Essays on the measurement of systemic risk in the korean financial market and the analysis of carbon tax policy = 한국금융시장 시스템위험의 측정 및 탄소세 정책의 분석에 관한 연구

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In this paper is consisted of two essays about the measurement of systemic risk of Korean financial market and the analysis of carbon tax policy in the macroeconomic framework. In the first research, we analyzed about financial crises in Korean financial market by $\Delta CoVaR$, the measure of systemic risk. The endogenous crises, IMF crisis and savings banks crisis are predictable while exogenous shock, the global financial crisis is not predictable by out-of-sample prediction using balance sheet items. Size is the most powerful explanatory variables and leverage ratio, maturity mismatch are significant. These findings would help to enhance the operation of Korean macroprudential policy. In the second research, we construct a macroeconomic model to discuss the effect of carbon tax policy. We build a channel of promoting clean-technology via carbon tax revenus and it is consistent with the real world case which is validated by the empirical test. We suggest that it is effective to introduce carbon tax policy to protect the environment.
Advisors
Byun, Suk Joonresearcher변석준researcher
Description
한국과학기술원 :경영공학부,
Publisher
한국과학기술원
Issue Date
2017
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 경영공학부, 2017.2,[iii, 49 p. :]

Keywords

Financial Crisis▼aCoVaR▼aSystemic Risk▼aQuantile Regression▼aKorean Financial Market▼aCarbon Tax Policy▼aReal Business Cycle Model; 금융위기▼aCoVaR▼a시스템 위험▼a한국 금융시장▼a탄소세정책▼a실물경기변동 모형

URI
http://hdl.handle.net/10203/242723
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=708725&flag=dissertation
Appears in Collection
MT-Theses_Master(석사논문)
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