Does excluding food and energy prices from the Consumer Price Index (CPI) produce a measure that captures permanent price changes? To examine this question we decompose CPI inflation and “core” inflation into their permanent and transitory components using a correlated unobserved components...

Does excluding food and energy prices from the Consumer Price Index (CPI) produce a measure that captures permanent price changes? To examine this question we decompose CPI inflation and “core” inflation into their permanent and transitory components using a correlated unobserved components...

We study the time varying effects of monetary policy on stock returns in order to capture changes over time on this transmission channel. We find that a one-percentage point surprise increase on the federal funds rate decreases the one-day stock return by 1.33% during the period 1989 to 2000 and...

Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the U.S. asset markets (stocks, corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and...

Korean Abstract: 본 연구는 14개 은행, 1999~2005의 연도별 데이터를 가지고 은행의 대형화․겸업화가 은행리스크에 미치는 영향을 분석하였다. 은행의 안정성을 나타내는 지표로 Z-index, 은행업주가지수에 대한 개별은행의 체계적...

Korean Abstract: 본 연구의 목적은 세계적인 추세에 부합하는 활발한 MRA(Mutual Recognition Arrangement) 체결에 맞춰 정보통신기기의 상호 인정의 효과를 측정함으로써 무역상대국과의 MRA 적용에서 품목 선정과 속도 조절에 대한...

The dissertation studies a model of an economy which produces and exportsdurable goods. It analyzes the optimal monetary policy for such a country.Generally, monetary policy has a bigger economic effect on durable goods relative tonon-durable goods because durable goods can be stored and...