• 유통과학연구
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• 제13권11호
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• pp.39-46
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• 2015

Purpose - In Korea, there has been a recent trend that shows housing prices have risen rapidly following the International Monetary Fund crisis. The rapid rise in housing prices is spreading recognition of this as a factor in housing price volatility. In addition, this raises the expectations of housing prices in the future. These expectations are based on the assumption that a relationship exists between the current housing prices and expected housing prices in the real estate industry. By performing an empirical analysis on the validity of the claim that an increase in current housing prices can be correlated with expected housing prices, this study examines whether a long-term equilibrium relationship exists between expected housing prices and existing housing prices. If such a relationship exists, the recovery of equilibrium from disequilibrium is analyzed to derive related implications. Research design, data, and methodology - The relationship between current housing prices and expected housing prices was analyzed empirically using the Vector Error Correction Model. This model was applied to the co-integration test, the long-term equilibrium equation among variables, and the causality test. The housing prices used in the analysis were based on the National Housing Price Trend Survey released by Kookmin Bank. Additionally, the Index of Industrial Product and the Consumer Price Index were also used and were obtained from the Bank of Korea ECOS. The monthly data analyzed were from January 1987 to May 2015. Results - First, a long-term equilibrium relationship was established as one co-integration between current housing price distribution and expected housing prices. Second, the sign of the long-term equilibrium relationship variable was consistent with the theoretical sign, with the elasticity of housing price distribution to expected housing price, the industrial production, and the consumer price volatility revealed as 1.600, 0.104,and 0.092, respectively. This implies that the long-term effect of expected housing price volatility on housing price distribution is more significant than that of the industrial production and consumer price volatility. Third, the sign of the coefficient of the error correction term coincided with the theoretical sign. The absolute value of the coefficient of the correction term in the industrial production equation was 0.006, significantly larger than the coefficients for the expected housing price and the consumer price equation. In case of divergence from the long-term equilibrium relationship, the state of equilibrium will be restored through changes in the interest rate. Fourth, housing-price volatility was found to be causal to expected housing price, and was shown to be bi-directionally causal to industrial production. Conclusions - Based on the finding of this study, it is required to relieve the association between current housing price distribution and expected housing price by using property taxes and the loan-to-value policy to stabilize the housing market. Further, the relationship between housing price distribution and expected housing price can be examined and tested using a sophisticated methodology and policy variables.

• 재무관리연구
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• 제22권2호
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• pp.91-105
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• 2005

본 연구는 합리적 기대가설에 입각하여 내재변동성의 장기변화율과 단기변화율사이의 관계에 대해 Campa and Chang(1995)의 모형을 토대로 분석하였다. 합리적기대가설이란 옵션시장 참가자들이 기대하는 장기내재변동성이 미래단기의 내재변동성을 결정한다는 가설이다. 1999년 1월부터 2003년 12월까지 한국의 KOSPI 200 주가지수옵션시장에서 장기내재변동성과 단기내 재변동성과의 관계를 분석해 본 결과 우리나라 주가지수 옵션시장에서는 기대가설을 지지하지 않는다는 결론을 도출하게 되었다. 하지만 기대가설은 그 자체가 내포하고 있는 무시할 수 없는 중요한 의미를 지닌다는 것을 발견하였다. 첫째, 장기내재변동성 변화율이 기대 미래단기내재변동성 변화율과 같은 방향으로 움직인다는 것과 둘째, 단기변동성에 대한 장기변동성의 증가가 다음 장기변동성에 있어서는 증가 혹은 감소를 동반한다는 것을 분석하게 되었다. 즉, 어떠한 규칙적인 사이클을 찾을 수는 없었다는 것이다.

• The Journal of Asian Finance, Economics and Business
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• 제7권7호
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• pp.15-25
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• 2020

This empirical research aims to identify the relationship between fiscal and financial macroeconomic fundamentals and the volatility of government bonds' borrowing cost in an emerging country - Vietnam. The study covers the period from July 2006 to December 2019 and it is based on a sample of 1-year, 3-year, and 5-year government bonds, which represent short-term, medium-term and long-term sovereign bonds in Vietnam, respectively. The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model and its derivatives such as EGARCH and TGARCH are applied on monthly dataset to examine and suggest a significant effect of fiscal and financial determinants of bond yield volatility. The findings of this study indicate that the variation of Vietnam government bond yields is in compliance with the theories of term structure of interest rate. The results also show that a proportion of the variation in the yields on Vietnam government bonds is attributed to the interest rate itself in the previous period, base rate, foreign interest rate, return of the stock market, fiscal deficit, public debt, and current account balance. Our results could be helpful in the macroeconomic policy formulation for policy-makers and in the investment practice for investors regarding the prediction of bond yield volatility.

• 대한본초학회지
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• 제27권6호
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• pp.77-81
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• 2012

Objectives : The purpose of this research was to examine the oriental medical term 'Yukjin(in chinese, liuchen)' i.e. 'good long-term storage of the six oriental medicinal herbs'. Yukjin has meant the six sorts of drugs which were well known for the older they stored, the better efficacious they were. This research was carried out to obtain more conclusive information about the time and the reason of the giving a naming Yukjin, and to arrange Yukjin's properties, toxicities and processes. Methods : We investigated the documents recorded in the medical classics of Yukjin and did the current issues and recent experimental researches of these medicines. Results : 1. The properties and flavors of Yukjin are pungent and bitter. When they were stored for a long time after gathering, their toxicities and stimuli were growing thinner, regarded as positive clinically with age and they should be used after processing. 2. The efficacies of Yukjin are not always in proportion to storage period. In case, they are stored too long, their efficacies and qualities may be deteriorated though volatility or pungent flavors are enfeebled. Conclusions : Consequently, toxicities and strong flavors of Yukjin can be reduced in various processes. So the traditional theory of long-term preservation is not necessarily retained. It may be desirable to store them for 1 to 3 years after harvest, to safen their toxicities and adverse reactions in the way of processing. If we use them properly according to oriental medicine method, it will be effective on treating and preventing the various diseases.

• 보건행정학회지
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• 제12권4호
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• pp.1-17
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• 2002

This study was attempted to identify the liquidity trends and determinants of private hospitals in Korea different. Data used in this study were collected from 98 hospitals with complete general data of present conditions as well as financial statements(balance sheets, income statements). They were chosen from hospitals that passed the standardization audit undertaken by the Korean Hospital Association from 1996 to 2000 for the purpose of accrediting training hospitals. The dependent variables in this study were used current ration and quick ratio as a proxy indicator for liquidity. The independent variables were ownership type, hospital type, location, bed size, period of establishment, short-term liabilities to total assets, long-term liabilities to total assets, borrowings to total assets, fixed asset ration, net profit to total assets, operating margin to gross revenue, growth rate of net worth to total assets, total asset turnover, and business risk(volatility of profit). The major findings of this study were as follows. Trends of liquidity(current ratio, quick ratio) had been continuously decreased. Especially, There were very distinct decreasing trends of personal hospitals and less than 300beds, which weakened liquidity. The factors had significant effect on current ratio were short-term debt to total assets(-), fixed asset ratio(-), business risk(+). High short-term debt to total assets, high fixed asset ratio and high business risk significantly decreased in liquidity. The factors that significantly affected on quick ratio were short-term debt to total assets(-), borrowings to total assets(+), fixed asset ratio(-), business risk(+).

• 수산경영론집
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• 제40권2호
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• pp.49-70
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• 2009

This study proviedes GARCH model(Bollerslev, 1986) to analyze the structural characteristics of price volatility in domestic aquacultural fish market of Korea. As a case study, flatfish and rock-fish are analyzed as major species with relatively high portion in an aspect of production volume among fish captured in Korea. For analyzing, this study uses daily market data (dating from Jan 1 2000 to June 30, 2008) published by the Noryangjin Fisheries Wholesale Market which is located in Seoul of Korea. This study performs normality test on trading volume and price volatility of flatfish and rock-fish as an advanced empirical approach. The normality test adopted is Jarque-Bera test statistic. As a result, first, a null hypothesis that "an empirical distribution follows normal distribution" was rejected in both fishes. The distribution of daily market data of them were not only biased toward positive(+) direction in terms of kurtosis and skewness, but also characterized by leptokurtic distribution with long right tail. Secondly, serial correlations were found in data on market trading volume and price volatility of two species during very long period. Thirdly, the results of unit root test and ARCH-LM test showed that all data of time series were very stationary and demonstrated effects of ARCH. These statistical characteristics can be explained as a reasonable ground for supporting the fitness of GARCH model in order to estimate conditional variances that reveal price volatility in empirical analysis. From empirical data analysis above, this study drew the following conclusions. First of all, from an empirical analysis on potential effects of seasonality and the day of week on price volatility of aquacultural fish, Monday effects were found in both species and Thursday and Friday effects were also found in flatfish. This indicates that Monday is effective in expanding price volatility of aquacultural fish market and also Monday has higher effects upon the price volatility of fish than other days of week have since it has more new information for weekend. Secondly, the empirical analysis led to a common conclusion that there was very high price volatility of flatfish and rock-fish. This points out that the persistency parameter($\lambda$), an index of possibility for current volatility to sustain similarly in the future, was higher than 0.8-equivalently nearly to 1-in both flatfish and rock-fish, which presents volatility clustering. Also, this study estimated and compared and model that hypothesized normal distributions in order to determine fitness of respective models. As a result, the fitness of GARCH(1, 1)-t model was better than model where the distribution of error term was hypothesized through-distribution due to characteristics of fat-tailed distribution, was also better than model, as described in the results of basic statistic analysis. In conclusion, this study has an important mean in that it was introduced firstly in Korea to investigate in price volatility of Korean aquacultural fishery products, although there was partially a limited of official statistic data. Therefore, it is expected that the results of this study will be useful as a reference material for making and assessing governmental policies. Also, it is looked forward that the results will be helpful to build a fishery business plan as and aspect of producer, and also to take timely measures to potential price fluctuations of fishery products in market. Hence, it is advisable that further studies related to such price volatility in fishery market will extend and evolve into a wider variety of articles and issues in near future.

• Journal of Korea Trade
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• 제23권5호
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• pp.87-101
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• 2019

Purpose - This paper examines the effectiveness of the foreign exchange risk insurance system in the promotion of SME exports in Korea. The purpose of this study is to analyze the short-term and long-term responses of SME exports to foreign exchange risk insurance support policies. Based on these empirical studies, we would like to present some operational improvements to the operation of the foreign exchange risk insurance system. Design/methodology - In order to analyze the effect of exchange risk insurance on the exports of SMEs, a VAR model consisting of foreign exchange risk insurance underwriting values, export relative price, and domestic demand pressure, including export volume, was established. The study began with tests of the stationarity of time series data. The unit root tests showed that all concerned variables were non-stationary. Accordingly, the results of the cointegration test showed that the tested variables are not cointegrated. Finally, an impulse response function and variance decomposition analysis were conducted to analyze the impulse of foreign exchange risk insurance on exports of SMEs. Findings - As a result of estimating the VAR (1) model, foreign exchange risk insurance was found to be significant at a 1% significance level for SME' export promotion. In the impulse response analysis, SMEs' export response to the impulse of foreign exchange risk insurance showed that exports gradually increased until the third quarter, and then slowed down. However, the impulse did not disappear, and appeared continuously. Originality/value - This study analyzed the effect of foreign exchange insurance on exports of SMEs by applying the VAR model. In particular, this study is the first to analyze the short-term and long-term effects of foreign exchange risk insurance on exports of SMEs. The empirical evidence in the current study have a policy implication for the policy authority to support and promote the foreign exchange risk insurance in the effect of exchange rate volatility on Korea' export SMEs.

• 무역학회지
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• 제47권1호
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• pp.13-24
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• 2022

This study was conducted because the global economic downturn caused by COVID-19 caused a surge in logistics costs and it was no longer possible to predict logistics costs using existing methods. For this study, we made the assumption that economic indicators affect logistics cost. Chapter 2 examines the current status of the liner market and factors affecting logistics costs. Based on this, Chapter 3 collects independent and dependent variables to determine the analysis model. As the independent variable, economic indicators of major countries constituting the SCFI were selected, and the dependent variables were the SCFI Europe Index and the SCFI USA Index. In Chapter 4, a panel analysis was conducted based on this, and it was confirmed that major economic indicators had a negative (-) effect on SCFI. This is contrary to the existing research results, which can be attributed to the special situation caused by COVID-19 and the imbalance of demand and supply by region. The results of this study are meaningful in that they can predict long-term logistics cost volatility without analyzing supply and demand, and can be applied to other studies as well.

• 농업과학연구
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• 제50권3호
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• pp.489-498
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• 2023

Cabbage, which is one of the main materials of kimchi, normally has an unstable supply due to cultivation and climate conditions. This unstable supply negatively affects the profitability of kimchi processors in Korea. Thus, kimchi processors found a better method for acquiring a consistent cabbage supply with long-term storage of over 3 months. However, a consensus regarding the best method for the stable and economical acquisition of cabbage remains controversial. This study aimed to analyze the current issue concerning cabbage acquisition by kimchi processors and evaluate the economic feasibility of kimchi storage. Findings obtained through survey and economic analyses using theoretical methodology were as follows: First, A survey conducted on kimchi processors in Korea revealed that even though they recognize the importance of kimchi storage, they struggle to store adequate amounts of cabbage. This is particularly evident with summer cabbage, which experiences the highest supply volatility and thus requires greater attention from kimchi processors in terms of storage. Second, the price analyses using the coefficient of variation show that cabbage in Korea has a high level of price instability, which suggests more storage of cabbage. Third, the evaluation of the economic feasibility of cabbage storage indicated that kimchi processors should consider storing a greater amount of cabbage, particularly during the summer season. This approach can help reduce the overall cost associated with kimchi processing.

• 지적과 국토정보
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• 제47권2호
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• pp.159-174
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• 2017

오피스의 수급 불균형은 도시 성장을 약화시킨다. 오피스의 초과공급이 공실률을 높이고 임대료가 하락하는 등 시장의 불안정성을 키울 수 있기 때문이다. 또한 오피스의 초과수요가 기업의 임차비용을 상승시켜 도시의 산업 성장을 제한할 수 있다. 최근 대규모의 신규 공급이 서울 오피스시장의 변동성을 높였다. 그럼에도 불구하고 오피스 공급에 대한 연구는 미미한 실정이다. 따라서 본 연구는 서울 오피스 신규 공급의 영향요인을 확인하고 수급 불균형의 주요 원인인 시차를 고려하여 결정요인들의 동태적 구조적인 움직임을 분석하였다. 이를 위해 시계열모형인 벡터오차수정모형(VECM)을 활용하여 2003년부터 2015년까지 서울 오피스시장의 분기별 자료를 분석하였다. 분석결과, 서울 오피스 신규 공급에 영향을 주는 요인은 1분기 전 오피스 신규 공급량(-), 1분기 전 오피스 고용자 수(+), 2분기 전 이자율(+), 1분기 전 cap rate(-), 2분기 전 cap rate(-)으로 확인되었다. 이를 바탕으로 영향요인들 간의 시간에 따른 상호의존성과 변동에 따른 상대적 기여도를 분석한 결과, 이자율과 cap rate은 신규 공급량에 단기적인 영향을 미친 반면 고용과 공실률은 장기적이고 지속적인 영향을 미쳤다. 따라서 예측 가능한 오피스 시장 전망을 위해서는 이러한 오피스 신규 공급 영향요인에 대한 공신력 있는 자료 구축이 필요하고 지속적인 모니터링이 필요하다. 오피스는 기업과 산업의 성장을 이끄는 핵심적인 도시인프라이기 때문이다.