• 유통과학연구
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• 제15권12호
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• pp.41-51
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• 2017

Purpose - This study proposes the impact of the US and Korean economic policy uncertainty on macroeconomy, and its effect on Korea. The economic policy uncertainty index of the US and Korea is used to represent the economic policy uncertainty on Korean economy. Research design, data, and methodology - In this paper, we collect the eight variables to find out the interrelationship among the US and Korean economic policy uncertainty index of the US and macroeconomic indicators during 1990 to 2016, and use Vector Error Correction Model. Result - The distribution industry stock index in Korea is influenced by the economic policy uncertainty index of the US rather than of Korea. All variables are related negatively to the economic policy uncertainty index of the US and Korea from Vector Error Correction Model. This study shows that the economic policy uncertainty index of the US and Korea has the dynamic relationships on the Korean economy. Conclusions - A higher economic policy uncertainty shows a greater economy recession of a country. Finally, the economic policy uncertainty of the Korea has an intensive impact on Korea economy. Particularly, the economic policy uncertainty of the US has a strong impact on distribution industry stock market in Korea.

• 아태비즈니스연구
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• 제14권4호
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• pp.319-330
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• 2023

Purpose - The purpose of this paper is to examine the connectedness between categorical economic policy uncertainty (monetary, fiscal, trade and foreign exchange policy uncertainty) indexes and option-implied volatility index in Korea, Japan and the US. Design/methodology/approach - This paper employs the Diebold-Ylmaz (2012) model based on a VAR and generalized forecast error variance decomposition. This paper also conducts regression analyses to investigate whether the volatility indexes are explained by categorical policy uncertainty indexes. Findings - First, we find the total connectedness is stronger in Korea and Japan relative to the US. Second, monetary, fiscal, and foreign exchange policy uncertainty indexes are connected to each other but trade policy uncertainty index is not. Third, the volatility index in Japan and the US is mainly associated with monetary policy uncertainty while the volatility index in Korea is explained by fiscal policy uncertainty index. Research implications or Originality - To our knowledge, this is the first study to investigate the connectedness among categorical policy uncertainty indexes and the volatility index in Korea, Japan, and the US. The empirical results on the connectedness suggest that transparent policy and communication with the market in one type of policy would reduce the uncertainty in other policies.

• The Journal of Asian Finance, Economics and Business
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• 제5권2호
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• pp.43-51
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• 2018

We study the impact of economic policy uncertainty (EPU) of Asian four countries such as Korea, Japan, Hong Kong, and China on housing market returns in Korea. Also, we document the relationship between the EPU index of those four countries and the housing market including macroeconomic indicators in Korea. The EPU index of those four countries has significantly a negative effect on the housing purchase price index, housing lease price index in Korea. The EPU index in Korea and Japan has significantly a negative effect on the CPI. The EPU index in only Japan has significantly a negative effect on the PPI. The EPU index in Hong Kong and Korea has significantly a negative effect but the EPU index in China significantly has a positive effect on the stock price index in construction industry. The EPU index in only Korea has significantly a negative effect the stock price index in banking industry. This study shows the EPU index of the Korea has the negative relationships on the housing market economy rather than other countries by VECM. And this study has an important evidence of the spillover of several macroeconomic indicators in Korea for the EPU index of the Asian four countries.

• 유통과학연구
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• 제16권12호
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• pp.5-11
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• 2018

Purpose - We investigate the relationship between economic policy uncertainty (EPU) of the US and China and housing distribution economy in Korea using EPU indexes of two countries and the economic indicators in Korea. Research design, data, and methodology - We use the data such as the Korean housing price stability index (HPSI), housing purchase price index (HPPI), housing lease price index (HLPI), banking stock index (BSI), and consumer price index (CPI) with EPU indexes from January 1999 to December 2017. As an empirical methodology, we select the vector error correction model (VECM) due to the existence of cointegration. Result - As results of the impulse response function, the impact of the US EPU index has initially a negative response on the Korean HPSI, HPPI, and HLPI referring the housing distribution market including the economic variables, BSI, and CPI. Likewise, the impact of index in China has initially a negative response on economic indicators except the BSI in Korea. Conclusions - This study shows that the EPU index of the US has significantly negative relationships on all economic indicators in Korea. In this study, we reveal EPU of the US and China has dynamic impact on housing distribution economy returns in Korea.

• 유통과학연구
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• 제17권1호
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• pp.11-19
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• 2019

Purpose - We document the impact of economic policy uncertainty (EPU) in the US and China on the dynamic spillover effect of macroeconomics such as stock price, housing price in Korea. Research design, data, and methodology - We use the nine variables to analyze the effect which produces a result among the EPU indexes of the US and China on economic variables which is the consumer price index (CPI), housing purchase price composite index, housing lease price, the stock price index in banking industry, construction industry and distribution industry, and composite leading indicator from January 1995 to December 2016 with the Vector Error Correction Model. Result - The US EPU index has significantly a negative relation on the CPI, housing purchase price index, housing lease price index, the stock price index in banking industry, construction industry, and distribution industry in Korea. Conclusions - We find the dynamic effect of the EPU indexes in the US and China on the macroeconomics returns in Korea. This study has an empirical evidence that the economy market in Korea is influenced by the EPU index of the US rather than it of China. The higher EPU, the more risky the economy of in Korea.

• 산경연구논집
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• 제10권1호
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• pp.29-37
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• 2019

Purpose - We study the dynamic linkages of the economic policy uncertainty (EPU) in the US on the manufacturing stock market returns in Korea. In detail, we examine the casual link between EPU index in the US and the manufacturing stock indexes in Korea. Research design, data, and methodology - We measure mainly the distribution effect of the US EPU on the manufacturing stock market in Korea of 1990-2017 by the vector error correction model (VECM). Result - In result, we estimate the impact of the US EPU index has significantly a negative response to the manufacturing stock market in Korea such as non-metal stock index, chemical stock index, food stock index, textile·clothes stock index, automobile·shipbuilding stock index, machinery stock index, steel·metal stock index. Also the remaining variables such as electric·electronics stock index, S&P 500, and producer price index in Korea have a negative relationship with US EPU index. Conclusions - We find out that the relationship between EPU index of the US and the manufacturing stock market in Korea has the negative relationships. We determine the EPU of the US has the spillover effect on the industry stock markets in Korea.

• Journal of Korea Trade
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• 제27권5호
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• pp.153-166
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• 2023

Purpose - This research empirically analyzes the influence of economic policy uncertainty and free trade agreements (FTAs) on bilateral trade volumes between Korea and its trading partners. The study investigates whether fluctuations in the Economic Policy Uncertainty Index (EPUI) for both Korea and its trading partners significantly impact trade volumes and whether the implementation of FTAs mitigates these effects. Design/methodology - The study employs dynamic panel data analysis using the system generalized method of moments (system GMM) estimation method to achieve its research objectives. It utilizes country-month-level panel data, including the EPUI, trade volume between Korea and its trading partner countries, and other pertinent variables. The use of system GMM allows for the control of potential endogeneity issues and the incorporation of country-specific and time-specific effects. Findings - The analysis yields significant results regarding the impact of economic policy uncertainty on Korea's exports and imports, particularly before the implementation of FTAs. An increase in the EPUI of trading partners leads to a notable increase in Korea's exports to them. Conversely, an increase in Korea's EPUI negatively affects its imports from trading partners. However, post-FTA implementation, the influence of each country's EPUI on trade volume is neutralized, with no significant difference observed. Originality/value - This research contributes to the existing literature by providing empirical evidence on the interaction effects between economic policy uncertainty and FTAs on bilateral trade volumes. The study's uniqueness lies in its examination of how FTAs mitigate the impact of economic uncertainty on trade relations between countries. The findings underscore the importance of trade agreements as mechanisms to address economic risks and promote international trade relations. In a world where global market uncertainties persist, these insights can aid policymakers in Korea and other countries in enhancing their trade cooperation strategies and navigating challenges posed by evolving economic landscapes.

• 한국디지털건축인테리어학회논문집
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• 제10권2호
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• pp.13-20
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• 2010

Uncertainty in housing price fluctuation has great impact on the overall economy due to importance of housing market as both place of residence and investment target. Therefore, estimating housing market condition is a highly important task in terms of setting national policy. Primary indicator of the housing market is a ratio between rent and transaction price of housing. The research explores dynamic relationships between Rent-Transaction price ratio, housing transaction price and jeonse rental price, using Vector Autoregressive Model, in order to demonstrate significance of shifting rent-transaction price that is subject to changes in housing transaction and housing rental market. The research applied housing transaction price index and housing rental price index as an indicator to measure transaction and rental price of housing. The price index and data for price ratio was derived from statistical data of the Kookmin Bank. The time-series data contains monthly data ranging between January 1999 and November 2009; the data was log transformed to convert to level variable. The analysis result suggests that the rising ratio between rent-transaction price of housing should be interpreted as a precursor for rise of housing transaction price, rather than judging as a mere indicator of a current trend.

• 국제지역연구
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• 제16권1호
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• pp.147-171
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• 2012

2000년 이후 오늘날에도 중국, 인도 등을 비롯한 신흥시장국의 경제규모가 날로 확대되면서 국제적으로 석유에 대한 수요가 크게 증가해온 반면 그 공급은 주요 산유국인 중동국가의 정세불안 등으로 차질이 발생하는 상황이 빈발함에 따라 스태그플레이션 위험은 항상 개연성이 높은 경제현상으로 인식되고 있다. 그러나 일반 사람들이 고유가가 지속되는 시기에 흔히 높은 인플레이션과 경기침체가 공존하는 현상을 스태그플레이션으로 쉽게 거론하더라도 스태그플레이션에 관한 학술적인 정의는 분명하지 않으며 현실적인 경제통계의 흐름을 보고 그러한 상황을 식별하기도 쉽지 않다. 본고에서는 경기국면으로서 스태그플레이션의 상황을 보다 구체적으로 정의한 연구사례들을 면밀히 살펴보고 월별로 조기에 입수 가능한 경제통계들을 종합하여 스태그플레이션의 상황을 체계적으로 식별할 수 있는 방법론을 제시하였다. 경기상황, 인플레이션 상황을 나타내는 월별 통계지표를 이용하여 스태그플레이션 상황을 나타내는 정도를 평가한 후 이 결과를 종합하여 스태그플레이션 종합지수를 산출하였다. 그 결과 한국에서 스태그플레이션 여부에 대한 논란이 많았던 2008년 상반기가 엄밀한 의미에서 스태그플레이션 상황은 아니었음을 규명하였다.