 및 다양도의 역할...... 이시욱
The Role of Extensive and Intensive Margins in Korean Exports to China

Ⅰ. 문제의 제기
Ⅱ. 문헌 조사
Ⅲ. 실증분석
Ⅳ. 요약 및 결론
참 고 문 헌


8.우리나라 수출가격에 대한 환율전가율 변화...... 이항용·김현욱
Declines in Exchange Rate Pass-through to Export Prices in Korea

Ⅰ. 서 론
Ⅱ. 수출물가의 추이와 추정모형의 설정
Ⅲ. 환율전가율의 추정 결과
Ⅳ. 환율전가율의 비대칭성
V. 환율전가율 하락의 요인에 대한 분석
참 고 문 헌
부 록