Hanwool Jang

#D501, Engineering Bldg. 4, Yonsei University 50 Yonsei-ro, Seodaemun-gu, Seoul, 03722, Republic of Korea [email protected]; sites.google.com/view/hanwooljang

Employment Yonsei University Department of Industrial Engineering Postdoctoral Fellow, 2020 - Present Department of Investment Information Engineering Lecturer, 2020 - Present

Education KAIST Moon Soul Graduate School of Future Strategy PhD in Engineering, 2018 - 2020 Thesis: Essays on Real Estate in the Theory of Finance MA in Management Studies, 2016 - 2018 Thesis: House Prices, Bubbles and Critical Times Tsinghua University, School of Mechanical Engineering BE in Vehicle Engineering, 2006 - 2010

Research Interests Real Estate, Economic Geography, Asset Pricing, Macroeconomics

Publications Economic impacts of being close to subway networks: A case study of Korean metropolitan areas with Ahn K, Song Y, Research in Transportation Economics 83, 100900, 2020 Can government stabilize the housing market? Evidence from South Korea with Song Y, Ahn K, Physica A: Statistical Mechanics and its Applications 550, 124114, 2020 Real estate soars and financial crises: Recent stories with Song Y, Sohn S, Ahn K, Sustainability 10(12), 4559, 2018 Detection and prediction of house price bubbles: Evidence from a new city with Ahn K, Kim D, Song Y, Computational Science 10862 (ICCS 2018, LNCS, Core: A, Accep- tance Rate < 30%) Hedonic dataset of the metropolitan housing marketcases in South Korea with Ahn K, An S, Song Y, Data in Brief (Accepted) Associations of transport accessibility with restaurants survival in Gwangju Metropolitan Area with Song Y, Lee K, Journal of the Economic Geographical Society of Korea 23(4), 425-437, 2020 (In Korean) Accessibility and spatial equity of subway networks in Seoul with Song Y, Lee K, Journal of the Economic Geographical Society of Korea 22(4), 513-525, 2019 (In Korean)

Working Papers Fixed rate mortgages: The cost of interest rate risk aversion (Under Review) Americans predominantly use fixed-rate mortgages (FRMs), especially when compared to other countries. The reason may originate from past experiences; 30-year FRM rates climbed to 16.0% in 1982, while unemployment simultaneously rose to 9.7%. This reliance on FRMs has continued Hanwool Jang 2

despite annual and lifetime caps on adjustable-rate mortgages (ARMs). Borrowers choose FRMs and pay a higher rate than on ARMs to avoid interest rate risk. This paper investigates the cost of choosing FRMs over ARMs, as their relative cost and risk are not well analyzed. We measure payment shock risk and the cost to avoid that risk. In particular, ex post analysis suggests that, relative to ARM borrowers, FRM borrowers pay 12% - 23% higher monthly payments to avoid 0.66% - 1.62% potential payment shocks in ARM loans. We further introduce a payment-saving strategy where the borrower saves the payment difference between an FRM and ARM, and then uses the savings to make up for payment shocks. This strategy reduces the risk of payment shocks to 0.17% - 0.35%, ex post. Our results provide a unique guide that homebuyers can use when choosing their type of home loan. Cash-in-Advance framework against the Quantity Theory of Money (In Revision) This article revisits the Lucas Illustration of the Quantity Theory of Money (QTM) and inves- tigates whether it holds in the US monetary market. The findings confirm that QTM does not hold in the short run and the Cash-in-Advance (CIA) model fails to replicate these empirical results because the economy under the CIA framework reacts too quickly to monetary shocks. To correct for this failure, this article incorporates the financial intermediary and default as an equilibrium phenomenon into the original CIA model. The results suggest that the modified CIA model fits the short-run QTM abnormality better compared to the original model. Seeking an Alternative: Information Flow between REITs and Other Investment Assets (R&R) This paper studies the contribution of REITs to alternative investment strategy. We find that mutual information flows between REITs and bonds but no information flows between REITs and stocks despite REITs and stocks are reknown to have interactions after the 1990s. The finding indicates that increased institutional investors, who have become dominant players in the bond market, have facilitated information transfer between bonds and REITs. In contrast, different dividend policy and capital structure on the stock market could lead to the lack of information exchange with the REIT market. Findings suggest that there is an advantage to diversifying by including REITs in equity portfolios. Forecasting the COVID-19 crash in the REIT market (Under Review) This study investigates the predictability of a crash in the Real Estate Investment Trust (REIT) market, particularly due to the coronavirus disease 2019 (COVID-19) pandemic, using the log- periodic power law model. Our results revealed that the model had the ability to predict critical times in the REIT market but with limited accuracy in comparison with the 2008 global financial crisis. Prior to the pandemic, the investors herding behavior was weak and the market efficiency was improving, thus indicating a low probability of forming speculative bubbles. Thus, the policymakers could use this bubble-based model to forecast a crash but should recognize its limitations. Therefore, market conditions, such as investors herding behavior and the degree of market efficiency, should be considered for the models predictions, along with comprehensive market information.

Work in Progress Does the autonomous vehicles mean the end of transit era? Market efficiency of US REITs: Revisit Price discovery between REITs Index-based spot and futures markets

Projects Basic Science Research Program, 2020 - Present Real estate pricing system: AI and Econometrics driven platform Global PhD Fellowship, 2019 - 2020 FRM vs. ARM: The optimal choice Future Strategy Research, 2018 Hanwool Jang 3

Bubble observatory Bridge Trust Asset Management Research Fund, 2018 Predicting the critical time of housing bubble 4th Industrial Revolution and Convergence Research, 2017 Predicting the critical time of financial bubble Research Experience Yonsei University Research Assistant, Prof. Kwangwon Ahn, 2019 - 2020 KAIST Research Assistant, Prof. Kwangwon Ahn, 2016 - 2019 Teaching Experience Instructor Yonsei University Principles of Financial Engineering (Fall 2020) Teaching Assistant Yonsei University Investment Information Engineering Seminar (Fall 2019) KAIST Quantitative Methods (Spring 2018) Course Assistant KAIST Time Series Analysis (Spring 2019) Advanced Statistics (Autumn 2018) Quantitative Methods (Spring 2017) Seminar/ Conference Presentations 2020 Korean Association of Regional Geographers: Fall Meeting (Online), Korea Korean Physical Society: Fall Meeting (Online), Korea Korean Physical Society: Spring Meeting (Online), Korea 2019 Korean Association of Regional Geographers, Catholic University of Daegu, Daegu, Korea Department of Investment Information Engineering, Yonsei University, Seoul, Korea AREUEA International conference, Bocconi University, Italy Thredbo, Nanyang Technological University, Singapore Asian Real Estate Society Annual Meeting, Shenzhen, China 2018 Annual Meeting of Korean Geographers, Seoul, Korea Asian Real Estate Society Annual Meeting, Incheon, Korea International Conference on Computational Science, Wuxi, China The Economic Geographical Society of Korea, Gwangju, Korea Association of American Geographers Annual Meeting, New Orleans, USA Graduate School of Future Strategy, KAIST, Daejeon, Korea Korea Research Institute for Human Settlements, Sejong, Korea Graduate School of Future Strategy, KAIST, Daejeon, Korea 2017 Physics in Economic and Social System, KAIST, Daejeon, Korea Hanwool Jang 4

Honors and Awards AFA Annual Meeting Travel Grant, 2020 KAIST Scholarship, 2016 - 2020

Ad Hoc Reviewer Long Range Planning, Research in Transportation Economics, Economies, Finance Research Letters, Transportation, PLoS ONE, Chaos Solitons & Fractals

Other Employment Sales Support Assistant Manager, Division of Power Distribution System, LSIS, 2016 Mechanical Design Engineer, Division of Electric Vehicle Power Control System, LSIS, 2013 - 2015 Serve in the Military, Korea Army, 2010 - 2012

Graduate Coursework Financial Economics, Financial Management, Principle of Macroeconomics, Macroeconomic Theory, Intermediate Macroeconomics, Econometrics, Advanced Econometrics, Quantitative Methods, Research Methods in Social Sciences, Microeconomics, Time Series Forecasting, Stochastic Pro- cesses, Derivatives

Skills Languages Korean, Fluent in English and Chinese Computer Languages and Statistical Packages C/C++, MATLAB, STATA, Python, R Database Bloomberg, WRDS Editing Skills LaTex

References Kwangwon Ahn Yonsei University [email protected] +82-2-2123-4017 Sungbin Sohn Peking University [email protected] +86-755-2603-5324 Dongshin Kim Pepperdine University [email protected] +1-310-506-7406 Yena Song Chonnam National University [email protected] +82-62-530-2682 Jooyoung Jeon KAIST Hanwool Jang 5

j.jeon@kaist.ac.kr +82-42-350-4032 Daeyong Lee Iowa State University [email protected] +1-515-294-6120