Related papers: A Korean Macroeconomic Database for Data-Rich Poli…
The Bank of Korea (BoK) regularly publishes the Economic Outlook, offering forecasts for key macroeconomic variables such as GDP growth, inflation, and unemployment rates. This study examines whether the BoK's inflation forecasts exhibit…
Within the field of hierarchical modelling, little attention is paid to micro-macro models: those in which group-level outcomes are dependent on covariates measured at the level of individuals within groups. Although such models are perhaps…
As a quantitative characterization of the complicated economy, Macroeconomic Variables (MEVs), including GDP, inflation, unemployment, income, spending, interest rate, etc., are playing a crucial role in banks' portfolio management and…
We introduce EA-MD-QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA-MD-QD has been…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
Standard macroeconomic frameworks have correctly identified Japan's government debt - now exceeding 240% of GDP - as carrying substantial fiscal risk. Yet FRED data from 2013 to 2026 present an empirical record inviting a complementary…
We investigate the financial network in the Korean stock exchange (KSE) market, using both numerical simulations and scaling arguments. We estimate the cross-correlation on the stock price exchanges of all companies listed on the the Korean…
The insufficient understanding of the credit network structure was recognized as a key factor for regulators' underestimation of the destructive systematic risk during the financial crisis that started in 2007. The existing credit network…
Considering the growing significance of Eurasian economic ties because of South Korea s New Northern Policy and Russia s New Eastern Policy, this study investigates the motivations and locational factors of South Korean foreign direct…
We address challenges in variable selection with highly correlated data that are frequently present in finance, economics, but also in complex natural systems as e.g. weather. We develop a robustified version of the knockoff framework,…
We introduce a novel machine learning approach to leverage historical and contemporary maps and systematically predict economic statistics. Our simple algorithm extracts meaningful features from the maps based on their color compositions…
Over the last 30 years, the concept of policy coherence for development has received especial attention among academics, practitioners and international organizations. However, its quantification and measurement remain elusive. To address…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
Financial markets are inherently non-stationary: structural breaks and macroeconomic regime shifts often cause forecasting models to fail when deployed out of distribution (OOD). Conventional multimodal approaches that simply fuse numerical…
We develop a new VAR model for structural analysis with mixed-frequency data. The MIDAS-SVAR model allows to identify structural dynamic links exploiting the information contained in variables sampled at different frequencies. It also…
The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks engaged in expansionary monetary policy. This paper asks…
Historical (Stressed-) Value-at-Risk ((S)VAR), and Expected Shortfall (ES), are widely used risk measures in regulatory capital and Initial Margin, i.e. funding, computations. However, whilst the definitions of VAR and ES are unambiguous,…
Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to examine cross-sectional return distributions-15 in our…
Most empirical microstructure research assumes that order flow--return parameters are constant, yet these relationships shift substantially across market regimes. Combining adaptive Kalman filtering, Markov-switching regime identification,…
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time…