서울대학교 중앙도서관
S-Space 소개
My S-Space
로그인이 필요합니다.
Login

S-Space

Publications

Detailed Information

Three Essays on Global Diversification, Structural Demand Estimation, Credit Card Interest Rate : 글로벌 분산투자, 구조적 수요추정, 신용카드 대출이자율에 관한 세 가지 연구

DC Field Value Language
dc.contributor.advisor김소영-
dc.contributor.authorYoon, Jong Mun-
dc.date.accessioned2017-07-13T17:02:41Z-
dc.date.available2017-07-13T17:02:41Z-
dc.date.issued2015-08-
dc.identifier.other000000066721-
dc.identifier.urihttps://hdl.handle.net/10371/120486-
dc.description학위논문 (박사)-- 서울대학교 대학원 : 경제학부, 2015. 8. 김소영.-
dc.description.abstractThis paper is composed of three essays. First essay analyzes the effectiveness of international small-cap funds on portfolio diversification by using MSCI monthly indices covering small and large-cap funds from 24 countries. We found that global integration has eroded the benefits of diversifying investments across different countries and cap-based stocks. It provides the implication to find lower correlation assets than small-cap funds on portfolio diversification.
Second essay estimates demand of online daily deal sites by using the structural demand estimation methodology such as BLP, Modified BLP, RCNL. It solves problems of IIA (Independence of Irrelevant Alternatives) and allow us to estimate demand function of individual level even though we dont have individual sales data. As a result of structural estimation, we found that sales period for online daily deal had a negative impact on total sales. a one-day extension of the sale time period will decrease the products weekly market share by 15.1%. It could be explained by Attention Economy and Search Cost.
Last essay analyzes how macroeconomic variables affect credit card interest rate. Previous studies dont have considered them even though it is possible that macroeconomic factors affect household default risk which is directly related to credit card interest rate. This paper sets up a model by adding household default risk to Stango (2002)s switching cost model. We found that macroeconomic variables affect credit card interest rate significantly. Additionally, cost of fund, interest cap, and delinquency rate affect credit card interest rate significantly, but switching costs dont.		-
dc.description.tableofcontentsI. Introduction 1

Ⅱ. The Effectiveness of International Small-cap Stocks on Portfolio Diversification 4
1. Introduction 4
2. Data Sets and Fundamental Statistics 8
2.1 Data for analysis 8
2.2 Risk-return characteristics and the Sharpe ratio 9
2.2.1 Full-hedge scenario 11
2.2.2 No-hedge scenario 15
2.3 Correlations with international funds 17
2.3.1 Full-hedge scenario 17
2.3.2 No-hedge scenario 19
3. Empirical Analysis 21
3.1 Model 21
3.2 Mean-variance spanning test: Small-cap funds 23
3.2.1 Full-hedge scenario 23
3.2.2 No-hedge scenario 27
3.2.3 Analysis on the sensitivity to the global financial crisis 31
3.3 Return structures and variance decomposition 32
4. Conclusion 37
Appendix Ⅰ 40

Ⅲ. Demand Estimation of Online Daily Deals using Structural Models 47
1. Introduction 47
2. Literature review 49
3. Market share and sales period 50
3.1 Definition of Market share 50
3.2. Sales period 52
4. Data and model 54
4.1. Data 54
4.2. Econometric model 56
4.2.1 Conditional Logit Model 56
4.2.2 BLP (1995) Model 58
4.2.3 Modified BLP Model 60
4.2.4 Random Coefficient Nested Logit (RCNL) Model 61
4.3 Estimation Method 63
4.3.1 Calculation of Market Share 63
4.3.2 Estimation steps 64
4.4 Instrument variable 65
5. Results 66
6. Conclusions and discussions 71
Appendix Ⅱ 72

IV. Analysis on the Effect of Macroeconomic Factors to Credit Card Interest Rate 77
1. Introduction 77
2. Regulation changes and status in Korea 79
2.1. Regulations related to credit card interest rate 79
2.2. Credit card interest rate trend 82
3. Literature review 85
4. Model 90
4.1. Theoretical Model 90
4.2. Econometirc Model 92
5. Empirical Analysis 94
5.1. Data 94
5.2. Summary Statistics 96
5.3. Results 99
5.3.1 Unit root test 99
5.3.2 Empirical Results 100
6. Conclusion 107
Appendix Ⅲ 109

References Ⅰ 111

References Ⅱ 113

References Ⅲ 116		-
dc.formatapplication/pdf-
dc.format.extent1386065 bytes-
dc.format.mediumapplication/pdf-
dc.language.isoen-
dc.publisher서울대학교 대학원-
dc.subjectGlobal Diversification-
dc.subjectStructural Demand-
dc.subjectDemand Estimation-
dc.subjectCredit Card Interest Rate-
dc.subjectBLP-
dc.subjectPortfolio Diversification-
dc.subject.ddc330-
dc.titleThree Essays on Global Diversification, Structural Demand Estimation, Credit Card Interest Rate-
dc.title.alternative글로벌 분산투자, 구조적 수요추정, 신용카드 대출이자율에 관한 세 가지 연구-
dc.typeThesis-
dc.contributor.AlternativeAuthor윤종문-
dc.description.degreeDoctor-
dc.citation.pagesvii, 121-
dc.contributor.affiliation사회과학대학 경제학부-
dc.date.awarded2015-08-
Appears in Collections:
Files in This Item:

Altmetrics

Item View & Download Count

Show Simple Item Record
Find it @ SNU

  • mendeley

Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

Share

qrcode
SNS Share