Insik Min

Stock Market Integration and Financial Crises: The Case of Asia

This study examines long-run relationships and short-run dynamic causal linkages among the US, Japanese, and ten Asian emerging stock markets, with the particular attention to the 1997-1998 Asian financial crisis. Extending related empirical studies, comparative analyses of pre-crisis, crisis, and post-crisis periods are conducted to comprehensively evaluate how stock market integration is affected by financial crises. In general, the results for the case of Asia show that both long-run cointegration relationships and short-run causal linkages among these markets were strengthened during the crisis and that these markets have generally been more integrated after the crisis than before the crisis. Detailed country-by-country analyses are provided, which yield a variety of new results concerning the roles of individual countries in international stock market integration. An important implication of our findings is that the degree of integration among countries tends to change over time, especially around periods marked by financial crises.

European Stock Market Integration: Does EMU Matter?

This study examines the impact of the recent establishment of the Economic and Monetary Union (EMU) on the long-run, short-run and contemporaneous structures of integration among eleven European stock markets and the US. The results show that although two cointegrating vectors exist both before and after the establishment of the EMU, the long-run linkages among these markets have generally been strengthened after the establishment of the EMU as equilibria are restored more quickly after system-wide shocks. Generalized impulse response analysis and generalized forecast error variance decomposition further indicates that large EMU markets (Germany, France, Italy, Netherlands) are more integrated with each other after the establishment of the EMU. Several small EMU markets are also more integrated with the large EMU markets while the three smallest EMU markets (Austria, Belgium and Ireland) are more isolated from other EMU markets after the EMU was launched. The EMU markets seem to be less integrated with the UK after establishment of the EMU, while no clear pattern has emerged yet regarding their integration with the US market. The examination of the contemporaneous structure of integration also yields similar inference.

Modeling Credit Card Borrowing: A Comparison of Type I and Type II Tobit Approaches

This study focuses on credit cards as a borrowing medium using 1998 Survey of Consumer Finance data. The type II Tobit approach used here overcomes a shortcoming of the conventional type I Tobit model, which restricts the coefficients of the binary borrowing decision (the first step) and balance level decision (the second step) to have the same sign. By separately estimating the first and second steps as reduced-form functions in which the overall effects of supply and demand are incorporated, the type II Tobit procedure yields more consistent results with other studies and quantifies the marginal effect (elasticity) of a particular determinant for practical uses.

Recent Two-Stage Sample Selection Procedures With an Application to the Gender Wage Gap

Recently developed two-stage estimation methods of sample selection models are used, in the context of data from the 1989 Labor Market Activity Survey, to examine labor supply decisions and wage outcomes for employed men and women. Recent hypothesis test procedures are used to test for no sample selection and to test for a parametric against a semiparametric selection-correction procedure. We conclude that selection is indeed an issue for the sample at hand and that the semiparametric specification is appropriate. We also present the standard decomposition of the gender wage gap into its explained and unexplained portions.

A Monte Carlo comparison of parametric and nonparametric quantile regressions

This study compares parametric and nonparametric quantile regression methods using Monte Carlo simulations. Simulation results indicate that the nonparametric quantile regression approach is more appropriate, particularly when the underlying model is nonlinear or the error term follows a non-normal distribution.

A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS

This paper proposes a bootstrap test for the correct specification of parametric conditional distributions. It extends Zhengs test (Zheng, 2000, Econometric Theory 16, 667–691) to allow for discrete dependent variables and for mixed discrete and continuous conditional variables. We establish the asymptotic null distribution of the test statistic with data-driven stochastic smoothing parameters. By smoothing both the discrete and continuous variables via the method of cross-validation, our test has the advantage of automatically removing irrelevant variables from the estimate of the conditional density function and, as a consequence, enjoys substantial power gains in finite samples, as confirmed by our simulation results. The simulation results also reveal that the bootstrap test successfully overcomes the size distortion problem associated with Zhengs test.We are grateful for the insightful comments from three referees and a co-editor that greatly improved the paper. Lis research is partially supported by the Private Enterprise Research Center, Texas A&M University. Fan is grateful to the National Science Foundation for research support.

A Comparison of Conditional and Unconditional Approaches in Value-at-Risk Estimation

In this paper, we attempt to find the most important factor causing the differences in the performance of Value-at-Risk (VaR) estimation by comparing the performances of conditional and unconditional approaches. For each approach, we use various methods and models with different degrees of flexibility in their distributions including S-normal distribution, which is one of the most flexible distribution functions. Our empirical results underscore the importance of the flexibility-of-distribution function in VaR estimation models. Even though it seems to be unclear which approach is better between conditional and unconditional approaches, it seems to be clear that the more flexible distribution we use, the better the performance, regardless of which approach we use.

Estimating endogenous switching regression model with a flexible parametric distribution function: application to Korean housing demand

This study introduces Johnsons SU -normal distribution which can accommodate the flexibility of true error distribution to obtain consistent estimates in an endogenous switching regression model. Simulation results indicate that the SU -normal model outperforms the normal model for the consistency of estimators when the error distribution is nonnormal. Korean housing demand model estimated by the SU -normal model also outperforms the normal model in terms of parameter estimates and graphical predictions.

A nonparametric test of the conditional normality of housing demand

This study provides a nonparametric test for the parametric conditional distribution in the sample selection model. The nonparametric test statistic proposed by Fan et al . (2006) is applied to the Korean housing demand model. Test results indicate that the conditional normality in the housing expenditure equation is rejected.

Dynamic decomposition of regional wage differentials in Korea

Abstract Using a Juhn–Murphy–Pierce (JMP) decomposition, this study analyses the dynamic changes in regional wage differentials between the Seoul Metropolitan Areas and other regions in South Korea. Data from the Korean Labor and Income Panel Study for three years (2000, 2004, and 2008) is used. JMP decomposition provides information about the components that explain changes in regional wage differentials over time. Between 2000 and 2004, the variations in observed and unobserved components are associated with counteracting effects on regional wage differentials. While changes in observed components contribute more to widen regional wage differentials, those in unobserved components narrow them. However, between 2004 and 2008, both observed and unobserved components move in the same direction to narrow regional wage differentials. Based on our empirical results, we discuss some policy implications.