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Title:Three Essays on Money and Asset Pricing
Author(s):Kang, Hwan Koo
Doctoral Committee Chair(s):Bart Taub
Department / Program:Economics
Discipline:Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Theory
Abstract:This thesis consists of three essays on money and asset pricing. In the first essay, I study the determination of price variables in a model economy where the use of money is motivated by the Cash-in-Advance constraint. I analyze the standard equilibrium conditions from the Cash-in-Advance model in its continuous time limit and conclude that the model remains to be valid in the continuous time. The second essay studies the asset prices in Korea and tests the standard consumption-based asset pricing model with the Korean data. Results from both the simple and formal tests show that there exists a risk-free rate puzzle but not the equity premium puzzle in Korea during the period of 1991.1q-2006.1. In the third paper, I estimate the welfare cost of inflation in Korea. Depending on the estimation methods and periods, the welfare cost from 10 percent annual inflation is estimated to be about 0.5 percent of GDP for the period of 1970.1q-1996.4q and 1.1-1.3 percent of GDP for the period of 1991.1q-2007.1q. These are a little higher than the estimates from the US data.
Issue Date:2008
Type:Text
Language:English
Description:101 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2008.
URI:http://hdl.handle.net/2142/85590
Other Identifier(s):(MiAaPQ)AAI3314812
Date Available in IDEALS:2015-09-25
Date Deposited:2008


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