• Proceedings of the Korea Technology Innovation Society Conference
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• 1999.11a
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• pp.333-340
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• 1999

국제원유가격의 변동은 세계 각국의 경제에 상당한 영향을 미치고 있다. 이러한 원유가격의 변동을 정확히 예측하기 위해서는 원유가격 변동요인의 정립이 필히 요구된다. 본 연구에서는 전통적으로 원유가격의 중요한 변동요인으로 알려져 있는 OPEC의 원유생산량과 걸프전쟁 이후 주요한 국제원유가격 변동요인으로 주목받고 있는 미국의 원유재고량의 영향과 역할을 공적분(Cointegration) 모형과 오차수정모형(Error-Correction Model)을 통해 분석하였다. 분석결과, 원유생산량과 더불어 원유재고량도 원유가격의 중요한 변동요인으로 작용함을 알 수 있었다. 장·단기 탄력성의 경우, 원유생산량의 생산탄력성은 장기에 비해 단기에 더 탄력적으로 나타났으며 원유재고량의 재고탄력성은 단기에 비해 장기에 더 탄력적으로 나타났으며 장기에는 원유재고량의 변동이 생산량의 변동보다 오히려 원유가격에 더 큰 영향을 미치는 것으로 나타났다. 또한, 원유가격은 첫해에서 나타난 불균형을 대략 12%의 조정속도로, 장기균형으로 조정됨을 알 수 있었다.

• Proceedings of the Korea Technology Innovation Society Conference
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• 1999.11c
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• pp.331-340
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• 1999

국제원유가격의 변동은 세계 각국의 경제에 상당한 영향을 미치고 있다. 이러한 원유가격의 변동을 정확히 예측하기 위해서는 원유가격 변동요인의 정립이 필히 요구된다. 본 연구에서는 전통적으로 원유가격의 중요한 변동요인으로 알려져 있는 OPEC의 원유생산량과 걸프전쟁 이후 주요한 국제원유가격 변동요인으로 알려져 있는 OPEC의 원유생산량과 걸프 전쟁 이후 주요한 국제원유가격 변동요인으로 주목받고 있는 미국의 원유재고량의 영향과 역할을 공적분(Cointegration) 모형과 오차수정모형(Error-Correction Model)을 통해 분석하였다. 분석결과, 원유생산량과 더불어 원유재고량도 원유가격의 중요한 변동요인으로 작용함을 알 수 있었다. 장·단기 탄력성의 경우, 원유생산량의 생산탄력성은 단기에 비해 장기에 더 탄력적으로 나타났으며 장기에는 원유재고량의 변동이 생산량의 변동보다 오히려 원유가격에 더 큰 영향을 미치는 것으로 나타났다. 또한, 원유가격은 첫해에서 나타난 불균형을 대략 12%의 조정속도로, 장기균형으로 조정됨을 알 수 있었다.

• Proceedings of the KIEE Conference
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• 2007.07a
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• pp.808-809
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• 2007

전력수요는 경기변동과 밀접한 관련성을 가지고 동행적으로 움직이며, 전력자료는 경제자료에 비해 조기 관측되는 선행성이 있다. 본 연구에서는 GDP 전망을 위해 발전량이 유용하게 사용될 수 있는가를 살펴 보았다. 발전량과 GDP의 관련성은 그랜저 인과관계 검정을 통해서 검증해 보았으며, 발전량 자료 취득의 선행성은 선행차수를 변화시켜 보면서 관련성이 어떻게 변하는가를 살펴보았다. 실제 자료를 이용하여 분석하고, 2004년부터 2006년 기간의 전망치를 평가한 결과, 본 논문에서 살펴 보고자 했던 발전량과 GDP 사이에는 아주 높은 관련성이 있음을 확인할 수 있었고 또한 발전량 자료를 이용함으로써 실제로 GDP 전망의 예측력을 상당히 개선시킬 수 있음을 볼 수 있었다. 발전량과 GDP 사이의 관계는 시간변동계수를 가지는 공적분 및 오차수 정모형을 이용하여 모형화하였다.

• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.89-99
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• 2012

This study investigates the Granger-causality between economic growth and demand for electricity in Korea, using two quarterly time-series data (real GDP and electricity consumption) for 1970:Q1 through 2009:Q4. We apply Hsiao's sequential procedure to identify a vector autoregressive model to a decision of the optimal lags in the vector error-correction model because the two time-series data contain unit roots respectively and they are cointegrated. According to the empirical results in this study, we find that Hsiao's approach to the Granger-causality indicates a bidirectional causal relation between economic growth and demand for electricity in Korea. Following the Granger and Engle's approach, we also find the statistical evidence on (1) short-run bidirectional causality between real GDP and electricity consumption, (2) bidirectional strong causality between them, and (3) long-run unidirectional causality running from demand for electricity to economic growth. Our results show an inconsistency with the existing studies on Korea's case; however, the results appear to provide more meaningful policy implications for the Korean economy and its strategy of sustainable growth.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.125-162
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• 2003

This paper investigates the short- and long- run relationship among Korean, U.S. and Japanese construction indices. We conducted the Johansen's cointegration tests on the hypotheses that the construction indices of three countries we related in the long-run as well as in the short-run. The test results show that there exists no long-run relationship among three countrie's construction indices. In addition, the cointegrating relation did not exist for three countrie's stock market indices and five major Korean construction firms. It fumed out that the U.S. indices Granger-causes Japanese and Korean indices. This finding implies that there may exist international diversification benefit through forming a portfolio from these indices.

• Journal of Korea Port Economic Association
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• v.27 no.3
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• pp.41-64
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• 2011

This article investigates the interrelationships in daily returns using fractionally integrated error correction term and volatilities using constant conditional correlation and dynamic conditional correlation GARCH with asymmetries between Capesize and Panamax markets. Our findings are as follows. First, for the fractionally cointegrated error correction model, there is a unidirectional relationship in returns from the Panamax market to the Capesize market, but a bidirectional causal relationship prevails for the traditional error correction models. Second, the coefficients for the error correction term are all statistically significant. Of particular interest are the signs of the estimates for the error correction term, which are all negative for the Capesize return equation and all positive for the Panamax return. Third, there are bidirectional volatility spillovers between both markets and the direction of the information flow seems to be stronger from Panamax to Capesize. Fourth, the coefficients for the asymmetric term are all significantly positive in the Capesize market, but the Panamax market does not have a significant effect. However, the coefficients for the asymmetric term are all significant, implying that the leverage effect does exist in the Capesize and Panamax markets.

• Korea Trade Review
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• v.48 no.3
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• pp.69-88
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• 2023

This study analyzes the dynamic characteristics of cargo volume (demand), ship fleet (supply), and freight rate (price) of container, dry bulk, and tanker shipping markets by using the VAR and VECM models. This analysis is expected to enhance the statistical understanding of market dynamics, which is perceived by the actual experiences of market participants. The common statistical patterns, which are all shown in the three shipping markets, are as follows: 1) The Granger-causality test reveals that the past increase of fleet variable induces the present decrease of freight rate variable. 2) The impulse-response analysis shows that cargo shock increases the freight rate but fleet shock decreases the freight rate. 3) Among the three cargo, fleet, and freight rate shocks, the freight rate shock is overwhelmingly largest. 4) The comparison of adjR² reveals that the fleet variable is most explained by the endogenous variables, i.e., cargo, fleet, and freight rate in each of shipping markets. 5) The estimation of co-integrating vectors shows that the increase of cargo increases the freight rate but the increase of fleet decreases the freight rate. 6) The estimation of adjustment speed demonstrates that the past-period positive deviation from the long-run equilibrium freight rate induces the decrease of present freight rate.

• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.93-104
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• 2022

In forecasting realized volatility of the major US stock price indexes (S&P 500, Russell 2000, DJIA, Nasdaq 100), internet search volume reflecting investor's interests and implied volatility are used to improve forecast via a deep learning method of the LSTM. The LSTM method combined with search volume index produces better forecasts than existing standard methods of the vector autoregressive (VAR) and the vector error correction (VEC) models. It also beats the recently proposed vector error correction heterogeneous autoregressive (VECHAR) model which takes advantage of the cointegration relation between realized volatility and implied volatility.

• Environmental and Resource Economics Review
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• v.19 no.3
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• pp.571-595
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• 2010

This research applies an panel data stationarity and stochastic convergence test developed by Carrion-i-Silvestre et al. (2005), which has the advantage of considering multiple structural breaks and the presence of cross-section dependence in order to investigate the hypothesis that relative emission $CO_2$ per capita stochastically converge for 11 Asian countries from 1971~2007. We find that relative emission $CO_2$ per capita is stationary after the structural breaks and cross-section dependence are introduced into the model. We also investigate whether Environmental Kuznets Curve (EKC) hypothesis exists in 11 Asian countries. For EKC test, using the panel cointegration tests of Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton(2007), we find that relative emission $CO_2$ per capita and relative GDP per capita are cointegrated. However EKC hypothesis in 11 Asian countries is not supported.

• Journal of Korea Water Resources Association
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• v.37 no.10
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• pp.869-880
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• 2004

The purpose of this study is to examine relationship between water consumption and economic growth in Korea, and to obtain policy implications of the results. To this end, we attempt to provide more careful consideration of the causality issues by applying rigorous techniques of Granger causality. Tests for unit roots, co-integration, and Granger causality based on an error-correction model are presented. The existence of bi-directional causality between water consumption and economic growth in Korea is detected. This finding has various implications for policy analysts and forecasters in Korea. Economic growth requires enormous water consumption, though there are many other factors contributing to economic growth, and water consumption is but one part of it. Thus, this study generates confidence in decisions to invest in the water supply infrastructure. Moreover, this study lends support to the argument that an increase in real income, ceteris paribus, gives rise to water consumption. Economic growth results in a higher proportion of national income spent on water supply services and stimulates further water consumption.