Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Volume 23, Issue 4 (December 2012)




Cover pages
Abstract | PDF (513 kilobytes)

No abstract is available for this article.


A New Method for Estimating and Simulating Maximum Entropy Densities, Pages 261–277

Jae-Young Kim, Joonhwan Lee

Abstract | PDF (1183 kilobytes)

The maximum entropy (maxent) approach provides an attractive and appealing method for obtaining a probability distribution in some limited information environments. The maxent approach, however, is not easy to use for practical application since analytic derivation of a maxent density is usually not feasible. This paper proposes a method of estimating and simulating an maxent density. It is a numerically tractable and stable method that is relatively simple in real computation. The proposed method is capable of handling problems for which existing methods are difficult to apply or are subject to occasional failure. Monte Carlo results confirm that the proposed method can be well applied for cases when existing methods are subject to occasional failure.


Macro-Finance Term Structure Analysis Using Structural Vector Autoregression, Pages 278–311

Jaeho Yun

Abstract | PDF (1839 kilobytes)

This paper analyzes the macro-finance term structure model for the Korean government bonds by using the dynamic Nelson-Siegel model. We investigate the impulse responses of the term structure to structural shocks by converting the reduced-form VAR implied by the dynamic Nelson-Siegel model into the structural VAR representation. Our emprical analysis provides the following. First, from the in- and out-of-sample analysis, we find that the macro-finance term structure model provides a better fit than other models such as the random walk model and the yield-only model. Second, the impulse response analysis from structural VAR model shows that the effect of macro economy on the yield curve is more statistically substantial than the effect of the yield curve on the macro economy. Among the yield curve factors, in particular, the ``slope'' factor of the yield curve sensitively responds to the macro shocks. Lastly, we decompose the bond yields with various maturities into the expectation and term premium components. We find that changes in the short rates are mainly driven by variations of the expectation component, while the long rates are mostly driven by variations of the term premium component. The longer the maturity of the term premium is, the bigger effect it receives from the shocks of yield curve factors rather than those of the macro economic factors.


Youth Unemployment over the Business Cycle: An Analysis of Job-finding and Job-separation Hazards, Pages 312–338

Jaeryang Nam, Chul-In Lee

Abstract | PDF (1609 kilobytes)

We analyze and document youth unemployment over the business cycle. Unlike the received wisdom from the recent macroeconomics that changes in job-finding hazard are the main driving force of unemployment dynamics, we find that both job-finding and job-separation hazards are equally important elements that account for unemployment dynamics in Korea. We find some evidence that not only job instability has been increased but labor allocation efficiency has been improved. Some useful implications are discussed for better understanding of macroeconomy and labor market policies.


A GARCH Model Using $S_U$-normal Distribution and Skewed $t$ Copula, Pages 339–369

Pilsun Choi, Insik Min

Abstract | PDF (1441 kilobytes)

Many financial researches have paid attention to capturing a comovement of financial time series in risk management subjects. In this article, we propose a multivariate GARCH model using a skewed t copula that is chosen as one of the most flexible copula specifications. We also employ an $S_U$-normal distribution as a marginal distribution in the GARCH modelling. In practice, we provide simulation comparisons and empirical analyses generated by this combination of copula and margin. For the empirical application, we select KOPSI, KOSDAQ for stock price and yen/dollar, dollar/euro for exchange rate. Our proposed copula specification is compared with multivariate normal distribution and multivariate $S_U$-normal distribution models.

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