• Title/Summary/Keyword: Contemporaneous cointegration

Search Result 3, Processing Time 0.017 seconds

Tests for Seasonal Cointegrating Vectors

  • Seong, Byeong-C.;Cho, Sin-S.;Ahn, Sung-K.
    • Proceedings of the Korean Statistical Society Conference
    • /
    • 2003.10a
    • /
    • pp.275-279
    • /
    • 2003
  • We obtain the asymptotic distributions of tests statistics for various types of seasonal cointegration based on GRR estimators of Ahn and Cho (2003). These tests are useful in testing for restrictions about cointegrating vectors after Chi-square tests for CCI and common PCIV in Ahn and Cho (2003) or tests for the known CCI and the known PCIVs have been performed.

  • PDF

The Interaction between Bank Lending and Housing Prices in Korea (은행대출과 주택가격 간의 상호작용)

  • Jeong, Jun Ho
    • Journal of the Economic Geographical Society of Korea
    • /
    • v.16 no.4
    • /
    • pp.631-646
    • /
    • 2013
  • This paper empirically explores the pattern of causality between bank lending and housing prices in Korea over a period of the early 1990s to the end of 2000s by employing a long term cointegration and short-term time series regression analysis. Although the contemporaneous correlation between bank lending and housing prices is large, the analysis shows that the intense interaction between credit growth and bank lending to household arises from a growth in banking lending responding to an increase in housing prices. In addition, the regulatory change such as the introduction of financial constraints on bank loans such as LTV and DTI in the early and mid-2000s has played a significant role in stabilizing financial and real estate markets.

  • PDF

Structural Vector Error Correction Model for Korean Labor Market Data (구조적 오차수정모형을 이용한 한국노동시장 자료분석)

  • Seong, Byeongchan;Jung, Hyosang
    • The Korean Journal of Applied Statistics
    • /
    • v.26 no.6
    • /
    • pp.1043-1051
    • /
    • 2013
  • We use a structural vector error correction model of the labor market to investigate the effect of shocks to Korean unemployment. We associate technology, labor demand, labor supply, and wage-setting shocks with equations for productivity, employment, unemployment, and real wages, respectively. Subsequently, labor demand and supply shocks have significant long-run and contemporaneous effects on unemployment, respectively.