• Asia-Pacific Journal of Business
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• v.14 no.3
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• pp.221-240
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• 2023

Purpose - This paper investigates how business cycle impacts on corporate credit spreads since global financial crisis. Furthermore, it tests how the impact changes by the phase of the cycle. Design/methodology/approach - This study collected dataset from Barclays Global Aggregate Bond Index through the Bloomberg. It conducted multi-regression analysis by projecting business cycle using Hodrick-Prescott filtering and various cyclical variables, while ran dynamic analysis of 5-variable Vector Error Correction Model to confirm the robustness of the test. Findings - First, it proves to be statistically significant that corporate credit spreads have moved countercyclicaly since the crisis. Second, It indicates that the corporate credit spread's countercyclicality to the macroeconomic changes works symmetrically by the phase of the cycle. Third, the VECM supports that business cycle's impact on the spreads maintains more sustainably than other explanatory variable does in the model. Research implications or Originality - It becomes more appealing to accurately measure the real economic impact on corporate credit spreads as the interaction between credit and business cycle deepens. The economic impact on the spreads works symmetrically by boom and bust, which implies that the market stress could impact as another negative driver during the bust. Finally, the business cycle's sustainable impact on the spreads supports the fact that the economic recovery is the key driver for the resilience of credit cycle.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.8
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• pp.225-231
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• 2020

The paper aims to investigate the impact of trade integration on business cycle synchronization for the East Asian countries during 2005- 2017 based on the endogeneity hypothesis of Optimum Currency Area criteria. We test the determinants of business cycles by calculating bilateral trade, financial integration, and business cycle synchronization. Applying the system Generalized Method of Moments for dynamic panel data models, the results show that business cycle synchronization is highly associated with trade and financial integration. These findings confirm the endogeneity hypothesis that more trade integration will mitigate asymmetric shocks, and have a positive impact on the business cycle synchronization. The increased trade intensity and financial linkage lead to more correlated business cycles in East Asia. Apart from trade and financial integration, the trade structure differential, monetary policy similarity also influence the business cycle comovement. The significantly negative impact of trade structure differential on business cycle synchronization suggests that countries with less similar structures are more likely to undergo asymmetric shocks. The results also indicate that monetary policy matters for output comovement. This study recommends that the East Asian countries should focus on bilateral trade as well as financial integration with each other to reap benefits from the integration process.

• Journal of Korean Society for Quality Management
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• v.51 no.4
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• pp.573-588
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• 2023

Purpose: This study presents a research approach that utilizes deep reinforcement learning to construct optimal portfolios based on the business cycle for stocks and other assets. The objective is to develop effective investment strategies that adapt to the varying returns of assets in accordance with the business cycle. Methods: In this study, a diverse set of time series data, including stocks, is collected and utilized to train a deep reinforcement learning model. The proposed approach optimizes asset allocation based on the business cycle, particularly by gathering data for different states such as prosperity, recession, depression, and recovery and constructing portfolios optimized for each phase. Results: Experimental results confirm the effectiveness of the proposed deep reinforcement learning-based approach in constructing optimal portfolios tailored to the business cycle. The utility of optimizing portfolio investment strategies for each phase of the business cycle is demonstrated. Conclusion: This paper contributes to the construction of optimal portfolios based on the business cycle using a deep reinforcement learning approach, providing investors with effective investment strategies that simultaneously seek stability and profitability. As a result, investors can adopt stable and profitable investment strategies that adapt to business cycle volatility.

• Journal of Korea Technology Innovation Society
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• v.5 no.2
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• pp.129-140
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• 2002

This study is try to do the empirical tests on the relationship among innovation cycle, investment cycle, and business cycle suggested in recent economic growth models. We apply co-spectra analysis to estimate dynamic correlations in the extraction HP filtered variables and first difference filtered variables in our data set. Our empirical results are; (i) an existing asynchronization between innovation cycle and investment cycle, (ii) in the long frequency, an existing positive correlation between innovation cycle and business cycle, (iii) in the short frequency, however, a finding the high negative correlation between the two cycle. Our empirical findings support the recent growth through cycle models and suggest some economic policy implementations for economic stabilization during a severe business cycle.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2015.11a
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• pp.192-193
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• 2015

Construction Cycle Trend Survey, which survey total value of orders and realized amounts monthly, is a valuable statistics that used to quick grasp or forecast the trend of domestic construction business. In recent periodical survey quality diagnoses, few professional users named a problem that Construction Cycle Trend Survey could not get together with the current state of the construction industry. This study examined weather Construction Cycle Trend Survey reflects the economic sentiment of construction business or not. Paired t test was performed between Construction Cycle Trend Survey and Construction Business Survey Index (CBSI), and significant differences were verified.

• Korea Trade Review
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• v.46 no.5
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• pp.83-98
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• 2021

This study aims to examine the effects of international trade in intermediate input on the implications of international business cycle properties in Korea. To do this, I have extended standard one goods New Keynesian international business cycle model to incorporate the role of intermediate inputs. After constructing the DSGE model, I have analysed the impulse response function and varian decomposition results. The results show that the model could introduce a new channel, that is, "cost channel" like Eyquem and Kamber (2014). In other words, the model has changed the dynamics of aggregate inflation by the cost channel. When the trade in intermediate goods increase, which is measured by openness of foreign input, the volatility of output, consumption and inflation increase two or three times. However, the model itself fails to explain the full account of cycle behavior of historical data, but the results imply that the trade in intermediate input assumption can help to improve the forecasting ability of international business cycle models.

• KDI Journal of Economic Policy
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• v.31 no.2
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• pp.47-85
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• 2009

With a relatively simple quantitative method, this study comprehensively analyzes the characteristics related to business cycles represented by macroeconomic variables of Korea since 1970. This empirical analysis deals with roughly following three topics: How to identify cyclical component with respect to trend; with what characteristics and how the economic variables of each sector move with in the phases of business cycle, and; whether there are signs of a structural change in the phases of business cycle. Section 2 discusses how to identify trends and cycle components, the basis assumption for the analysis of business cycle. Like the Korean economy, where a relatively high growth rate has been maintained, it is appropriate to determine its economic recession based on the fall in the growth trend, not in the absolute level of real output. And, it is necessary to apply the concept of growth cycle against a traditional concept of business cycle. Accordingly the setting of growth trend is of preliminary importance in identifying cyclical fluctuations. The analysis of Korea's GDP data since 1970, the decomposition of trends and cycles through the Band-pass filter is found to appropriately identify the actual phases of busyness cycle. Section 3 analyzes what particular relationship various economic variables have with output fluctuations during the phases of economic cycle, using the corss-correlation coefficients and prediction contribution. Section 4 monitors the stability of the phases of Korea's business cycle and quantitatively verifies whether there is a structural break, and then reviews the characteristics of variations in each sector. And, stylized facts observed through these studies are summarized in the conclusion. The macroeconomic stability of Korea, in particular, is found to continue to improve since 1970, except for the financial crisis period. Not only that, it is found that its volatility of economic growth rate as well as inflation have been reduced gradually. Meanwhile, until recently since 2000, the volatility in domestic demand has remained stable, while that in exports and imports has been increased slightly. But, in an over all perspective, Korea's business cycle variation is on the decline due to shorter response period to shocks and the formation of complementary relationship among economic sectors.

• East Asian Economic Review
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• v.27 no.4
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• pp.327-346
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• 2023

In the recent 20 years, the capital flows between Korea and European Union have increased and diversified. In particular, the business cycles of two economies have shown similar patterns since the Global Financial Crisis. This study examines both trends and investigates the roles of finance and trade on business cycle co-movements between two economies. The empirical results show that the business cycles can diverge due to either the common shocks or the country-specific shocks. Furthermore, financial integration increases the business cycle co-movements driven by both the country-specific shocks and the common shocks between two economies.

• Journal of Digital Convergence
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• v.18 no.5
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• pp.145-155
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• 2020

The purpose of this study investigates the relationship between business strategy and cost behavior according to the corporate life cycle. To do so, I first examine the relationship between cost behavior and business strategy. And then, I analyze the effect of the business strategy on cost behavior conditional upon corporate life cycle based on listed Korean firms from 2000 to 2019. Specifically, the business strategy index is calculated by using the six continuous financial factors and the Prospector and Defender was defined on the score. Also, the corporate life cycle is distinguished based on the cash flow pattern. I find the evidence that the Prospector firms are likely to strengthen the asymmetry of cost behavior (cost stickiness), and examined that such a relationship was most strongly represented in the Introduction. This study is meaningful in that this is a more comprehensive analysis by examining business strategy and cost strategy according to the corporate life cycle and expand the application of financial information by using financial indicators to distinguish business strategies.

• Asia-Pacific Journal of Business
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• v.13 no.4
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• pp.45-59
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• 2022

Purpose - This study investigates the performance of investment strategies incorporating estimated stock market cycle based on a lead-lag relationship between business cycle and stock market cycle, thereby deriving empirical implications on risk management. Design/methodology/approach - The data period ranges from June 1953 to September 2022 and de-trended short rate, term spread, credit spread, stock market volatility are considered as major input variables to estimate business cycle and stock market cycle by applying probit model. Based on the estimated stock market cycle, two types of strategies are constructed and their performance relative to the benchmark is empirically examined. Findings Two types of strategies based on stock market cycle are considered: The first strategy is to long(short) on stocks when stock market stage is expected to be an expansion(a recession), and the second one is to long on stocks(bonds) when expecting an expansion(a recession). The empirical results show that the strategies based on stock market cycle outperforms a simple buy and hold strategy in both in-sample and out-of-sample investigation. Also the out-of-sample evidence suggests that the second strategy which is in line with asset allocation is more profitable than the first one. Research implications or Originality The strategies considered in this study are based on the estimated stock market cycle which only depends on a few easily available financial variables, thereby making easier to establish such a strategy. It implies that investors enhance investment performance by constructing a relatively simple trading strategies if they set their position on stocks or choose which asset class to buy conditioning on stock market cycle.