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한국시장에서의 피셔효과 재검정
- Alternative Title
- Kang Keun Rhee
- Author(s)
- RHEE KANG KEUN
- Alternative Author(s)
- Kang Keun Rhee
- Advisor
- 심규철
- Department
- 일반대학원 금융공학과
- Publisher
- The Graduate School, Ajou University
- Publication Year
- 2015-02
- Language
- eng
- Keyword
- 피셔효과
- Alternative Abstract
- This research looks into the Fisher effect in the Korean market with the case-wise bootstrapping method which was originally developed by Efron (1979). The strength of using case-wise bootstrapping method, according to Davidson and Hinkley (1999), is the robustness to nonnormality and heteroskedasticity. The main assumption of this research is that there exists a structural break in the macroeconomic data of Korean economy, and as mentioned by Hatemi-J (2011), it needs to be considered in order to find a full Fisher effect. The Korean economy was critically affected by the East Asian financial crisis from 1997 to 1998, and this gives a good reason to assume a structural break in the Korean market data. Although past Korean literatures have suggested its possible existence, it was not tested in detail. This research examines the possibility of such break, and confirms that there is a break in the Korean macroeconomic data. The empirical results from this research show that the bootstrapping method gives accurate estimates of real interest rates before and after the structural break point. However, the data showed that structural breaks do not affect the relationship between the nominal interest rate and inflation and the regression becomes distorted when the data directly related to the structural break period are not excluded in the analysis. The main question is whether the Fisher effect can be noticed before and after the structural break point, and it is shown in this study that the Fisher effect cannot be found both before and after the structural break point. However, the Fisher effect is discovered when no data are excluded, and the assumption of a structural break is not necessary.
- Fulltext
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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