KJC Korea
Journal Central

This study analyzes the actual individual owner’s effect on loan concentration in corporate-owned savings banks in the case that the owner has working experiences in controlled savings banks. In addition to the owner’s specific work experience, this paper also considers saving banks’ risk management capability as an additional point in this causal relation. Besides, this study confirms the relationship between the largest shareholder type and loan concentration. The empirical results show that corporate-owned savings banks have the negative effects on loan concentration. However, this effect could be reversed if the corporate-owned savings banks’ actual individual owner has working experience in the controlled savings banks. This study also investigates that the negative effects could be alleviated when savings banks have superior risk management capability. The results suggest that the financial supervisory authorities may need to consider the effects of actual individual owner.

Korean small businesses’ heavy reliance on business loans collateralized by their real estate suggests the vulnerability of SMEs to housing market fluctuations. To quantify the impact of housing price changes in response to housing demand shocks on the small business sector and the aggregate economy, this paper presents a heterogenous-agents model characterized by households’ choices on housing (to buy or sell) and occupation (to be a worker or an entrepreneur) and an incomplete financial market. The model is calibrated to match salient features of the 2018 Korean economy. The model experiment reveals that a drop in housing price lowers the upper limit of collateralized loan for small businesses. It impedes their optimal production decisions and results in production contraction. The consequential decline in labor demand lowers wage, inducing a slight rise in the output of large firms. The amount of increase in the output of large firms; however, falls short of making up for the amount of decrease in the output of small businesses so that the overall GDP of the economy decreases.

By using the 1-hour EUR/USD, JPY/EUR and JPY/USD high frequency exchange rates, this paper presents two important features of the high frequency exchange rates across different trading time zones in FX markets: time-of-day pattern and long memory volatility. First, this paper finds statistical evidence of the time-of-day pattern in the 4-hour period returns of the high frequency exchange rates across the time zones through the significant tendency for the currency to depreciate (appreciate) during domestic (foreign) trading hours across the time zones. Then, this paper employs the FIGARCH model and the Local Whittle method to estimate the long memory volatility of the 4-hour period returns and shows that the long memory volatilities of the 4-hour period returns appear to be different across the time zones and only market specific. Also, this study presents that the time-of-pattern and the long memory volatility in the 4-hour period returns across the time zones could be explained quite well by the theories of the asymmetric information and the liquidity effect in FX markets.

This paper examined determinants of demand on personal pension, focusing on the role of three age factors such as current age, subjective life expectancy and the difference between subjective life expectancy and objective life expectancy. Considering that factors determining pension demand may differ by gender due to economic, social and cultural factors, the analysis was divided into gender. Regression results present that current age is not significantly associated with personal pension among men. However, men are more likely to have personal pension and increase personal pension contributions as they have longer subjective life expectancy and their subjective life expectancy is higher than objective life expectancy. For women, three age factors do not play any role in making decision about personal pension. These results imply that adverse selection may present in annuity market in that men use personal pension to hedge longevity risk.