• Journal of Korea Port Economic Association
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• v.26 no.2
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• pp.49-57
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• 2010

This paper examines the relationship between port import from China and macroeconomic variables such as international financial crisis, exchange rate, and industrial production during the period 2000-2009. I employ GPH cointegration methodology since the model must be stationary to avoid the spurious results. The empirical results show that our model is stationary as well as mean-reverting. This paper also applies impulse-response functions to get additional information regarding the responses of the port import to the shocks economic variables such as financial crisis, exchange rate, and industrial production. The results show that the response of port import to exchange rate and financial crisis declines at the first and dies out slowly.

• The Journal of the Korea Contents Association
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• v.12 no.9
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• pp.357-368
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• 2012

The purpose of this study is to empirically examine the impact of enterprise R&D investment on international trade in Korea under the new Normal Era. In order to test whether the time series data of trade variables are stationary or not, we put in operation unit root test and cointegration test. Based on VECM (Vector Error Correction Model), we also apply impulse response functions and variance decomposition to estimate the dynamic effects in the short-run and long-run. The results show that the relationship between enterprise R&D investment and international trade (export and import) exists in the long-run as well as in the short-run. The results of applying impulse response functions and variance decomposition also indicate that the impact of enterprise R&D investment on international trade is positive, and a significant portion of fluctuations in the trade variable is explained by enterprise R&D investment. Therefore, enterprise R&D investment must be continuously increased to improve economic growth with promoting trading competition power in Korea under the new Normal Era.

• Journal of Korea Port Economic Association
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• v.23 no.1
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• pp.1-18
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• 2007

The purpose of this study is to examine the effect of exchange rate volatility on Trading Volume of Container of Korea, and to induce policy implication in the contex of GARCH and regression model. In order to test whether time series data is stationary and the model is fitness or not, we put in operation unit root test, cointegration test. And we apply impulse response functions and variance decomposition to the structural model to estimate dynamic short run behavior of variables. The major empirical results of the study show that the increase in exchange rate volatility exerts a significant negative effect on Trading Volume of Container in long run. The results Granger causality based on an error correction model indicate that uni-directional causality between trading volume of container and exchange rate volatility is detected. This study applies impulse response function and variance decompositions to get additional information regarding the Trading Volume of Container to shocks in exchange rate volatility. The results indicate that the impact of exchange rate volatility on Trading Volume of Container is negative and converges on a stable negative equilibrium in short-run. Th exchange rate volatility have a large impact on variance of Trading Volume of Container, the effect of exchange rate volatility is small in very short run but become larger with time. We can infer policy suggestion as follows; we must make a stable policy of exchange rate to get more Trading Volume of Container

• Environmental and Resource Economics Review
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• v.12 no.2
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• pp.327-346
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• 2003

Unlike previous studies on the causal relationship between energy consumption and economic growth, this paper analyses the dynamic causal relationship between these variables using the dynamic vector using Johansen's multiple cointegration procedure, dynamic vector error-correction model and impulse response function. The empirical results show that while the energy consumption to a shock in income responds positively, the income responds positively to the shocks in energy consumption in the first place and then the responses become negative. We also find that the impact of energy consumption shock on the income is short-lived and causes higher inflationary pressure.

• Journal of Korea Port Economic Association
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• v.27 no.2
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• pp.27-38
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• 2011

The paper aims at examining the behavioral characteristics of the passenger car export of Gunsan, Pyeongtaek, and Ulsan port. This is accomplished by modelling export demand as exchange rate and the Unites States industrial production. All series span the period January 2001 to December 2010. I first show that both the series and the residuals are stationary at the 5 percent significance level. The result cannot reject the null hypothesis of a unit root in each of the level variables and of a unit root for the residuals from the cointegration regression at the 5 percent significance level. I hitherto make use of forecast error decomposition and historical decompositions The forecast error decomposition indicates that car export is endogenous to industrial production and exchange rate. The historical decompositions for the export show that the entire difference between actual export and the base forecast can be attributed to industrial production shocks since exchange rate moves closer to the actual data or the base forecast. It indicates that industrial production outperforms exchange rate in explaining the passenger car exports.

• 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 the Korean Data and Information Science Society
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• v.22 no.3
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• pp.401-412
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• 2011

This study uses a vector error correction model to analyze the daily time series data of the spot price of EUA (European Union Allowance). As endogenous variables, five variables are considered for the analysis, including prices of crude oil, natural gas, electricity and coal in addition to carbon price. Data period is Phase 2 period (April 21, 2008 to March 31, 2010) to avoid Phase 1 period (2005-2007) where the EUA prices were distorted. Unit-root and cointegration test results reveal that all variables have a unit root and cointegration vectors exist, so a vector error correction model is adopted instead of a vector autoregressive model.

• Journal of Korea Port Economic Association
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• v.23 no.4
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• pp.159-175
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• 2007

The purpose of this study is to examine the causal relationship between trading volume of freight and industrial growth in Korea ports, and to induce policy implications. In order to test whether time series data is stationary and the model is fitness or not, we put in operation unit root test, cointegration test. And we apply Granger causality based on an error correction model, Hsiao(1981) method and variance decomposition. The results indicate that the extent of causality between trading volume of freight and industrial growth is strong in order of Incheon port, Busan port, Gwang Yang port, Ulsan port. We can infer policy suggestions as follows; The port policy of government must be focused on re-adjusting investment among Korea ports and raising competitive power of Korea ports

• Korea Trade Review
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• v.42 no.6
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• pp.131-154
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• 2017

In international trade, transportation generally has the largest and direct impact on freight costs. However, it is also sensitive to external factors such as global economic conditions, global trade volume and exchange rate. Therefore, it is necessary to examine the relationship and influence of international trade in terms of external factors that affect the change of imports and exports by marine and air transportation through empirical analysis. In particular, the analysis of the impact of these external factors on marine and air transportation is an important topic when recent exchange rate changes are significant, and it is also necessary to analyze what transportation means are more sensitive to exchange rate changes. In this study, we use the Vector Error Correction Model to analyze the dynamic effects of changes in exchange rate and domestic and international economic conditions on marine and air transportation from January 2000 to March 2017. Respectively. Alos, Impulse response function and variance decomposition were examined.

• Journal of Korea Port Economic Association
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• v.32 no.3
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• pp.35-46
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• 2016

This study investigates the export behavior of Busan, Gwangyang and Incheon Port. The monthly data cover the period from January 2000 to December 2015. We employ six export functions composed of various exchange rates and industrial production index. This paper finds that the nominal effective exchange rate is more appropriate for explaining the export behaviors of the three ports, regardless of the narrow and wide indices which comprise 26 and 61 economies for the nominal and real indices respectively. This paper tests whether exchange rate and industrial production are stationary or not, rejecting the null hypothesis of a unit root in each of the level variables and of a unit root for the residuals from the cointegration at the 5 percent significance level. The error-correction model is estimated to find that both Gwangyang and Incheon ports are much slower than Busan port in adjusting the short-run disequilibrium and Gwangyang port is a little slower than Incheon port. The rolling regressions show that the influence of exchange rate as well as industrial production tends to decrease in all of three ports. The variance decomposition, however, shows that the export variables are very exogenous and the export of Busan Port is the least exogenous and that of Gwangyang Port the most. This result indicates that the economic variables such as exchange rate and economic activity affect the export of Busan Port more strongly than that of Gwangyang and Incheon Port.