Examinations of the Restructured Korea Economy
- Sang Young Jei Hyun-seok Yang A Ra Cho
- 한국자료분석학회
- Journal of The Korean Data Analysis Society (JKDAS)
- Vol.12 No.4
- 등재여부 : KCI등재
- 2010.08
- 1753 - 1760 (8 pages)
In this paper, the constant conditional correlation(Bollerslev, 1990)-multivariate threshold GARCH(Glosten, Jaganathanm and Runkle, 1993) procedure is used to model the relationship between the renovated Korea economies and asymmetry effects after the financial crisis. These is one hypothesis: the insulation effect hypothesis. In terms of shortand long-run domestic shock and foreign shock, volatility of short-run domestic increases by 0.0261, while that of short-run foreign shocks decreases. However, volatility of long-run shock decreases for domestic and foreign shocks, respectively. Therefore, these results indicate that stable Korea economy has better insulation effects for the long-run period.
Ⅰ. Introduction
Ⅱ. The Model
Ⅲ. Data and Empirical Results
Ⅳ. Conclusion
References