• 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

• KDI Journal of Economic Policy
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• v.18 no.1
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• pp.217-270
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• 1996

실제(實際)GDP와 잠재(潛在)GDP의 차이로 정의되는 GDP갭의 변화는 경기변동(景氣變動)을 반영하는 동시에 실물경제의 흐름과 물가압력을 연계하는 거시경제변수라고 할 수 있다. 그러나 통상적인 의미의 GDP갭은 경기변동의 근원적(根源的) 요인(要因)(sources of business cycle) 에 대한 설명력이 결여되어 있음을 감안하여 본고(本稿)에서는 주로 경제의 총수요(總需要) 측면에 초점을 맞추어 GDP갭을 추정하였다. 추정된 GDP갭의 변화패턴이 경기변동의 정점(頂點)및 저점(底點)과 거의 일치(一致)하는 동시에 과거 경제운영 과정에서의 주요 정책변화(政策變化)와 일관성(一貫性)을 보이고 있어 현실경제에 대한 설명력이 높은 것으로 평가(評價)된다. 또한 추정된 GDP갭은 수요봉인(需要奉引)에 의한 물가상승(物價上昇)과 밀접하게 연계되어 있으며, 총통화(總通貨) 및 금리(金利)의 변화(變化)와도 높은 상관관계를 나타내고 있다. 경기변동(景氣變動)의 요인(要因)을 수요(需要)측면과 공급(供給)측면으로 구분하여 살펴본 결과 수요변화는 단기적인 성장효과에도 불구하고 장기적(長期的)으로는 물가(物價)에 보다 큰 영향을 미치고 있는 반면, 공급측면의 변화는 장단기(長短期) 모두에 있어서 성장(成長)과 물가(物價)에 지속적인 영향을 미치는 것으로 추정되었다. 또한 물가안정을 위한 총수요긴축(總需要緊縮)에 수반되는 단기적인 성장둔화(成長鈍化) 효과가 상대적으로 큰 것으로 나타나고 있으며, 우리 경제의 높은 해외의존도(海外依存度)로 인하여 해외(海外)로부터의 공급충격에 따른 실물부문(實物部門)의 경기변동이 적지 않았다는 결과가 도출되었다. 이러한 실증분석 결과의 시사점은 (1) 물가안정에 수반되는 경제적(經濟的) 비용(費用)이 크므로 처음부터 물가압력(物價壓力)이 확대되지 않도록 경제(經濟)를 안정적(安定的)으로 운영하는 것이 바람직하며, (2) 자본자유화(資本自由化) 등의 진전으로 실물부문뿐만 아니라 금융부문(金融部門)도 해외(海外)로부터의 공급충격에 직면하게 될 것으로 예상되므로 임금(賃金) 등의 요소비용(要素費用) 안정과 함께 구조조정(構造調整) 및 경쟁(競爭) 촉진(促進) 등을 통하여 경제의 체질(體質)을 개선(改善)하는 노력이 요구된다는 것으로 요약할 수 있다.

• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.429-442
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• 2015

Volatility forecasting in financial markets is an important issue because it is directly related to the profit of return. The volatility is generally modeled as time-varying conditional heteroskedasticity. A generalized autoregressive conditional heteroskedastic (GARCH) model is often used for modeling; however, it is not suitable to reflect structural changes (such as a financial crisis or debt crisis) into the volatility. As a remedy, we introduce the Markov regime switching GARCH (MRS-GARCH) model. For the empirical example, we analyze and forecast the volatility of the daily Korea Composite Stock Price Index (KOSPI) data from January 4, 2000 to October 30, 2014. The result shows that the regime of low volatility persists with a leverage effect. We also observe that the performance of MRS-GARCH is superior to other GARCH models for in-sample fitting; in addition, it is also superior to other models for long-term forecasting in out-of-sample fitting. The MRS-GARCH model can be a good alternative to GARCH-type models because it can reflect financial market structural changes into modeling and volatility forecasting.

• The Journal of the Korea Contents Association
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• v.13 no.7
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• pp.432-439
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• 2013

In this study, we evaluate the volatility of housing prices by using literature review and empirical analysis and furthermore we suggest how to improve. In order to diagnose housing market, the KB Bank's House Price Index, Real estate 114;s materials were compared. In addition, to examine the volatility, GARCH (Generalized Autoregressive Conditional Heteroskedasticity) and EGARCH (Exponential GARCH) model are used. By analysis of this research, we found the volatility of housing price also was reduced in the medium and the large houses since 1998, while the volatility of small housing price relatively was large. We proved that the price change rate of small housing was higher than the medium's. On the order hand, the supply of small apartments fell down sharply. The short-term oriented policy should be avoided, and the efficiency and credibility of policy should be increased. Furthermore, the long-term policy system should be established. and rental market's improvement is necessary for stabilization of housing market.

• The Korean Journal of Applied Statistics
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• v.36 no.4
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• pp.295-307
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• 2023

The heterogeneous autoregressive (HAR) model is a simple linear model that is commonly used to explain long memory in the realized volatility. However, as realized volatility has more complicated features such as conditional heteroscedasticity, leverage effect, and volatility clustering, it is necessary to extend the simple HAR model. Therefore, to better incorporate the stylized facts, we propose a threshold HAR model with GARCH errors, namely the THAR-GARCH model. That is, the THAR-GARCH model is a nonlinear model whose coefficients vary according to a threshold value, and the conditional heteroscedasticity is explained through the GARCH errors. Model parameters are estimated using an iterative weighted least squares estimation method. Our simulation study supports the consistency of the iterative estimation method. In addition, we show that the proposed THAR-GARCH model has better forecasting power by applying to the realized volatility of major 21 stock indices around the world.

• Journal of the Korean earth science society
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• v.28 no.4
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• pp.478-490
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• 2007

With groundwater data of seawater intrusion monitoring network in coastal areas of Korea's main land, we analyzed types of seawater intrusion through the coastal aquifer. The data including groundwater level, temperature and electrical conductivity obtained from 45 monitoring wells at 25 watershed regions were evaluated. Based on statistical analysis, correlation analysis and variation type analysis, groundwater levels were mainly affected by rainfall and artificial pumping. About 78% of the monitoring wells showed average temperature higher than $15^{\circ}C$ and about 58% of them showed minimum variations less than $0.2^{\circ}C$. Electrical conductivities showed a large magnitude of variation and irregular characteristics compared with groundwater levels and temperatures. Average electrical conductivities lower than $2,000\;{\mu}S/cm$ were observed at 28 monitoring wells while those of higher than $10,000\;{\mu}S/cm$ were done at 9 monitoring wells. From the cross-correlation analysis, groundwater levels were mostly affected by precipitation while temperature and electrical conductivity showed very low correlation. Meanwhile tidal variations strongly affected the groundwater levels comparing to precipitation. We classified the long-term monitoring data according to variation types such as constant process, linear trend, cyclic variation, impulse, step function and ramp. Impulse type was dominant for variations of groundwater level, which was largely affected by rainfall or artificial pumping, the constant process was dominant for temperature. Compared with groundwater level and temperature, electrical conductivities showed various types like linear trend, step function and ramp. According to the discrepancy of variation characteristics for monitoring data at each well in the same region, periodical analysis of monitoring data is essentially required.

• Journal of the Korean earth science society
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• v.43 no.1
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• pp.30-40
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• 2022

Wildfires, which occur sporadically and irregularly worldwide, are distinct natural disturbances in combustible vegetation areas, important parts of the global carbon cycle, and natural disasters that cause severe public emergencies. While many previous studies have investigated the variability and changes in wildfires globally based on fire emissions, burned areas, and fire weather indices, studies on East Asia are still limited. Here, we explore the characteristics of variability and changes in wildfire danger over East Asia by analyzing the fire weather index for the 40 years-1981-2020. The first empirical orthogonal function (EOF) mode of fire weather index variability represents an increasing trend in wildfire danger over most parts of East Asia over the last 40 years, accounting for 29% of the total variance. The major contributor is an increase in the surface temperature in East Asia associated with global warming and multidecadal ocean variations. The effect of temperature was slightly offset by the increase in soil moisture. The second EOF mode exhibits considerable interannual variability associated with the El Nino-Southern Oscillation, accounting for 17% of the total variance. The increase (decrease) in precipitation in East Asia during El Nino (La Nina) increases (decreases) soil moisture, which in turn reduces (increases) wildfire danger. This dominant soil moisture effect was slightly offset by the temperature increase (decrease) during El Nino (La Nina). Improving the understanding of variability and changes in wildfire danger will have important implications for reducing social, economic, and ecological losses associated with wildfire occurrences.

• Journal of Korea Port Economic Association
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• v.27 no.1
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• pp.263-280
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• 2011

The global financial crisis, triggered by the subprime mortgage crisis in 2007, has put the world economy into the recession with financial market turmoil. I tested whether variables were cointegrated or whether there was an equilibrium relationship. Also, Generalized impulse-response function (GIRF) and accumulation impulse-response function (AIRF) may be used to understand and characterize the time series dynamics inherent in economical systems comprised of variables that may be highly interdependent. Moreover, the IRFs enables us to simulate the response in freight to a shock in the USD/JPY exchange rate, Dow Jones industrial average index, Dow Jones volatility, Chinese Import volatility. The result on the cointegration test show that the hypothesis of no cointergrating vector could be rejected at the 5 percent level. Also, the empirical analysis of cointegrating vector reveals that the increases of USD/JPY exchange rate have negative relations with freight. The result on the impulse-response analysis indicate that freight respond negatively to volatility, and then decay very quickly. Consequently, the results highlight the potential usefulness of the multivariate time series techniques accounting to behavior of Freight.

• Journal of the Korean earth science society
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• v.36 no.3
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• pp.199-209
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• 2015

The Atlantic meridional overturning circulation (AMOC), driven by high density water sinking around Greenland serves as a global climate regulator, because it transports heat and materials in the climate system. We analyzed the mechanism of AMOC on a decadal time scale simulated with the HadGEM2-AO model. The lead-lag regression analysis with AMOC index shows that the decadal variability of the thermohaline circulation in the Atlantic Ocean can be considered as a self-sustained variability. This means that the long-term change of AMOC is related to the instability which is originated from the phase difference between the meridional temperature gradient and the ocean circulation. When the overturning circulation becomes stronger, the heat moves northward and decreases the horizontal temperature-dominated density gradients. Subsequently, this leads to weakening of the circulation, which in turn generates the anomalous cooling at high latitudes and, thereby strengthening the AMOC. In this mechanism, the density anomalies at high latitudes are controlled by the thermal advection from low latitudes, meaning that the variation of the AMOC is thermally driven and not salinity driven.

• Journal of the Korean Society of Marine Environment & Safety
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• v.26 no.2
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• pp.195-205
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• 2020

Oceanic conditions in walleye pollock habitat in the East Sea have shown decadal fluctuations between warm and cold periods in turn. Specifically, sea surface temperature (SST) has shown a dramatic increase between the late 1980s and the middle 2000s, and abrupt decreasing patterns after the late 2000s. Oceanic conditions in the Dong-han Bay (spawning ground) and middle eastern coastal waters (fishing ground), however, indicated different fluctuation trends in SST, increasing in the Dong-han Bay after the late 1980s, and decreasing after the late 2000s. These fluctuation patterns were especially clear in February and March. Sea surface temperature in the middle eastern coastal waters of Korea soared continuously after the late 1980s, but did not show a distinct decreasing pattern after the late 2000s compared with Dong han Bay, except for February SST values. These long term water temperature changes in both walleye pollock spawning and fishing ground are related to variation in walleye pollock landings. Especially, abrupt changes in spawning ground SST can be one of the factors influencing survival in the early ontogenesis of walleye pollock, including egg and yolk larval stages. During the 1980s, the area of suitable spawning temperature (2-5℃) was wider, and the length of Walleye pollock egg and larval stages greater compared with past and present oceanographic environments. However, such patterns did not correspond with the optimal spawning temperature range and greater length of development of walleye pollock during the late 1980s likely triggering a decline in pollock stock. In conclusion, it has been supposed that the dramatic decrease in walleye pollock landings in the East Sea since the late 1980s was caused by increasing water temperature leading to both early mortality and unsuitable spawning conditions.