repository
한국시장에서의 피셔효과 재검정
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 심규철 | - |
| dc.contributor.author | RHEE KANG KEUN | - |
| dc.date.accessioned | 2019-10-21T07:24:53Z | - |
| dc.date.available | 2019-10-21T07:24:53Z | - |
| dc.date.issued | 2015-02 | - |
| dc.identifier.other | 18878 | - |
| dc.identifier.uri | https://dspace.ajou.ac.kr/handle/2018.oak/18648 | - |
| dc.description | 학위논문(석사)--아주대학교 일반대학원 :금융공학과,2015. 2 | - |
| dc.description.tableofcontents | List of Figures and Tables ii Acknowledgements iii Abstract iv Introduction 1 Research 4 Literature Review 7 Empirical Analysis 12 Conclusions 27 References 28 | - |
| dc.language.iso | eng | - |
| dc.publisher | The Graduate School, Ajou University | - |
| dc.rights | 아주대학교 논문은 저작권에 의해 보호받습니다. | - |
| dc.title | 한국시장에서의 피셔효과 재검정 | - |
| dc.title.alternative | Kang Keun Rhee | - |
| dc.type | Thesis | - |
| dc.contributor.affiliation | 아주대학교 일반대학원 | - |
| dc.contributor.alternativeName | Kang Keun Rhee | - |
| dc.contributor.department | 일반대학원 금융공학과 | - |
| dc.date.awarded | 2015. 2 | - |
| dc.description.degree | Master | - |
| dc.identifier.localId | 695732 | - |
| dc.identifier.url | http://dcoll.ajou.ac.kr:9080/dcollection/jsp/common/DcLoOrgPer.jsp?sItemId=000000018878 | - |
| dc.subject.keyword | 피셔효과 | - |
| dc.description.alternativeAbstract | 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. | - |
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
- Files in This Item:
- There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.
-
- License
- STATISTICS
- Total Visit :3,546,499
- Total Download :1,795
- Today View :8,863
