• The Journal of Korea Institute of Information, Electronics, and Communication Technology
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• v.12 no.3
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• pp.192-200
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• 2019

This paper is analyzed causality using cointegration test and impact response after deriving a causality between direct overseas purchasing and sale and macroeconomic variables. The model used for the empirical analysis is the vector error correlation model. The model is used the macroeconomic variables such as the consumer price index and the GDP, and e-commerce variables such as direct overseas purchasing, direct overseas sales and online shopping amount. According to empirical analysis, the direct overseas purchasing has the causality with the consumer price index, and GDP has the causality with direct overseas purchasing and online. According to the impact response analysis of the VECM, the direct overseas purchasing has a positive effect on the CPI and GDP, but the direct overseas sales has a negative effect on the CPI and GDP. In addition, both direct overseas purchasing and sales have a negative effect on online shopping, but it has been shown that the direct overseas purchasing has a bigger negative effect on online shopping.

• The Korean Journal of Applied Statistics
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• v.23 no.1
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• pp.81-93
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• 2010

Korea experienced a financial crisis in 1997. Since then Korea economy has undergone severe change such as exchange rate regime from the market average exchange rate system to the free floating exchange rate system in 1997, and the currency rate fluctuation has been widening. We empirically analyze the determination of the Won/Dollar exchange rate based on the monetary approach. We employ Lucas (1982), Bilson (1978) and Frankel (1979) models and consider some mixed models. We make use of monthly data of money supply, income, interest rate, capital balance, terms of trade, and the yen/dollar exchange rate over the period 1990-2009. We compare the empirical results of cointegration tests and the vector error correction model(VECM) from the two regimes, the pre and post korean financial crisis. The won/dollar exchange rate has long-run relationship with the variables in the monetarist models in the two regimes. For the post crisis regime, the Bilson model is the best and the long run variables also affect the short run dynamics of the won/dollar exchange rate.

• Environmental and Resource Economics Review
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• v.6 no.2
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• pp.171-191
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• 1997

83년 7월부터 NYMEX 선물시장에서 거래되기 시작한 원유선물은 90년대 들어 주식 채권 외환 등의 금융시장과 관련하여 크게 성장하고 있으며, 원유선물가격이 현물시장에서의 가격형성에 큰 영향을 미치고 있다. 따라서, 원유선물가격이 미래의 현물가격에 대한 최적의 예측치라고 하는 합리적기대모형(合理的期待模型)에 의거하여 원유선물 가격과 현물가격의 변화추이 및 그들 사이의 장(長) 단기(短期) 균형관계(均衡關係)(동태적통합(動態的統合))와 효율성(效率性)등을 일별(日別) NYMEX 선물유가(근월도래선물(近月到來先物)의 종가(終價))와 WTI 현물유가의 자료를 이용하여 계량분석하였다. 원유선물가격과 현물가격은 단위근(單位根)을 갖는 불안정(不安定)한 시계열이지만, 선물유가와 현물유가사이에는 공적분관계(共積分關係)(공통확률적추세(共通確率的趨勢))가 있어 장기적(長期的) 균형관계(均衡關係)가 존재하며, 또한 공시계열상관관계(共時系列相關關係)(공통안정적순환(共通安定的循環))가 있어 단기적(短期的) 균형관계(均衡關係)도 존재하는 것으로 보여진다. 그리고 선물유가는 미래의 현물유가에 대한 예측력이 있는 것으로 보여진다. 따라서, 원유선물가격이 미래의 현물가격에 대한 최적의 예측치라고 히는 합리적기대모형(合理的期待模型)과 일치하는 것으로 나타났다. 원유선물가격이 현물가격과 장(長) 단기적(短期的)으로 동태적(動態的)인 균형관계를 보이고 있으므로 정부의 합리적인 수입선다변화정책과 유가자유화에 따른 석유업계의 효율적인 운영방안의 하나로 원유선물시장의 활용이 더욱 더 필요할 것으로 생각된다.

• Environmental and Resource Economics Review
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• v.12 no.3
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• pp.515-529
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• 2003

This theoretical model makes three contributions to the study on economic growth and environment. First, emissions are generated during final goods production and technology accumulation. Second, this paper assumes that pollution is directly increasing with increase in final goods output or in consumption. Third, we use reproducible factors associated with labor and capital input in production function and assume constant return to scale in reproducible factors. From growth rate condition we derived, increases in reproducible factors, increases in productivity of either the abatment or technology sector, and decrease in social discount rate would increase the sustainable growth rate. In empirical test, the environmental degradation did not effect the economic growth rate though other factors satisfied the growth rate condition equation. However, through the reinterpretation of this result, we found indirectly the fact of that an inverted U relationship between air pollution and economic growth rate would exist in 20 OECD countries using a panel data for the period of 1986~1995.

• The Korean Journal of Financial Management
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• v.20 no.2
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• pp.181-200
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• 2003

Comovement of international stock market prices has been lately a major controversy in the global stock market. This paper explores whether the common trend has really existed among the US, Japan and Korea's stock markets using the econometric techniques such as VAR, VECM as applied. Pair of indices from the exchange market and the over-the-counter market in each country has been tested, and the exchange market only has been turned out that the common trend existed. The dynamic analyses using the Granger causality test, impulse response function, and the forecast error decomposition have followed to show that the US stock market has played some important role in the Korea and Japan's market in the exchange as well as in the OTC market. The results of the paper imply that the more careful investigation with respect to the co-integration may be necessary in the global market integration studies.

• Journal of Digital Convergence
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• v.14 no.6
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• pp.157-165
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• 2016

The purpose of this study was to analyze the effect of the shipping industry real economy index on the stock prices of domestic shipping companies. The parameters used in this analysis were the stock price of H Company in South Korea and shipping industry real economy indices including BDI, CCFI and HRCI. The period analysis was from 2012 to 2015. The weekly data for four years of the stock price index of shipping companies, BDI, CCFI, and HRCI were used. The effects of CCFI and HRCI on the stock price index of domestic shipping companies were analyzed using the VAR model, and the effects of BDI on the stock price index of domestic shipping companies were analyzed using the VECM model. The VAR model analysis results showed that CCFI and HRCI had negative effects on the stock price index, and the VECM model analysis results showed that BDI also had a negative effect on the stock price index.

• Journal of Korea Port Economic Association
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• v.23 no.4
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• pp.228-243
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• 2007

This study porvides an empirical overview of the import patterns of Incheon port using an Engle-Granger cointegration technique and Johansen's multivariate cointegraion methodology test to check the stationarity of the model. The empirical results show that the import in Incheon port related to the economic variables. This paper also applies rolling regression to our model, indicating that import are endogeneous to the economic variable.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.13 no.10
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• pp.4506-4513
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• 2012

The purpose of this study is to analyze the causality of electricity consumption and econmic growth and draw policy implications. To do this, we used Testing Prodedures of Unit Root and Cointegration and then VECM and Granger causality test using data taken from China over the period 1971 to 2008. As results, there are long and short term causalities between electricity consumption and economic growth of China. These results provide a few implications to policy analysts in China. First it is still available that the electricity comes before the economic development. The increase of electricity consumption promotes economic growth. Of course there are other factors to the economic growth, but the stable supply of electricity is necessary. Second, this paper confirms the assertion that the increase of GDP expands electric consumption is valid.

• The Journal of the Korea Contents Association
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• v.15 no.10
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• pp.457-467
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• 2015

Despite the recent phenomena of Chonsei price increase, low interest rate and low growth, the indexes of financial and insurance industry production showed the results contrary to the common belief that the financial industry is sensitive to such financial crises. This is because the index of financial industry has continuously maintained a certain level of increase as opposed to the index of all industry production. Thus, this study aimed to analyze the dynamic correlation between the index of financial industry production and Chonsei price increase. A vector autoregression (VAR) model, which doesn't have a cointegrating relationship, was used to define the Chonsei price index and the indexes of all industry production and financial and insurance industry, which are macro economic variables, and describe the data. The results of the analysis on the time series data of 183 months from January 2000 to May 2015 showed that Chonsei price increase was not directly derived from the index of financial industry, but the finance industrial index affected Chonsei price increase.

• Journal of Korean Society of Forest Science
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• v.109 no.1
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• pp.99-108
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• 2020

Although the relationship between income and income inequality has previously been discussed, the present study applies a dynamic approach to analyze the specific relationship between forest household income and income inequality. For this analysis, a unit root test and a cointegration test were conducted to characterize the nature of income time-series data. After converting unstable time-series data into stable time-series data, a VAR model was estimated. Based on this model, an impulse-response was generated and variance-decomposition analysis was performed. These analyses showed that the effect of forest household income was relatively larger than that of the Gini coefficient, and that the impact of forest household income not only caused income to increase but also caused the Gini coefficient to decrease. In addition, the impact of the Gini coefficient had an impact on reducing forest household income and further increasing income inequality. We conclude that, with the aim of alleviating the inequality of forest household income, an income growth policy would be more effective than an income distribution policy.