• 응용통계연구
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• 제32권6호
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• pp.909-922
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• 2019

벌점화 추정 기법 중 adaptive LASSO 방법은 모형 선택과 모수 추정을 동시에 할 수 있는 유명한 방법으로 이미 정상 자기회귀모형에서 연구된 적이 있다. 본 논문에서는 이를 확장하여 확률보행과정과 같은 비정상 자기회귀모형에서 adaptive LASSO 추정량이 갖는 성질을 모의실험을 통해 연구하였다. 다만 비정상 자기회귀모형에서는 단위근의 존재 여부를 판단하는 것과 모형의 차수를 선택하는 것이 가장 중요하므로, 이를 위해 원 자기회귀모형이 아닌 ADF 검정에서 고려하는 회귀모형으로 변환하여 adaptive LASSO를 적용하였다. 일반적으로 Adaptive LASSO를 적용할 때 조절모수의 선택이 가장 중요한 문제이며, 본 논문에서는 교차검증, AIC, BIC 세 가지 방법을 이용하여 조절모수를 선택하였다. 모의실험 결과를 보면, 이 중에서 BIC가 최소가 되도록 선택한 조절모수에 대응되는 adaptive LASSO 추정량이 단위근의 존재 여부를 잘 판단할 뿐만 아니라 자기회귀모형의 차수 또한 비교적 정확하게 선택함을 확인할 수 있다.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.127-135
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• 2020

This study aims to measure the effects of real interest rate (RIR), gross domestic savings (GDS), and net exports (EN) shocks on Indonesia's economic growth (EG). The focus on Indonesia is unique due to the abundant resources available in the nation, but they are unsuccessful in boosting economic growth. This study applied a quantitative method to comprehensively analyze the correlation between variables by employing Vector Autoregression Model (VAR) combined with Vector Error Correction Model (VECM). Various procedures are preformed: Augmented Dickey-Fuller test (ADF), Optimum Lag Test, Johansen Cointegration Test, Granger Causality Test, as well as Impulse Response Function (IRF) and Error Variance Decomposition Analysis (FEVD). The data were collected from the World Bank and the Asian Development Bank from 1986 to 2017. The findings of the study indicated that economic growth responded positively to real interest rate shocks, which implies that when the real interest rate experiences a shock (increase), the economy will be inclined to growth. While, economic growth responded negatively to gross domestic savings and net export shocks. Policymakers are expected to consider several matters, particularly the economic conditions at the time of formulating policy, so that the prediction effectiveness of a policy can be appropriately assessed.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.523-530
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• 2020

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

• 수산경영론집
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• 제48권1호
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• pp.51-71
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• 2017

We explore each of the three major domestic fishery product markets in South Korea- Frozen Squid, Frozen Hair tail and Dried Anchovy- to assess whether we can find evidence for Law of One Price (LOP) across the five major cities- Seoul, Dae-Jeon, Dae-Gu, Gwang-Ju and Busan. To achieve our aim, we utilize two different types of unit root tests: Augmented Dickey-Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root test. In each of the three fishery product markets, we find evidence in support of LOP among several cities, which confirms that these markets are integrated to a certain extent. In particular, we find stronger evidence of LOP for Dried Anchovy market relative to the other two fishery product markets. Based on our findings, we argue that the Dried Anchovy market exhibits a greater degree of market integration across the five major cities in South Korea compared to the other two fishery product markets. The greater degree of market integration in the Dry Anchovy market is facilitated by its higher substitutability across cities; taken together these findings show that the market for Dried Anchovy in South Korea is more efficient than the markets for Frozen Squid and Frozen Hair tail.

• 동아시아경상학회지
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• 제8권1호
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• pp.57-69
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• 2020

Purpose - This study examines what are the asset market fluctuations in Europe and how each economic variable affects major variables, and explore the dynamics of housing and stock market through Greece. The variables under consideration are balance on current account (BCA), index of stock (STOCK), gross domestic product (GDP), housing price indices (HOUSING), M3, real rate of interest (IR_REAL) and household credits (LOAN). We investigate the functional and causal relationships between housing and stock market. Research design, data, and methodology - Vector error correction model (VECM) is used to figure out the dynamic relationships among variables. This study also contains the augmented Dickey-Fuller unit root, cointegration, Granger causality test, and impulse response function and variance decomposition analysis by EViews 11.0. Results - The statistical tests show that all variables under consideration have one unit root and there is a longterm equilibrium relationship among variables for Greece. GDP, IR_REAL, M3, STOCK and LOAN can be considered as causal factors to affect real estate market, while GDP, LOAN, M3, BCA and HOUSING can bring direct effects to stock market in Greece. Conclusions - It can be judged that the policy that affects the lending policy of financial institutions may be more effective than the indirect variable such as monetary interest rate.

• 농업과학연구
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• 제47권3호
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• pp.567-576
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• 2020

One of the main challenges receiving much attention in the Rwandan agriculture and food industry in recent decades is the increases in maize prices. Indeed, a rise in maize prices causes higher living expenses for households because maize, which is a major staple food crop, constitutes a significant share of total food consumption among households in Rwanda. The aim of this study was to assess the extent of integration and how prices are transmitted between retail and wholesale markets of domestic maize in Rwanda. This study used monthly data of retail and wholesale prices of maize from January 1995 to December 2019. This empirical investigation was based on a linear cointegration approach and an asymmetric error correction model framework. Using the augmented dickey-fuller residual-based test and the Johansen Maximum Likelihood cointegration test, the results revealed that the retail and wholesale markets of maize are integrated. Hence, prices in these markets do not drift apart in the long run. The results of the Granger causality test revealed that there is a unidirectional causal relationship flowing from wholesale prices to retail prices, i.e., wholesale prices influence retail prices. Accordingly, the results from the asymmetric error correction model confirmed the presence of a positive asymmetric price transmission between wholesale and retail prices of maize in Rwanda. Thus, we suggest that policymakers take a critical look at the causes and factors that may influence asymmetry price transmission.

• The Journal of Asian Finance, Economics and Business
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• 제8권12호
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• pp.271-282
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• 2021

In recent years, a significant number of empirical studies have examined the relationship between export and economic growth in India. However, this study analyses the relationship between exports and economic growth through the time series model. The main aim of this study is to investigate the causal relationship between exports and economic growth in India. The VAR model was used for the period 1961 to 2015 after verifying the stationarity of the variables through using Augmented Dickey-Fuller and Phillip-Perron tests. The Indian export sector has been found to have a significant and positive impact on economic growth and other long-term economic activities. The study also employed the Granger causality test to check the direction of causality and found that RXGS, RGDP, RPFC, and RGFC had a unidirectional relationship and RXGS and RMGS had a bidirectional relationship in long run. Also, the findings of this study suggest that a steady-state between exports and economic growth can be achieved in India over a long period. The overall outcome of this study provides a testimony of the fact that the export sector plays a vital role in economic growth in India and also leads to the long-term growth of other economic activities.

• The Journal of Asian Finance, Economics and Business
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• 제8권10호
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• pp.239-247
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• 2021

Central Bank authorities should carefully manage inflation rate uncertainties to achieve economic growth and development not only in the short-run but also in the long-run. Since inflation is a key macroeconomic variable, an increased understanding about its behavior is undoubtedly important. Thus, paper employs unit root with breakpoints to examine the mean reverting behavior of inflation rate in the Philippines using monthly data from 2002 to 2020. Empirically, the unit root breakpoint innovational and additive outlier tests favor the stationarity or mean reverting behavior of inflation in the Philippines. Also, results of standard unit root tests, ADF, PP, GLS-Dickey-Fuller, KPSS and NP, provide strong evidence of mean reverting processes. The mean reverting behavior of inflation rate reveals that the monetary policy using inflation targeting framework has succeeded in reducing chronic inflation persistence in the Philippines. Thus, this research supports inflation targeting policy that aims to maintain general price level stability for the Philippine economy's long-term growth and development prospects. The findings of this research remain important for the central bankers for not only providing them better understanding about the behavior of inflation rate, but also helping them formulate and implement policy reforms related to money, credit and banking.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.617-626
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• 2021

The study examines the existence of twin deficit in two emerging economies (Turkey and Iran) and also investigates the relation of twin deficit with specific macroeconomic indicators such as the GDP, money supply, foreign direct investment, and the interest rate both in short and long-run periods. The twin-deficit concept refers to a situation where the current account deficit and budget deficits exist in the same corresponding period of an economy. This study employs the Bound Test Autoregressive lag distributed (ARDL) model on time-series quarterly secondary data of Turkey and Iran from 1992 to 2019. The stationarity of variables has been ensured through the Augmented Dickey-Fuller (ADF) test at the level and the first difference. The results reveal the existence of a twin deficit in both the short and long-run periods only in Iran. Its existence could not be observed in the Turkish economy. The findings suggest a positive relationship between twin deficit and GDP, and a negative relationship between twin deficit and FDI and M2. At the same time, the relationship of the twin deficit with interest rate could not be found in the Iranian economy. The findings may be helpful for economic managers of both countries in executing their economic policies.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.37-41
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• 2021

This study aims to investigate the relationship between the exchange rate and Trade Balance. Trade Balance is used as the dependent variable, and the independent variables are Exchange Rate, Gross Domestic Product, and Inflation. Augmented Dickey-Fuller unit root test was adopted to test the stationary property of time series data, Auto Regressive Distributed Lag model was employed to find the long run and short-run relationship and long-run adjustment, Bound test approach, the unrestricted Error Correction Model and Granger Causality Test are used to analyze the data from 1977 to 2019. The research findings suggest that inflation has a positive impact on the trade balance in the short run. The exchange rate and the Gross Domestic Product have adverse effects on Trade balance in the long run. The coefficient of ER in the previous year is negative, and the coefficient of TB in the previous year is positive and significant. This is consistent with the J-Curve phenomenon, which states that devaluation may not improve trade balance in the immediate period, but will significantly impact the trade balance improvement in subsequent periods. Hence Marshall Lerner Condition exists in Sri Lanka.