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Three Essays on Global Diversification, Structural Demand Estimation, Credit Card Interest Rate : 글로벌 분산투자, 구조적 수요추정, 신용카드 대출이자율에 관한 세 가지 연구
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- Authors
- Advisor
- 김소영
- Major
- 사회과학대학 경제학부
- Issue Date
- 2015-08
- Publisher
- 서울대학교 대학원
- Keywords
- Global Diversification ; Structural Demand ; Demand Estimation ; Credit Card Interest Rate ; BLP ; Portfolio Diversification
- Description
- 학위논문 (박사)-- 서울대학교 대학원 : 경제학부, 2015. 8. 김소영.
- Abstract
- This 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.
- Language
- English
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