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Macroeconomic fluctuations and asset markets in Korea

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  • Macroeconomic fluctuations and asset markets in Korea
  • I, Ta Ly
  • The University of Sydney


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Title Macroeconomic fluctuations and asset markets in Korea
Similar Titles
Material Type Reports
Author(English)

I, Ta Ly

Publisher

[Sydney]:The University of Sydney

Date 2012-07
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Economic Conditions
Economy < Direct Investment
Holding The University of Sydney

Abstract

This thesis focuses on the dynamic interactions between macroeconomic activities and asset markets in Korea following financial liberalization in the early 1990s. Using a sequence of empirical models, I examine three key issues concerning the Korean economy characterized by an emerging and volatile capital market and a unique housing market system. The first issue is concerned with the effects of changes in country risk and world interest rates on macroeconomic fluctuations in Korea. To examine these effects, an SVAR model of a small open economy is estimated, and a small open economy dynamic stochastic general equilibrium (DSGE) model of Uribe and Yue (2006) is calibrated to the Korean data. To check the robustness, the theoretical impulse responses from the calibrated model are compared against the impulse responses from the estimated SVAR model. (The rest omitted)

User Note

A thesis submitted in partial fulfilment of the requirements for the degree of Doctor of Philosophy