How the Republic of Korea's Financial Structure Affects the Volatility of Four Asset Prices
How the Republic of Korea's Financial Structure Affects the Volatility of Four Asset Prices:

April 2000 - How Korea's financial structure affects the volatility of Korea's real effective exchange rate, money market rate, government bond yields, and stock prices. Min and Park explore how Korea's financial structure affects the volatility of asset prices. Documented empirical e...

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Bibliographische Detailangaben
1. Verfasser: Min, G. Hong (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C The World Bank 1999
Schlagworte:
Asset Prices
Banking Sector
Banks and Banking Reform
Capital Flows
Currencies and Exchange Rates
Currency
Currency Crises
Debt Markets
Emerging Markets
Exchange
Exchange Rate
Finance
Finance and Financial Sector Development
Financial Crisis
Financial Institutions
Financial Literacy
Financial Structure
Financial System
Government Bond
Government Bond Yield
Macroeconomics and Economic Growth
Market
Markets and Market Access
Monetary Authority
Monetary Policies
Money Market
Money Market Rate
Private Sector Development
Stock
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Zusammenfassung:April 2000 - How Korea's financial structure affects the volatility of Korea's real effective exchange rate, money market rate, government bond yields, and stock prices. Min and Park explore how Korea's financial structure affects the volatility of asset prices. Documented empirical evidence of the relationship between financial structure and financial crisis sheds light on the relationship between asset price volatility - extreme variations in prices - and financial structure. And the volatility of financial and nonfinancial asset prices provides an indirect link between an economy's financial structure and the likelihood of financial crisis. Using time-series data and a set of indicators measuring financial structure, Min and Park examine how Korea's financial structure affects the volatility of the real effective exchange rate, the money market rate, government bond yields, and stock prices. They find: · There is a stable long-term relationship between financial structure and volatility in the real effective exchange rate, the money market rate, stock prices, and the yield on government housing bonds. · Financial structure affects asset price variables asymmetrically. Some variables' volatility increases and others' diminish, suggesting that monetary policies should target different asset markets to achieve different goals. If the goal of the monetary authority is to stabilize the money market rate, for example, intervening in the banking sector is more efficient than intervening in other financial subsectors. · The higher volatility of stock prices reflects the thin stock market in Korea. · The stability of the yield on government housing bonds reflects the Korean government's policy of stabilizing the nation's housing supply by isolating the housing market from the impact of Korea's financial structure.
[Fortsetzung 1. Abstract] Restrictions on foreigners' ownership of domestic stock in Korea during the period analyzed, and the fact that most capital flows through commercial banks, affect the exchange rate, which is determined (at least in the short run) by capital flows in the foreign exchange market. This paper - a product of the Macroeconomic Data Team, Development Data Group - is part of a larger effort in the group to understand the financial structure of developing countries based on empirical data. The authors may be contacted at hmin56@aol.com or jpark@worldbank.org
Beschreibung:1 Online-Ressource (1 online resource (40 p.))
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