In this dissertation I explain the relationship among inflation volatility, rational
bubbles, and asset prices. In addition, I investigate the transmission of asset prices and
volatility among countries.
In the second chapter, which deals with the relationship between inflation volatility
and asset prices, my empirical analysis shows that real stock returns tend to co-vary
negatively with expected inflation during periods of stable inflation, but co-vary
positively with expected inflation during periods of volatile inflation for 16 countries.
To investigate the relationship between rational bubbles and asset prices in the third
chapter, I formulate an information error model which allows one to derive the measure
of non-fundamentals in stock prices in a straightforward manner. This study provides a
new method by specifying rational bubble measures that follow the Weibull distribution.
As a result, my empirical analysis is the first step in applying survival analysis to
bubbles, and it reveals preliminary evidence that there is the increasing bursting rate at a
decreasing rate for extraneous or instrinsic bubbles in the U.S. stock market. In the fourth chapter, which deals with the transmission of asset prices and volatility,
I investigate how the 1997 crisis has changed the Korean market by focusing on price
and volatility spillovers from the U.S., Chinese, and Japanese markets. I have used daily
stock prices from January 3, 1995 to July 31, 2007 and employed an EGARCH model.
New information on stock prices originated in the U.S. market was more transmitted to
the Korean market for all periods. The price spillover effect from the Japanese market to
the Korean market became stronger from the crisis period. The influence of U.S. and
Japanese innovations on market volatility increased after the crisis period. However, the
magnitude of spillover effects from the Chinese market to the Korean market remained
small and stable between the prior- and post-crisis periods and the volatility spillover
effect remained stable for all periods. Asymmetry in the spillover effects on market
volatility was pronounced in the Korean market after the financial crisis.
| Identifer | oai:union.ndltd.org:tamu.edu/oai:repository.tamu.edu:1969.1/ETD-TAMU-2008-08-65 |
| Date | 16 January 2010 |
| Creators | Kim, Sang Bong |
| Contributors | Jansen, Dennis W. |
| Source Sets | Texas A and M University |
| Language | en_US |
| Detected Language | English |
| Type | Book, Thesis, Electronic Dissertation |
| Format | application/pdf |
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