Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society

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Journal of Economic Theory and Econometrics
Journal of the Korean Econometric Society

Journal of Economic Theory and Econometrics (JETEM) is a peer-reviewed, internet-based, open-access international journal aiming to publish high-quality papers in all areas of economics. JETEM is the official publication of the Korean Econometric Society, carrying papers written either in English or in Korean. In this web-site, all English articles are fully downloadable free of charge; for Korean articles, only the title and the abstract in English are provided along with a fee-based link to the full text.

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Recently Published Articles

Volume 30, Issue 3 (September 2019)

Abstract | PDF (708 kilobytes)

No abstract is available for this article.

Market-Based Executive Compensation Contract under Endogenous Information Acquisition, Pages 1–49

Guangsug Hahn, Joon Yeop Kwon

Abstract | PDF (249 kilobytes)

The study investigates how a publicly traded firm's liquidation value and stock price are used in an executive compensation contract when information acquisition in the asset market is endogenized. If the inside owner offers marketbased compensation contract to the risk-averse manager, the inside owner expects higher utility than when stock prices are excluded from the contract. If information cost displays an intermediate value, changes in the exogenous parameters generate the direct effect and the indirect effect via the information market. Finally, we find that the market-based compensation contract contributes to the increase of social welfare.

A New Approach to Social Welfare: tax-pension combination, Pages 50–87

Yong-Jin Kim, Chul-In Lee

Abstract | PDF (3407 kilobytes)

We view social welfare as a system that redistributes resources (i) within a generation and (ii) across generations so as to maximize social wellbeing. By setting tax and expenditure institutions properly, we implement optimal social welfare. Notable are the following implications: (i) in the presence of rising earnings inequality, redistribution within a generation is more important than that across generations. Fiscal policies in this line need to be stressed. (ii) Under low rates of population and economic growth, redistribution in the form of pensions loses its efficacy and therefore should not be encouraged for welfare reasons. This point has also been supported by pension reforms in many welfare states. Our preliminary calibration analysis confirms these conclusions numerically.

Monte Carlo Evidences on Finite Sample Performances of the Simulated Integrated Conditional Moment Estimator for the Binary Choice Model, Pages 88–99

Hosin Song

Abstract | PDF (140 kilobytes)

In this paper, I propose a simulated integrated conditional moment (SICM) estimator for the binary choice model. The asymptotic property of the proposed SICM estimator is explored via Monte Carlo experiment since its asymptotic theory has not been fully developed. In particular, the SICM estimator is compared with method of simulated moment (MSM) and ML estimators by adopting a simple parametric distributional setup in the experiment. The experiment results show that the proposed SICM estimator is valid in the sense that it is consistent and its Monte Carlo variance decreases by 1=n times as the sample size increases. In particular, it is found that the variance of the SICM estimator is approximately twice that of the MSM estimator with one simulator.

Test of Block Zero Restrictions in Factor Loadings, Pages 100–112

Chirok Han, Dukpa Kim

Abstract | PDF (156 kilobytes)

As a companion paper to Han and Kim (2019) on testing for block zero restrictions in common factors, this paper proposes a test of block zero restrictions in factor loadings, which have empirical relevance in various topics in economics. The test statistic is constructed using the principal component estimate of factor loadings and has a chi-square distribution asymptotically under the null hypothesis of block zero restrictions. The test is applied to a panel of 132 monthly U.S. macro economic time series, which are classified into three groups. The test results show a multi-level structure in factor loadings.


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