Measuring a Composite Indicator of Systemic Stress in Korea
- 주제(키워드) CISS , Real estate market , Systemic stress , Financial crisis , Exponentially weighted moving average
- 주제(DDC) 332
- 발행기관 아주대학교
- 지도교수 유재인
- 발행년도 2023
- 학위수여년월 2023. 2
- 학위명 석사
- 학과 및 전공 일반대학원 금융공학과
- 실제URI http://www.dcollection.net/handler/ajou/000000032794
- 본문언어 영어
- 저작권 아주대학교 논문은 저작권에 의해 보호받습니다.
초록/요약
This paper develops a composite indicator of systemic stress (CISS) for Korea to enhance early warning of financial crisis. The index includes money, bond, equity, financial intermediaries, foreign exchange market based on Hollo, et al(2012). Especially in Korea, real estate accounts for high proportion of individual assets. Therefore, author propose to incorporate real estate market into index to reflect financial industry fully. The methodology to aggregate subindices is application of portfolio theory considering time-varying cross correlations between subindices. To find out real impact on CISS, analysis is conducted when real estate market included or excluded. It is important to forecast future value of CISS to prepare financial crises. In this paper, author uses Vector Autoregressive with other macro variables. Although it is less predictive than the infrequent leading economic index, it has a higher predictive power than other indexes that show financial instability.
more목차
Ⅰ. Introduction 1
Ⅱ. Literature review 1
Ⅲ. Data 2
1. Money market 2
2. Bond market 3
3. Equity market 4
4. Financial intermediaries 4
5. Foreign exchange market 5
6. Real estate market 5
Ⅳ. Methodology 7
1. Construction of CISS based on Portfolio Theory 7
2. Calculation of time-varying correlation coefficient 7
Ⅴ. Empirical Analysis 9
1. The impact of including real estate market 9
2. Forecasting model 11
Ⅵ. Conclusion 11
Ⅶ. Reference 12
Ⅷ. Appendix 13
