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

S-Space

Publications

Detailed Information

The Effects of Iceberg Costs on the Volatility of Real Exchange Rates : 거래비용 도입에 따른 실질환율 변동성 연구

DC Field Value Language
dc.contributor.advisor김소영-
dc.contributor.author황설웅-
dc.date.accessioned2017-07-19T12:32:53Z-
dc.date.available2017-07-19T12:32:53Z-
dc.date.issued2013-02-
dc.identifier.other000000008688-
dc.identifier.urihttps://hdl.handle.net/10371/134567-
dc.description학위논문 (석사)-- 서울대학교 대학원 : 경제학부, 2013. 2. 김소영.-
dc.description.abstract실질환율 변동성 퍼즐은 국제금융 분야에서 논의되고 있는 난제 중 하나이다. 기존의 IRBC 모형의 경우 이 문제에 대하여 충분한 설명을 하지 못하고 있다. 본 논문은 일반적인 IRBC 모형에서 국가간 무역시 발생하는 거래비용을 도입하여 실질환율의 변동성 및 지속성을 설명한다. 높은 거래비용 및 수입재화와 국내재화 간의 높은 대체탄력성을 가정한다면 모델을 통하여 이러한 실질환율 변동성 문제를 어느 정도 설명할 수 있으며 다른 국제금융분야의 퍼즐들에 대해서도 설명력을 갖는 것으로 나타났다.-
dc.description.abstractThe fact that real exchange rates are highly volatile is one of the puzzles in international macroeconomics. Standard real business cycle models cannot explain this issue. This paper introduces the transportation costs in IRBC model to explain real exchange rates fluctuations. And this paper shows that a model with the high level of transportation costs and elasticity of substitution can reproduce high volatility of real exchange rates and explain other puzzles in international macroeconomics.-
dc.description.tableofcontents1. Real Exchange Rate Puzzle 1
2. Home Bias in Trade Puzzle 4
3. The effects of introducing the iceberg costs 5
4. Estimates of the elasticity of substitution between imported and domestically produced commodities 7
5. The Model 11
5.1 Households 12
5.2 Iceberg cost 14
5.3 Firms 14
5.3.1 Final Good Producers 15
5.3.2 Intermediate Good Producers 16
5.4 The Processes for TFP 16
5.5 Equilibrium 17
5.5.1 Households Equilibrium Conditions 17
5.5.2 Intermediate goods producers maximization conditions 18
5.5.3 Final goods producers maximization conditions 18
5.5.4 Market Clearing Conditions 19
5.6 Defining and Deriving Real Exchange Rate 19
6. Results 21
6.1 Discussing the Home Bias in Trade Puzzle 21
6.2 Consumption real exchange rate anomaly 21
6.3 Discussing The Feldstein-Horioka puzzle 23
6.4 The international consumption correlations puzzle is still a puzzle 25
6.5 RER Volatility and Persistency 27
7. Conclusion 31
8. References 32
9. Appendix 35

List of Figures

[Figure 1] Current Account movements 25
[Figure 2] RER Impulse Response results in θ=5 30

List of Tables

[Table1] Meansand Standard deviations of 24-month indexes of RER volatility quarterly observed from 1975I through 1984 III 1
[Table 2] Sector level results of the elasticity of substitution for the German economy 8
[Table 3] Selected cross-correlations between real exchange rate and relativeconsumption 22
[Table 4] Matrix of Correlation (Iceberg Costs 0%) 22
[Table 5] Matrix of Correlation (Iceberg Costs 30%) 23
[Table 6]Standard deviation of Current-Account (θ=5,ω=0.51) 25
[Table 7] International Comovements in OECD Economics 26
[Table 8](Corr(Y,Y*), Corr(C,C*)) 26
[Table 9] RER Volatility (standard deviation) 29		-
dc.formatapplication/pdf-
dc.format.extent1680719 bytes-
dc.format.mediumapplication/pdf-
dc.language.isoen-
dc.publisher서울대학교 대학원-
dc.subjectvolatility-
dc.subjectpersistency-
dc.subjecticeberg cost-
dc.subjectelasticity of substitution-
dc.subjectpuzzle-
dc.subject실질환율-
dc.subject변동성-
dc.subject지속성-
dc.subject거래비용-
dc.subject대체탄력성-
dc.subject퍼즐-
dc.subjectreal exchange rate-
dc.subject.ddc330-
dc.titleThe Effects of Iceberg Costs on the Volatility of Real Exchange Rates-
dc.title.alternative거래비용 도입에 따른 실질환율 변동성 연구-
dc.typeThesis-
dc.contributor.AlternativeAuthorHwang Seol Woong-
dc.description.degreeMaster-
dc.citation.pagesiv, 41-
dc.contributor.affiliation사회과학대학 경제학부-
dc.date.awarded2013-02-
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