DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Byun, Suk Joon | - |
dc.contributor.advisor | 변석준 | - |
dc.contributor.author | Cho, Sang Heum | - |
dc.date.accessioned | 2018-06-20T06:13:19Z | - |
dc.date.available | 2018-06-20T06:13:19Z | - |
dc.date.issued | 2017 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=708725&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/242723 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 경영공학부, 2017.2,[iii, 49 p. :] | - |
dc.description.abstract | This paper consists of two essays about the measurement of systemic risk of the Korean financial market and the analysis of carbon tax policy in a macroeconomic framework. In the first essay, we analyze financial crises in the Korean financial market using CoVaR, the measure of systemic risk. The Korean financial crises, IMF crisis and savings banks crisis are predictable, while the exogenous shock, the global financial crisis is not predictable by out-of-sample prediction using balance sheet items. Size is the most powerful explanatory variable and leverage ratio, maturity mismatch are significant. These findings would help to enhance the operation of Korean macroprudential policy. In the second essay, we construct a macroeconomic model to discuss the effect of carbon tax policy. We build a channel of promoting clean technology via carbon tax revenues and it is consistent with the real-world case which is validated by the empirical test. We suggest that it is effective to introduce a carbon tax policy to protect the environment. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Financial Crisis▼aCoVaR▼aSystemic Risk▼aQuantile Regression▼aKorean Financial Market▼aCarbon Tax Policy▼aReal Business Cycle Model | - |
dc.subject | 금융위기▼aCoVaR▼a시스템 위험▼a한국 금융시장▼a탄소세정책▼a실물경기변동 모형 | - |
dc.title | Essays on the measurement of systemic risk in the korean financial market and the analysis of carbon tax policy | - |
dc.title.alternative | 한국금융시장 시스템위험의 측정 및 탄소세 정책의 분석에 관한 연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :경영공학부, | - |
dc.contributor.alternativeauthor | 조상흠 | - |
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