유동성 및 화폐수요함수의 변화에 관한 연구

장병기 ( Byoung Ky Chang ) 한국경제통상학회 2011 경제연구 Vol.29 No.1

The main purpose of this study is to explore how the money and liquidity demand functions have changed. To analyze the money demand functions, Gregory and Hansen`s cointegration, Johansen`s cointegration, and ARDL Bounds test were employed. Additionally, Stock and Watson`s DOLS method was applied to estimate long-run cointegraton vectors. There were no cointegration relationships among money demand, real income, and interest rate in more than a half of the tested models. However, by including additional variables(short-run interest rate, stock price, real estate price, exchange rate, foreign interest rate, stock price volatility, exchange rate volatility, etc.) on the tested models, we could find strong cointegration relationships among money demand, real income, interest rate, and additional variables in all tested models. The result implies that additional variables are crucial in the long-run equilibrium relationship. The effective additional variables on money demands are different according to the time period in Korea. Before the foreign exchange crisis, exchange rate and short-term interest rate were meaningful variables to explain money demands. However, after the foreign exchange crisis, stock price and stock price volatility were more effective factors influencing on money demands. It would be resulted from the radical increase of the importance of stock market in the Korean financial market after the foreign exchange crisis.

환율과 금융변수 간 수익률 및 변동성 연관관계

장병기(Byoung-Ky Chang) 한국무역연구원 2018 무역연구 Vol.14 No.5

The purpose of this research is to explore the relationship between exchange rate and 12 financial variables in order to find useful implications to predict the movement of short-term exchange rate. As a result of using various analytical techniques such as univariate GARCH, VAR, multivariate GARCH, cointegration, and VECM, we found some valuable information on exchange rate movement. First, the KOSPI is considered as the most useful financial variable affecting short-term exchange rate changes. Second, CDS premium, S&P500, and foreign net stock buying are also meaningful variables that affect the short-term exchange rate. Third, when the Korean won depreciates, factors of instability in the domestic financial market (i.e., falling stock price, rising stock market risk, and rising country default risk) also accompany such currency depreciation. When the won appreciates, the dollar value depreciates relative to major countries’ currencies. Fourth, the volatility of the dollar index is the only variable that affects the volatility of the exchange rate. Fifth, the CDS premium is the most useful financial variable affecting long-term exchange rate changes since the CDS premium and exchange rate are in long-term equilibrium relationship. The exchange rate, not the CDS premium, adjusts for deviation from the long-term equilibrium.

주가.기대심리.거시경제변수의 장기균형 관계 :Cointegration을 중심으로

장병기,최종일,Chang, Byoung-Ky,Choi, Jong-Il 한국재무관리학회 2001 재무관리연구 Vol.18 No.2

본 연구는 선행연구들과 달리 경제변수로 설명할 수 없는 경제주체들의 심리적 요소가 주가에 영향을 미칠 수 있다는 관점에서 주가와 거시경제변수 및 경제주체들의 기대심리간의 장기 균형 및 동학구조관계를 분석한다. 주가는 기업의 내재가치를 나타내며 이는 상당부분 현재와 미래의 경제상황에 의해 영향을 받을 것이다. 미래경제상황을 정확히 예측할 수는 없으나 경제 주체들은 미래경제상황을 예측하게 되며 그 예측은 주가에 반영될 수 있다. 검증결과 BSI 전망치와 같은 경제주체들의 기대심리가 주가결정에 가장 중요한 단일 변수인 것으로 나타났다. 이변량 공적분검증을 실시한 결과 실질주가지수는 BSI와 장기균형관계에 있는 반면 다른 거시경제변수와는 공적분관계에 있지 않은 것으로 나타났다. 다변량 공적분분석에서도 BSI가 포함된 경우에만 KOSPI/P와 장기균형관계에 있는 것으로 나타났다. 벡터오차수정모형으로 동태적 관계를 분석한 결과, 이변량과 다변량 분석 모두에서 이들 두 변수의 오차수정항이 통계적으로 유의하여 장기균형으로부터 이탈에 대하여 상호 조정하는 것으로 나타났다.

중국 화폐수요에 대한 부동산 및 주식시장의 영향력

조생량(Shengliang Zhao),박정일(Jung Il Park),장병기(Byoung Ky Chang) 한국아시아학회 2015 아시아연구 Vol.18 No.3

본 연구는 중국의 화폐수요에 대한 부동산 가격 및 주식 가격의 변동으로 인한 자산효과를 분석하였다. 자료의 한계를 극복하기 위해 ARDL 한계검정법을 적용하여 분석한 결과, 화폐수요에 대한 장기균형관계에 있어서 자산시장(특히 부동산시장)의 중요성을 확인할 수 있었다. 한계검정법을 적용한 결과 자산가격을 포함하는 경우에만 공적분관계(장기균형관계)가 존재하며 자산가격을 포함하지 않을 경우에는 공적분관계가 존재하지 않는 것으로 나타났다. 보다 정확한 장기 영향력을 확인하기 위해 DOLS와 FMOLS를 이용하여 공적분 벡터를 추정한 결과, 부동산가격은 모든 모형에서 유의한 정(+)의 영향력을 보이는 것으로 나타나 화폐수요에 대한 부동산 시장의 소득효과를 다시 한번 확인할 수 있었다. 한편 주식시장의 경우 화폐수요에 대한 효과가 부동산시장보다 미약한 것으로 나타났다. M1에 대해서는 하나의 모형에서만 유의한 정(+)의 영향력이 확인되었고 M2에 대해서는 두 개의 모형에서 유의한 부(-)의 영향력이 확인되었다. 본 연구의 결과는 통화정책 수립 시 자산시장(특히 부동산시장)의 영향을 고려하여야 함을 암시한다. This research aims to analyze the effect of stock and real estate prices on the demand for money in China. We assessed the demand for money1 (M1) and money2 (M2) units in China through using Johansen``s cointegration and ARDL-bounds test. In addition, not only Stock and Watson``s DOLS but Phillips and Hansen``s FMOLS methods were applied to estimate long-run cointegration vectors. The result of ARDL-bounds test shows that asset markets, especially the real estate market, are critical in the long-run equilibrium relationship. There are no cointergration relationships among money demand, real GDP, interest rate and exchange rate in both M1 and M2 models. By adding asset prices in the tested models, we could find strong cointegration relationships on the other hand. Additionally, the results of DOLS and FMOLS confirmed that both real estate and stock price are a valuable factor influencing upon the demand for money. Particularly, the coefficient of real estate price is statistically significant in all the models. These research results imply that the monetary policy should take into account asset price changes.

외환위기 이후 국내외 금융변수간의 동태적 관계변화

장병기(Byoung-Ky Chang) 한국무역학회 2002 무역학회지 Vol.27 No.4

This study is to explore whether the relationship among financial markets changed according to capital market liberalization (especially after the foreign currency crisis). For this study, data analysis was conducted through cointegration, vector error correction model(VECM), impulse response function, variance decomposition, etc. In study results, it was found that dynamic relationships among domestic stock price index, domestic interest rate and won/dollar exchange rate were changed after the foreign currency crisis. The long-term relationship between stock price index and interest rate was changed from negative to positive after the foreign currency crisis. It may be resulted from the fact that asset substitutability between stock and bond was increased since stock investment became popularized. The long-term relationship between stock price index and exchange rate was also changed from negative to positive after the foreign currency crisis. The reason may come from the increased dependency of domestic economy on foreign export. After the foreign currency crisis, foreign financial factors has increasingly affected on Korean financial markets including stock, bond, and foreign currency markets. Specifically, the effect of US financial market on Korean stock and bond markets was significantly increased while the effect of Japanese market was little. However, won/dollar exchange rate shows its tendency following yen/dollar exchange rate.

외환 및 자본자유화에 따른 환율결정요소의 변화

장병기(Byoung-Ky Chang) 한국무역학회 2001 무역학회지 Vol.26 No.4

Under foreign exchange and capital movement liberalization, government role on exchange rate can be decreased while the demand and supply's effect on exchange rate can be increased. This study analyzed economic variables' effects on exchange rate determination with a synthetic model of exchange rate theories. The analysis was done by time period of the level of liberalization. The result of the period of insufficient liberalization, indicated that the model based on free market economy does not explain the movement of exchange rate well. However, in the period of mature liberalization, the explanation capability of the model was much improved. This result means that the mechanism of exchange rate is determined by the condition of foreign exchange's demand and supply under foreign exchange and capital liberalization. Although first-order autocorrelation of exchange rate variation was high in the period of insufficient liberalization, it became very low in the period of mature liberalization. From this result, we can find exchange rate reacts for the change of economic factors instantly under foreign exchange and capital liberalization. In particular, after the crisis of foreign exchange, the demand and supply of foreign exchange (e.g., current account balance and capital account balance) became main factors for the determination of exchange rate. Co-movement pattern of won/dollar and yen/dollar exchange rates under foreign exchange and capital liberalization, is resulted in increasing power of foreign exchange market participants such as hedgers and arbitrageurs.

금융시장간 전이효과의 시간가변성

장병기 ( Byoung Ky Chang ) 한국금융공학회 2013 금융공학연구 Vol.12 No.3

In this article, we use the variance decomposition results from a generalized VAR and the corresponding spillover index given by Diebold and Yilmaz(2012) to explore the time-varying properties of spillovers across Korean financial markets. Through these analyses, we find several remarkable results. First, the spillovers across financial markets have an increasing trend, but fluctuate periodically. The upward trend of spillover is consistent with a continuous increase in financial market integration. Second, the magnitude of spillovers has an inverse relationship with economic conditions. The fact that spillover increases during a economic recession suggests that the negative news considerably affect across all financial markets. Third, although the leading and following markets are changed at the lapse of time, stock market is the most dominant net transmitter of spillover, and foreign exchange market is the net receiver of spillover for many time windows. It implies that, in order to stabilize the financial markets, the stock market stability is most important.

항만 도선사의 수에 영향을 미치는 결정요인 분석

장병기(Byoung-ky Chang),조찬혁(Chan-hyouk Cho) 한국국제상학회 2007 國際商學 Vol.22 No.1

  Port infrastructure includes facilities, service networks, and other institutional aspects (such as pilotage service) required to meet the needs of customers. As port service has expanded to include a larger number of activities, deciphering what is the optimum number of pilots working at ports has becomes increasingly important. This paper examines what factors are influencing the number of pilots working in Korea"s ports. These analyses provide insights into such matters as the relationship between the number of pilots and their personal income, the size of the gross tonnage (GT) under transport, the number of ships visiting Korean ports, and the tonnage of cargo at those ports. Test results indicate that the traffic volume of exports and imports is more important for determining the number of pilots than number of vessels. Also, a positive increase in the per capita income of pilots has a negative impact on the number of pilots. However, incomes is less effective at predicting pilot numbers than traffic volume.

중국 단동항의 항만개발 투자전략

장병기(Byoung-Ky Chang),하명신(Myung-Shin Ha),최순권(Soon-Gwon Choi) 한국무역학회 2004 무역학회지 Vol.29 No.3

This study aims to suggest the entry strategy for Dandong port development on the basis of financial analysis. The analysis presents that there are no positive results on basic conditions in the port developments but somewhat good results for the reductions of tax and of more than 34% of construction costs. It is expected that considering a rapidly increasing economy in China and a significant economic exchange between Korea and China in the foreseeable future, the entry for the Dandong port development will be made by stages. As Korean government is specially trying to develop Korean peninsular as the center of logistics activities in Northeast Asian countries, it will be necessary for the foundation of global logistics networks.

한국의 REITs, 부동산인가? 주식인가?

장병기(Byoung-Ky Chang),심성훈(Sung-Hoon Sim) 한국주택학회 2007 주택연구 Vol.15 No.2

  The purpose of this study is to examine the sensitivity (beta) of returns on REITs to returns on other asset classes, including unsecuritized real estate, stock and macroeconomic variables, based on the arbitrage pricing theory. The results show that returns on REITs are not affected by a systematic risk of stock market but influenced by return on the real estate market. This finding implies that REITs market is more highly linked with the direct property market rather than to the stock market in Korea. In addition, REITs does not provide effective hedge against unexpected inflation, and most of the macroeconomic risk factors do not influence returns on REITs.<BR>  The findings of this study yield some implications for the nature of the relationship among REITs, stock and real estate markets. First, the introduction of REITs to the Korean asset markets is not likely to make a large contribution for the close nexus between real estate and financial markets yet. Second, the weak influence of stock return on the REITs market suggests that REITs can be a substitute for the direct real estate in combing a portfolio with financial asset such as stock and bonds.   본 연구는 APT 모형에 기초한 다요인모형(multi-factor model)을 이용하여, 우리나라 REITs 시장의 특성을 분석하는 데에 주목적을 두었다. 또한 거시경제변수들을 종속변수로 포함시켜 REITs 수익률에 대한 거시경제변수들의 영향력도 비교 분석하였다. 본 연구의 실증결과에 의하면, 주식시장의 체계적 위험이 REITs 시장에는 영향을 주지 않는 것으로 나타나 REITs의 주식성향은 매우 낮은 것으로 나타났다. 반면, 부동산가격상승률은 5개 종목 중 3개 종목에서 REITs 수익률에 유의한 양(+)의 영향을 주는 것으로 나타났다. 이는 우리나라의 REITs가 주식으로써의 성향보다는 부동산에 가까운 속성을 갖는 것으로 볼 수 있다. 또한 REITs의 경우 인플레이션에 대한 헤지 능력이 미미한 것으로 나타났다. 이밖에도 환율 및 유가와 같은 경제변수들도 REITs의 수익률에 미치는 영향력이 크지 않은 것으로 밝혀져, 전체적으로 REITs를 설명하는 거시경제변수의 예측오차(innovation)가 매우 한계적(marginal)인 것으로 나타났다.<BR>  본 연구의 실증결과는 다음과 같은 시사점을 제공한다. 먼저 우리나라 REITs는 부동산으로써의 특징은 존재할지 모르나 아직까지는 주식시장에 편입되는 부분이 미약하다고 할 수 있다. 따라서 부동산증권화의 일환으로 도입된 REITs가 부동산시장과 금융시장과의 연계에 실질적으로 기여한 부분은 그리 크다고 할 수 없으며, 이는 우리나라 REITs 시장이 아직까지는 초기 단계에 있기 때문인 것으로 보인다. 둘째, 주식시장과의 연계가 적다는 것은 REITs가 주식 및 채권을 포함하는 금융자산의 포트폴리오를 구성하는데 있어서 실물 부동산을 대체할 수 있는 가능성이 크다는 것을 시사한다.