Three Essays on Money and Asset Pricing

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Kang, Hwan Koo

Contributors dc:contributor

• Bart Taub

• Economics, Theory

Language dc:language

eng

Identifier

(MiAaPQ)AAI3314812

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/85590