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https://hdl.handle.net/2142/85590
Description
Title
Three Essays on Money and Asset Pricing
Author(s)
Kang, Hwan Koo
Issue Date
2008
Doctoral Committee Chair(s)
Bart Taub
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Theory
Language
eng
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.
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