Journal of Insurance and Finance 2021 KCI Impact Factor : 0.67

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pISSN : 2384-3209

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2012, Vol.23, No.2

  • 1.

    Wavelet Analysis of the Linkage between Call Rate and Yield Curve in Korea

    Park Chang Gyun , 허석균 | 2012, 23(2) | pp.3~44 | number of Cited : 3
    Abstract PDF
    Our paper explores the dynamic relationship between the call rate and the term structure of interest rates. Under inflation targeting regime, the monetary authority intends to change the shape of the yield curve by adjustingshort-term interests rate such as the call rate in Korea, the movement of which, in turn, is anticipated to influence the yields of bonds with varying maturities. Employing wavelet transformation known for its flexibility and effectiveness in dealing with time series data, we investigate the relationship between the movement of call rate and that of the yield curve to fill the gap untouched by the current literature. We choose an orthogonalized wavelet filter, Daubechies wavelets, and apply it to the time series of various interest rates with different maturities to obtain five wavelet details and a wavelet approximation, whose sum, by definition, equals to the corresponding original time series. Jointly with these properties of an orthogonal wavelet method, the no-arbitrage conditions in the bond market are extended to hold for each wavelet detail and wavelet approximation. Based on the extended bond market equilibrium conditions, we construct VAR/VECM models with the decomposed time series by frequencies. A couple of important empirical findings merit our attention. First, the shorter the time scale of a wavelet detail and time to maturity, the stronger the tie between the movement of the call rate and the consequent movement of the yield curve. Second, we could discern the liquidity effect from the Fisher effect as each effect manifests itself on different time scales of wavelets. Third, the call rate adjustment induces the contemporaneous shift of the yield curve, which in turn supports the presence of the liquidity effect. These results could not be obtained by the traditional analysis utilizing unfiltered raw time series. The merit of wavelet decomposition is self-evident because it closely resembles de-noising processes. Noisy signals do not contain useful information and should be filtered out so that we benefit from more efficient analysis with time series sharpened by a de-noising procedure.
  • 2.

    A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market

    Sang Buhm Hahn | 2012, 23(2) | pp.45~77 | number of Cited : 0
    Abstract PDF
    The competing risks duration model is applied to the analysis of the execution and cancellation of limit orders which are submitted to the electronic trading system of KOSPI200 stock index futures market. We find that foreign investors rather than institutional or individual investors less frequently submit limit orders to the market. And more than 74% of the limit orders submitted by foreigners are cancellation orders. The durations of limit orders have very long right tails of the distribution. The limit orders by the individual investors have longer durations than those by foreign investors. In particular, we find that execution durations of foreign investors' limit orders are shorter than their cancellation durations. According to the estimation results of the competing risks model, price aggressiveness has a significant effect on the time-to-execution and time-to-cancellation. In addition, we show that the execution duration is more sensitive to limit order prices and limit order sizes than the cancellation duration. The execution duration of limit orders by all the investors are increasing with the amount of liquidity on the same side of the market. But in the cancellation limit orders, the coefficients have different signs among investors. The execution duration and the cancellation duration of limit orders are decreasing with the amount of liquidity on the opposite side of the market except for the foreign investors in the cancellation limit orders. We also find that the execution duration and the cancellation duration are both decreasing as maturity approaches.
  • 3.

    An Estimation of the Number of Children Left by Traffic Accident Victims with Stochastic Model

    조재린 , 김해식 , 하형태 | 2012, 23(2) | pp.79~110 | number of Cited : 1
    Abstract PDF
    Traffic accidents pose problems in parenting victim's children left by the victims. Specifically, victim‘s young children under the age of 18 suffer from decreased income and eventually fall into a vicious circle of poverty due to the death or loss of earning capacity of their breadwinners. It may also increase the social risk such as increasing crime. However, the exact number of victim's children is hard to come by. Even the estimated number acquired by conventional method is at best inaccurate. The inaccuracy of the estimates from previous studies is because they do not reflect the demographic changes yet apply too simple assumptions. In this paper, we suggest more accurate approach applying a stochastic model reflecting changing patterns of birth and traffic fatalities and victim's gender and age. As a result from new estimation, we find that there are 33,957 children left by the victims of traffic accidents at the end of 2009. This result is smaller than that from the previous research. The difference is due to decreasing birthrate and increasing victim's age. However, it is found that 87 percent of victim's children are from the traffic accident in which their father are involved. Therefore, greater economic impacts to the households are expected as the main source of the income is provided by the males in Korea.
  • 4.

    The Effects of Smoking on Obesity and Its Implications for Health Insurance

    KIM DAEHWAN , Key Hyo Lee , Jung, Ki-Taig | 2012, 23(2) | pp.111~132 | number of Cited : 4
    Abstract PDF
    Although the obesity rate is low in Korea relative to developed countries, it has been rising due to high calory diet for life. Obesity attracts researchers' great attention since it creates not only higher personal medical costs, but also create the negative externality such as financial trouble of the public health insurance and higher insurance premium. Utilizing the most recent data sets of year 2008 and 2009 from Korea National Health and Nutrition Examination Survey, this study empirically investigates whether or not smoking affects obesity. In order to remove the potential endogeneity between smoking and obesity variable, we replace the smoking variable with secondhand smoking variable in the empirical model of logit. Empirical results prove that smoking decreases the likelihood of being obese. That is, if someone is a nonsmoker, she/he becomes more likely to be non-obese through secondhand smoking. This result consists with the medical rationale that smoking or nicotine causes weight loss since it burns calories and leads to the loss of appetite. Therefore, intensive antismoking campaigns could reduce cigarette smoking but the net effects of the antismoking campaigns on reducing financial trobles of the public health insurance and loss ratio of the private health insurance would be smaller than our expectation due to increasing obesity rates.