Yongcheol Shin

Yongcheol Shin
The University of York · Department of Economics and Related Studies

About

131
Publications
112,400
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74,437
Citations
Citations since 2017
11 Research Items
38225 Citations
201720182019202020212022202302,0004,0006,0008,000
201720182019202020212022202302,0004,0006,0008,000
201720182019202020212022202302,0004,0006,0008,000
201720182019202020212022202302,0004,0006,0008,000
Additional affiliations
September 2011 - present
The University of York
Position
  • Professor (Full)

Publications

Publications (131)
Article
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model of Zhu et al. (2019b) by explicitly allowing the contemporaneous network effects and controlling for the common factors across quantiles. To cope wit...
Article
We develop a unifying econometric framework for the analysis of heterogeneous panel data models that can account for both spatial dependence and common factors. To tackle the challenging issues of endogeneity due to the spatial lagged term and the correlation between the regressors and factors, we propose the CCEX-IV estimation procedure that appro...
Article
Given the growing availability of large datasets and following recent research trends on multi-dimensional modelling, we develop three dimensional (3D) panel data models with hierarchical error components that allow for strong cross-section dependence through unobserved heterogeneous global and local factors. We propose consistent estimation proced...
Article
Full-text available
We develop the extended unit root testing procedure for dynamic panels characterised by slowly moving trends (SMT) and cross-section dependence (CSD). We allow SMT to follow the smooth logistic transition function and the components error terms to contain the unobserved common factors. We propose the two panel unit root test statistics, one derived...
Article
This article empirically explores the effects of oil price on the Korean economy using a Global VAR model. First, we evaluate the average connectedness of oil price with the Korean domestic variables over the pre-crisis period. We then investigate the time-varying contribution of oil price to the Korean financial and real sectors during and after t...
Chapter
Given the growing availability of big datasets which contain information on multiple dimensions and following the recent research trend on multidimensional modelling, we develop three-dimensional panel data models with threeway error components that allow for strong cross-sectional dependence (CSD) through unobserved heterogeneous global factors, a...
Article
Korea is a textbook example of a small open economy which is susceptible to conditions overseas but cannot affect them itself. Policymakers in Korea would therefore naturally benefit from an enriched understanding of the connections that exist between the Korean and global economies. We provide a detailed summary of these linkages using the general...
Article
We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum’ is an important determinant of the overall arbitrage process. We design an empirical strategy to capture noise momentum in a tw...
Article
We use a network model to study the comovement of idiosyncratic sovereign credit risk in Europe. By estimating over rolling samples, we document evidence of excess comovement during the global nancial crisis and the European debt crisis that is indicative of contagion. We show that the intensity of bilateral spillovers is related to the portfolio i...
Article
This paper addresses an important issue of modelling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the first-differenced GMM estimator, which allows both threshold variable and regressors to be endogenous. When the threshold variable bec...
Chapter
Recently, an investigation of unobserved and time-varying multilateral resistance and omitted trade determinants has assumed a prominent role in order to precisely measure the Euro effects on trade. We implement two methodologies: the factor-based gravity model by Serlenga and Shin (The Euro Effect on Intra-EU Trade: Evidence from the Cross Section...
Article
Xiao (2009) develops a novel estimation technique for quantile cointegrated time series by extending Phillips and Hansen’s (1990) semiparametric approach and Saikkonen’s (1991) parametrically augmented approach. This paper extends Pesaran and Shin’s (1998) autoregressive distributed-lag approach into quantile regression by jointly analysing short-r...
Article
This paper proposes a unified framework for accommodating both time and cross-sectional dependence in modelling technical efficiency in stochastic frontier models by combining the exogenously driven factor-based approach and an endogenous threshold efficiency regime selection mechanism. This approach is able to deal with both weak and strong cross-...
Article
We develop a technique to evaluate macroeconomic connectedness in any multi-country macroeconomic model with an approximate VAR representation. We apply our technique to a large Global VAR covering 25 countries and derive vivid representations of the connectedness of the system. We show that the US, the Eurozone and the crude oil market exert a dom...
Article
Full-text available
We examine which methods are appropriate for estimating dynamic panel data models in empirical corporate finance. Our simulations show that the instrumental variable and GMM estimators are unreliable, and sensitive to the presence of unobserved heterogeneity, residual serial correlation, and changes in control parameters. The bias-corrected fixed-e...
Article
This paper proposes an e¢ cient test designed to have power against alternatives where the cointegrating regression error follows stationary MS regime switching dy- namics. We model an equilibrium process where its error correction adjustments are dierent in dierent regimes characterized by the hidden state Markov chain process. Using a general non...
Article
Full-text available
We employ dynamic threshold partial adjustment models to study the asymmetries in firms' adjustments toward their target leverage. Using a sample of US firms over the period 2002--2012, we document a negative impact of the Global Financial Crisis on the speed of leverage adjustment. In our subperiod analysis, we find moderate evidence of cross-sect...
Article
This paper proposes a nonlinear panel data model which can endogenously generate both ‘weak’ and ‘strong’ cross-sectional dependence. The model’s distinguishing characteristic is that a given agent’s behaviour is influenced by an aggregation of the views or actions of those around them. The model allows for considerable flexibility in terms of the...
Article
We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders’ misperceptions. Such ‘noise momentum’ is an important determinant of the overall arbitrage process. We design an empirical strategy to capture noise momentum in a tw...
Article
We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000-1 platform for the period May-August 1996. By analysing the network topog...
Article
Motivated by a stylized fact that intraday returns can provide additional information on the tail behavior of the daily returns, we propose a novel semiparametric functional autoregressive value-at-risk model (FARVaR), which can directly incorporate such informational advantage into the value-at-risk forecast. Our approach explicitly allows for tim...
Article
Korea is a textbook example of a small open economy which is susceptible to conditions overseas but cannot affect them itself. Policymakers in Korea would therefore naturally benefit from an enriched understanding of the connections that exist between the Korean and global economies. We provide a detailed summary of these linkages using the general...
Article
This paper investigates the adjustment of the prices of four key petroleum products in the UK following changes in the price of crude oil. We find significant evidence that the pre-tax prices of diesel, kerosene, and gas oil adjust more rapidly in an upward than a downward direction, but that the pre-tax price of unleaded petrol adjusts symmetrical...
Article
We investigate the asymmetric relationships between aggregate inflation and the second and third moments of the cross-sectional distribution of relative prices using a modified Calvo pricing model with regime-dependent price rigidities. Calibration experiments reveal that the inflation-standard deviation and inflation-skewness relationships exhibit...
Article
Established monetary theory typically assumes that the pass-through from policy-controlled interest rates to longer term rates and yields is complete, rapid and symmetric. We investigate these assumptions by applying the Nonlinear ARDL (NARDL) model advanced by Shin, Yu and Greenwood-Nimmo (2013) to the analysis of interest rate pass-through in the...
Article
This paper develops a cointegrating nonlinear autoregressive distributed lag (NARDL) model in which short- and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables. We demonstrate that the model is estimable by OLS and that reliable long-run inference can be achieved by bounds-test...
Article
This paper investigates the adjustment of the prices of four key petroleum products in the UK following changes in the price of crude oil. We find significant evidence that the pre-tax prices of diesel, kerosene, and gas oil adjust more rapidly in an upward than a downward direction, but that the pre-tax price of unleaded petrol adjusts symmetrical...
Article
This study advances previous work on the effects of trade and technological change on labour markets within the framework of Heckscher–Ohlin trade theory. We provide evidence for an unskilled labour abundant developing country by employing dynamic heterogeneous panel estimation techniques. For South African manufacturing, trade‐mandated increases i...
Article
This paper analyses the international linkages of the Korean economy using the GVAR model developed by Greenwood-Nimmo, Nguyen and Shin (2012a, J. Appl. Econometrics). By employing a combination of generalized impulse response analysis and forecast error variance decompositions, we uncover a number of interesting phenomena. Among our most important...
Article
In an earlier paper the authors proposed a two‐step approach to examine dynamic transmission mechanism under which globalization factors foster technology efficiency. In this paper the MSS model is extended by combining a panel threshold regression technique. This threshold stochastic frontier panel data model enables the analysis of regime‐specifi...
Article
Full-text available
Extending Shleifer and Vishny (1997), we show that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders’ misperceptions. Such ‘noise momentum’ is an important determinant of the overall arbitrage process. We develop a state-dependent...
Article
This chapter demonstrates the usefulness of the GVAR modelling framework as a tool for scenario-based forecasting and counterfactual analysis. Working with the GVAR model developed by Greenwood-Nimmo, Nguyen and Shin (2010, J. Appl. Econometrics), we first show how probabilistic forecasting can be applied to the analysis of global imbalances. Proba...
Article
Full-text available
We develop a dynamic panel threshold model of capital structure to test the dynamic trade-off theory, allowing for asymmetries in firms’ adjustments toward target leverage. Our novel estimation approach is able to consistently estimate heterogeneous speeds of adjustment in different regimes as well as to properly test for the threshold effect. We c...
Article
We employ a two-step approach in investigating the dynamic transmission channels under which globalization factors foster technical efficiency by combining a dynamic efficiency analysis in the stochastic frontier framework, and a time series approach based on VAR and spectral analysis. Using the dataset of the 18 EU countries over 1970-2004, we fin...
Article
We derive a new method of modelling the Taylor Rule in a system setting which expressly accounts for its combination of I(0) and I(1) series. Using a long sample of US data, our model provides modest support for an inertial Taylor-type rule. However, estimation across rolling windows indicates that the inflation and output preferences of the Fed ha...
Article
This paper analyses the international linkages of the Korean economy using the GVAR model developed by Greenwood-Nimmo, Nguyen and Shin (2012a, J. Appl. Econometrics). By employing a combination of generalised impulse response analysis and forecast error variance decompositions, we uncover a number of interesting phenomena. Among our most important...
Article
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of a particular form of nonlinear ergodic processes; namely, exponential smooth transition autoregressive processes. In this regard, the...
Article
We generalize the portfolio shifts model advanced by Evans and Lyons (2002a; b), and develop the dynamic asymmetric portfolio shifts (DAPS) model by explicitly allowing for possible market under- and overreactions and for asymmetric pricing impacts of order flows. Using the Reuters D2000-1 daily trading data for eight currency markets over a four-m...
Article
This paper utilizes the semi-parametric functional autoregressive approach to model the time-varying distribution of UK monthly inflation rates using sectoral inflation rates. Our approach is free of any assumptions on the structure of the distributions, or the number of dimensions in which the distributions may vary. Our framework provides an alte...
Article
Full-text available
Recently, Shin (2007) proposes new estimation procedure to analyse asymmetric thresh- old eects in a threshold autoregressive model in dynamic panels with unobserved individ- ual eects when the number of time periods is …xed by combining time series techniques on nonlinear threshold modelling with the existing FD-GMM estimation techniques. This pap...
Article
Comparing investments opportunities in the emerging and the developed markets is an important issue in the international portfolio management. However, it is well-established that the stock market returns are non-normal and have time-varying distributions. This creates a challenge in ranking alternative investment strategies especially in a dynamic...
Article
We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances among a group of 33 countries (26 regions). We account for structural instability by use of country-specific intercept shifts, the timings of which are identified taking into account both statistical evidence and our knowledge of h...
Article
Existing studies have used the dynamic, partial adjustment model of leverage to test the trade-off theory against alternative theories. The challenge of this approach is to consistently estimate both the speed of leverage adjustment and the long-run relationship underlying target leverage in short panels with individual fixed effects. This paper co...
Article
This paper extends the portfolio shifts model advanced by Evans and Lyons (2002a,b) by allowing for persistent mispricing and asymmetric pricing impacts of order flow. In particular, market under- and overreactions could happen and persist due to the presence of `behaviourally biased' traders while the asymmetric pricing impacts stem from varied ri...
Article
Full-text available
This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible approach to the modelling of interactions across panel units and can generate endogenous cross-sect...
Article
We extend GLS detrending procedure to testing for unit roots against STAR and SETAR alternatives. Monte Carlo simulations and applications to DM/Yen real exchange rates demonstrate that GLS detrending-based nonlinear unit root tests are more powerful than OLS detrending-based counterparts.
Article
Full-text available
Empirically, the sum of GARCH parameter estimates is found to be close to unity, suggesting that the conditional volatility of most stock return data are likely to follow an integrated GARCH (IGARCH) process. However, such an extremely high persistence in unconditional variance may be overstated because of neglected structural breaks or parameter c...
Article
We follow recent developments of panel data studies and allow for the existence of both observed and unobserved common factors where their individual responses are allowed to be heterogeneous. We then develop a generalized Hausman-Taylor estimation methodology, and apply our proposed estimation technique to an analysis of the gravity equation of bi...
Book
This book provides a comprehensive description of the state-of-the-art in modelling global and national economies. It introduces the long-run structural approach to modelling that can be readily adopted for use in understanding how economies work, and in generating forecasts for decision- and policy-makers. The book contains a thorough description...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Chapter
This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national economies in a global context. The first part of the book discusses the ways in which economic theory and econometric analysis can be brought together to...
Article
Full-text available
This paper proposes a new testing procedure to detect the presence of a cointegrating relationship that follows a globally stationary smooth transition process. In the context of nonlinear smooth transition error correction models (ECMs) we provide two simple operational versions of the tests. First, we obtain the associated nonlinear ECM-based tes...
Article
This paper proposes a panel-based mean group test for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across cross-section units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test statistic is shown to be distributed as standard norma...
Article
This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime, and therefore we propose that the null of a unit root be...
Article
Full-text available
It is now quite common to have panels in which both T, the number of time series observations, and N, the number of groups, are quite large and of the same order of magnitude. The usual practice is either to estimate N separate regressions and calculate the coefficient means, which we call the Mean Group (MG) estimator, or to pool the data and assu...
Article
Full-text available
In this paper we follow recent developments of panel data studies and explicitly allow for the existence of unobserved common time-specific factors where their individual responses are also allowed to be heterogeneous across cross section units. In the context of this extended panel data framework we generalize the Hausman-Taylor estimation methodo...
Article
Full-text available
This paper proposes the panel-based mean group tests for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across crosssection units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test statistic is shown to be distributed as standard nor...
Article
Full-text available
This paper consider the GLS detrending procedure advanced by Elliott et al. (1996) for unit root tests against alternative hypotheses where the time series data under investigation follow either globally stationary SETAR or STAR processes with deterministic components being present. It is found that the proposed testing procedures have considerable...
Article
Full-text available
This paper advances on previous work on the effects of trade and technical change on labour markets within the framework of Heckscher-Ohlin trade theory. First, we employ dynamic heterogeneous panel estimation techniques not previously used in this context, which separate Heckscher-Ohlin-based long run relationships from short run dynamics that are...
Article
Full-text available
This paper advances on previous work on the effects of trade on labour markets as identified by the Stolper-Samuelson theorem in three respects. First, we employ dynamic heterogeneous panel estimation techniques, which allows to investigate both (possibly homogeneous) long-run relationship and (possibly heterogeneous) short-run dynamics simultaneou...
Article
Full-text available
A vast and often confusing economics literature relates competition to investment in innovation. Following Joseph Schumpeter, one view is that monopoly and large scale promote investment in research and development by allowing a firm to capture a larger fraction of its benefits and by providing a more stable platform for a firm to invest in R&D. Ot...
Article
Full-text available
In this paper we propose a direct testing procedure to detect the presence of linear unit root against geometrically ergodic process defined by self exciting threshold autoregressive (SETAR) model with three regimes. Assuming that the process follows the random walk in the corridor regime, the null can be tested by the Wald test for the joint signi...
Article
A small quarterly macroeconometric model of the UK is estimated over the period 1965q1=1995q4 in eight core variables: domestic and foreign outputs, domestic and foreign prices (both measured relative to oil prices), the nominal effective exchange rate, nominal domestic and foreign interest rates and real money balances. The model is based on long-...
Article
The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the ‘theory first’ versus the ‘data first’ perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander’s argument in his paper “Economist...
Article
Full-text available
We argue that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a straightforward manner that is preferable to other alternatives, including the use of confidence intervals. Probability forecasts obtained using a small benchmark macroeconometric model and a number of other alternatives are presen...
Article
In this paper we propose a new testing procedure to detect the presence of a cointegrating relationship that follows a globally stationary smooth transition autoregressive (STAR) process. We start from a general VAR model, embed the STAR error correction mechanism (ECM) and then derive the generalised nonlinear STAR error correction model. We provi...
Article
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and inte...
Article
In this paper, we propose a simple testing procedure to detect the presence of nonstationarity against nonlinear but globally stationary exponential smooth transition autoregressive processes. We provide an advance over the existing literature in three senses. First, we derive the limiting nonstandard distribution of the proposed tests. Second, we...
Article
We argue that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a straightforward manner that is preferable to other alternatives, including the use of confidence intervals. Probability forecasts obtained using a small benchmark macroeconometric model and a number of other alternatives are presen...
Article
This paper proposes unit root tests for dynamic heterogeneous panels based on the mean of individual unit root statistics. In particular it proposes a standardized t-bar test statistic based on the (augmented) Dickey–Fuller statistics averaged across the groups. Under a general setting this statistic is shown to converge in probability to a standar...
Article
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR and SETAR models. We provide analysis on the asymptotic...
Article
Full-text available
This paper advances on previous work on the effects of trade and technical change on labour markets within the framework of Heckscher- Ohlin trade theory. First, we employ dynamic heterogeneous panel estimation techniques not previously used in this context. Second ,w e provide evidence for an unskilled labor abundant developing country. Third, we...
Article
This paper contributes empirically to our understanding of informed traders. It analyzes traders' characteristics in a foreign exchange electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with high price impact. More information is co...
Article
Full-text available
There has been a large anomaly literature whererm specic characteristics such as earnings-to-price ratio and book-to-market ratio as well as size help explain cross sectional returns. These anomalies that have been attributed to market ine±ciency could be the result of a misspecication of the underlying factor pricing model. The most popular approa...
Article
Full-text available
This paper argues that probability forecasts convey information on the uncertainties that surround macro-economic forecasts in a straightforward manner which is preferable to other alternatives, including the use of confidence intervals. Point and probability forecasts obtained using a small macro-econometric model, are presented and evaluated usin...
Article
The paper develops a general framework for identification, estimation, and hypothesis testing in cointegrated systems when the cointegrating coefficients are subject to (possibly) non-linear and cross-equation restrictions, obtained from economic theory or other relevant a priori information. It provides a proof of the consistency of the quasi maxi...
Article
This paper modifies a unit-root test procedure in the nonlinear STAR framework recently advanced by Kapetanios et al. [Journal of Econometrics (2001) in press]. Using a detrending methodology suggested by Schmidt and Phillips [Oxford Bulletin of Economics and Statistics 54 (1992) 257], we derive an alternative unit-root test and apply it to the bil...
Article
This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The proposed tests are based on standard F- and t-statistics used to test the signif...
Article
This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of efficient estimation of vector error correction models containing exogenous (1) variables is examined. The asymptotic distributions of the (log-)likelihood ratio statistics for testing cointegrating rank are derived under different interce...
Article
Full-text available
Forecasts are an inherent part of economic science and the quest for perfect foresight occupies economists and researchers in multiple fields. The release of economic forecasts (and its revisions) is a popular and often publicized event, with a multitude of institutions and think-tanks devoted almost exclusively to that task. The European Central B...

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