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dc.contributor.author정국모-
dc.date.accessioned2019-11-24T18:54:26Z-
dc.date.available2019-11-24T18:54:26Z-
dc.date.issued2017-04-
dc.identifier.citationECONOMIC INQUIRY, v. 55, no. 2, page. 898-919en_US
dc.identifier.issn0095-2583-
dc.identifier.issn1465-7295-
dc.identifier.urihttps://onlinelibrary.wiley.com/doi/abs/10.1111/ecin.12418-
dc.identifier.urihttp://repository.hanyang.ac.kr/handle/20.500.11754/113861-
dc.description.abstractUsing the data of 20 major Organization for Economic Co-operation and Development countries over time, this article documents new evidence on real equity and real currency prices: higher real returns in the home equity market relative to its foreign counterparts are generally associated with real home currency depreciation at monthly frequency, but this negative correlation breaks down or even reverses during times of relatively higher aggregate economic uncertainty or volatility. This article also argues that a long-run risks-type model with time-varying liquidity risk in stock markets can provide one plausible explanation for the time-varying correlation structure. (JEL E43, F31, G12, G15)en_US
dc.language.isoen_USen_US
dc.publisherWILEYen_US
dc.subjectEXCHANGE-RATESen_US
dc.subjectLONG-RUNen_US
dc.subjectASSET PRICESen_US
dc.subjectEXPLANATIONen_US
dc.subjectPUZZLESen_US
dc.subjectPREMIUMen_US
dc.subjectMODELSen_US
dc.subjectFLOWSen_US
dc.titleLIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNSen_US
dc.typeArticleen_US
dc.relation.no2-
dc.relation.volume55-
dc.identifier.doi10.1111/ecin.12418-
dc.relation.page898-919-
dc.relation.journalECONOMIC INQUIRY-
dc.contributor.googleauthorJung, Kuk Mo-
dc.relation.code2017015600-
dc.sector.campusS-
dc.sector.daehakDIVISION OF INTERNATIONAL STUDIES[S]-
dc.sector.departmentDIVISION OF INTERNATIONAL STUDIES-
dc.identifier.pidkmjung-
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COLLEGE OF INTERNATIONAL STUDIES[S](국제학부) > INTERNATIONAL STUDIES(국제학부) > Articles
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