Hahn Lee - Academia.edu (original) (raw)

Papers by Hahn Lee

Borsa Istanbul Review, 2021

This is a PDF file of an article that has undergone enhancements after acceptance, such as the ad... more This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.

Journal of Housing Economics, 2019

This paper investigates the network topology of the Korean housing market using the connectedness... more This paper investigates the network topology of the Korean housing market using the connectedness methodology. The basic finding is that, among various combinations of regional housing markets, Seoul has been the most influential market in Korea. We also present evidence that other metropolitan cities affect only the neighboring regions. As for the results from the rolling-sample analysis, the net directional connectedness of Seoul appears to have declined over the sample period. Although Seoul still remains the center of the Korean housing market, neighboring regions have become increasingly more influential in affecting other regional markets. These findings suggest that the policy for balanced national development might have changed the transmission mechanisms in the Korean housing market.

Korean Journal of Applied Statistics, 2010

This paper compares the two most widely used seasonal adjustment methods: the X-12-ARIMA and TRAM... more This paper compares the two most widely used seasonal adjustment methods: the X-12-ARIMA and TRAMO-SEATS procedures. The basic features of these methods are discussed and compared in both their theoretical and empirical aspects. In doing so, the X-13A-S program is used to reevaluate their applicability to Korean macroeconomic data by considering possible structural breaks in the series. The finding is that both methods provide very reliable and stable estimates of seasonal factors and seasonally adjusted data. As for the empirical comparisons, TRAMO-SEATS appears to outperform X-12-ARIMA, although the results are somewhat mixed depending on the comparison criteria used and on the series under analysis. In particular, the performance of TRAMO-SEATS turns out to compare more favorably when seasonal adjustment is carried out to each sub-samples (by taking possible structural breaks into account) than when the whole sample period is used. The result suggests that as the model-based TRAMO-SEATS has a considerable theoretical appeal, some features of TRAMO-SEATS should further be incorporated into X-12-ARIMA until a standard and integrated procedure is reached by combining the theoretical coherence of TRAMO-SEATS and the empirical usefulness of X-12-ARIMA.

Emerging Markets Finance and Trade, 2019

Despite the increasing interest in the topic of international transmission of financial markets, ... more Despite the increasing interest in the topic of international transmission of financial markets, the Northeast Asian region has received little attention concerning connectedness among financial markets. This article discusses network connectedness among financial markets in the Northeast Asian region. In particular, we investigate various aspects of international linkage across different asset-class (stock, bond, foreign exchange) markets in China, Japan, and Korea. The basic finding is that the connectedness among Northeast Asian countries seems rather weak, while the US markets are an important source of network effects on financial markets in this region. As for the dynamic aspects of connectedness, we observe time-varying patterns in connectedness measures, with a surge around the GFC. Also presented evidence that China has become more influential with the development of Chinese financial markets since the "new normal (Xinchangtai)" period.

In this paper, the testing procedure for the existence of common cycles among co integrated varia... more In this paper, the testing procedure for the existence of common cycles among co integrated variables developed in Vahid and Engle (1993) is first discussed. The method is then used to examine whether Korean GDP, consumption, and investment share common cycles, and evidence is presented for the existence of short-run common features. Based on simulation experiments, this paper also shows that the forecasting performance can be enhanced by taking into account of short-run common cycles. The basic finding is that the restricted error correction models (which consider common-cycle restrictions as well as co integrating relations) outperform the usual error correction models, which take only co integrating restrictions into account.

Korean Association for Housing Policy Studies, Jun 19, 2017

This study investigates international linkage among housing markets in G7 countries, using the ne... more This study investigates international linkage among housing markets in G7 countries, using the network connectedness developed in Diebold and Yilmaz (2014, 2016). We first estimate the connectedness measures among the G7 housing markets, and derive the underlying network topology. In order to examine dynamic pattern of the network connectedness around the global financial crisis, we also discuss the rolling-sample analysis. The basic findings are as follows. First, the network connectedness across housing markets seems rather weak. Second, the rolling-sample analysis shows that the total connectedness has increased gradually through time, with cyclical variations over the business cycle. Third, the US housing market has been most influential in generating network effect on other markets during the global financial crisis.

The Journal of Korea Real Estate Analysists Association

Korean household's housing properties are worth 75% of total net assets in 2018. Korean governmen... more Korean household's housing properties are worth 75% of total net assets in 2018. Korean government launched more than 50 housing policies for 10 years, it can be inferred that Korean housing market is largely affected by its economy and policy. We can also expect that Korean economy and policy uncertainty affects housing price. In this paper, We use Connectedness Index developed by Diebold and Yilmaz(2012, 2014) to analyze connectedness between economic and policy uncertainty and Korean regional housing markets. The Economic Policy Uncertainty (EPU) index developed by Baker et al.(2016) is used to quantify economic uncertainty. And, regional housing price index published by Korea Appraisal Board is used to analyze Korean regional housing markets return. The main finding can be summarized as follows: First, the Korean EPU index precedes national housing market returns. Second, when housing market is separated into metropolitan market and rural market, EPU index affects metropolitan housing market, but not rural housing market. In last, higher connectedness is found when housing market is subdivided into several regional housing markets. We found that EPU index has significant effect on housing market returtns, especially in metropolitan housing market returns.

Korean Journal of Applied Statistics

This paper examines the relationship between the stock and futures markets in terms of lead-lag r... more This paper examines the relationship between the stock and futures markets in terms of lead-lag relationship, correlation and the hedge ratio using wavelet analysis. The basic finding is that the relationship between the two markets significantly depends on the timescale. First, there is a feedback relationship between the stock and futures markets in the long-run scale; however, weaker evidence is observed in shorter-run scales. Second, wavelet correlation between the two markets increases for a longer time scale. Third, the hedge ratio and the effectiveness of hedging strategies increase as the investment horizon gets longer. The results in this paper indicate that the stock and futures series are perfectly correlated in the long run and are tied together over long horizons.

ABSTRACT Under the auspices of the US Department of Energy through Morgantown Energy Technology C... more ABSTRACT Under the auspices of the US Department of Energy through Morgantown Energy Technology Center, laboratory-scale studies were conducted to develop a regenerable activated-bauxite adsorbent (RABA) for use in an in situ regenerable activated-bauxite sorber alkali monitor (RABSAM). The RABSAM is a sampling probe that does not require a high-temperature/high-pressure sampling line for reliable measurement of alkali vapor in the exhaust of pressurized fluidized-bed combustor (PFBC). The RABA can be generated from the commercial grade activated bauxite by deactivating (or reacting) clay impurities in activated bauxite with NaCl or LiCl vapor. Under the atmospheric deactivation process, however, only a partial deactivation of clay impurities is achieved, probably due to limited access of NaCl or LiCl vapor into micropores of activated bauxite. Because LiCl vapor chemically reacts with alumina substrate of activated bauxite, resulting in pore enlargement, loss of pore surface area, and a decrease in the subsequent NaCl-vapor sorption capacity of the RABA, NaCl is a more suitable deactivation agent than LiCl vapor. In a simulated PFBC exhaust environment, the RABA behaves similarly to fresh activated bauxite in capturing NaCl vapor from the simulated PFBC exhaust. Based on results of this work, we recommend generating chemically and thermally stable RABA by deactivating clay impurities of commercial grade activated bauxite with NaCl or KCl vapor under simulated PFBC exhaust environment, that is, high-temperature, high-pressure, and high concentrations of NaCl or KCl vapor in simulated PFBC exhaust compositions.

Empirical Economics, 1993

It is well known that mis-specification of a trend leads to spurious cycles in detrended data (se... more It is well known that mis-specification of a trend leads to spurious cycles in detrended data (see, e.g., ). Seasonal-adjustment procedures make assumptions, either implicitly or explicitly, about roots on the unit circle both at the zero and seasonal frequencies.

Purpose:To developa Korean version of the Functional Assessment of Cancer Therapy(FACT)-Vanderbil... more Purpose:To developa Korean version of the Functional Assessment of Cancer Therapy(FACT)-Vanderbilt Cystectomy Index (VCI) from the original English version,with subsequent linguistic validationin Korean patients who underwent radical cystectomy with urinary diversion.

Angiology, 1977

A 57-year-old man with atypical progressive angina caused by congenital coronary-pulmonary shunt ... more A 57-year-old man with atypical progressive angina caused by congenital coronary-pulmonary shunt and coronary atherosclerosis is described. The angina was rather consistently unresponsive to nitroglycerin. Following closure of the shunt and aortocoronary bypass surgery, the patient became asymptomatic and has remained free of angina 2 year postoperatively. Although the congenital anomaly is rare in adults, it may be considered in the differential diagnosis of atypical angina pectoris, particularly when there is either continuous murmur or systolic murmur over the lower parasternal area.

We are currently developing a proof-of-principle Compton camera using a 16 x 16 double-side silic... more We are currently developing a proof-of-principle Compton camera using a 16 x 16 double-side silicon strip detector as a scatter and a 25-segmented germanium detector as an absorber. We will report on our status of the development, in particular, in the area of three-dimensional position determination based on both a three-dimensional Green's function method and our recent measurements using a collimated beam of gamma rays. We also present techniques to improve uncertainties embedded in imaging spatial resolution which mainly arises from Doppler broadening in a Compton profile and image reconstruction. Comparison between silicon and germanium as detector materials will also be made in view of Doppler broadening, position resolution, and sensitivity.

Part of the increasing interest in the treatment of seasonality in economic time series has focus... more Part of the increasing interest in the treatment of seasonality in economic time series has focused on detecting the presence of unit roots at some of the seasonal frequencies as well as at the zero frequency. In this paper we introduce new test statistics, analyze both theoretically and via simulation the properties of Dickey-Fuller-type tests in seasonal time series which

Applied Radiation and Isotopes Including Data Instrumentation and Methods For Use in Agriculture Industry and Medicine, Mar 1, 2009

Article in Applied radiation and isotopes: including data, instrumentation and methods for use in... more Article in Applied radiation and isotopes: including data, instrumentation and methods for use in agriculture, industry and medicine ·

While GARCH-type models are mainly used to investigate international transmission mechanism of st... more While GARCH-type models are mainly used to investigate international transmission mechanism of stock markets in much of previous studies, an attempt is made in this paper to examine price and volatility spillover effects across international stock markets via wavelet analysis. We first propose a new testing strategy to spillover effects based on discrete wavelet decomposition, which is then applied to investigate the dynamics and the potential interaction in international stock markets. Using the data on the daily stock returns of the U.S. Dow Jones index and of the KOSPI (Korea Composite Stock Price Index), strong evidence is found for price as well as volatility spillover effects from the U.S. stock markets to the Korean counterparts, but not vice versa. Our methodology can naturally be applied to any sets of international stock market returns to provide new evidence on spillover effects. JEL Classification : C14, C22, G15 Keywords : Wavelet analysis, Stock returns, Volatility, Spillovers J k J k k J d d d s M J J J

Volume 2: Coal, Biomass and Alternative Fuels; Combustion and Fuels; Oil and Gas Applications; Cycle Innovations, 1985

Description/Abstract Studies have been conducted to develop a fixed granular-bed sorber for the r... more Description/Abstract Studies have been conducted to develop a fixed granular-bed sorber for the removal of alkali vapors in a pressurized fluidized-bed combustion (PFBC) combined-cycle system. A laboratory-scale pressurized alkali vapor sorption test unit was used to ...

Cardiovascular and Interventional Radiology, 1988

Fistulas between the coronary artery and the left heart chambers are exceptionally rare, especial... more Fistulas between the coronary artery and the left heart chambers are exceptionally rare, especially those emptying into the left ventricle. We know of 33 cases of coronary artery-left ventricular fistulas reported in the literature, 7 of which had multiple communications. The findings in 6 additional patients with multiple coronary artery-left ventricular fistulas are reported. Three of the 6 patients from all three major coronary arteries. It is important to recognize this anomaly as it may be the source of angina in patients without angiographic evidence of major atherosclerotic coronary artery disease.