• Journal of Korea Port Economic Association
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• v.23 no.4
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• pp.216-227
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• 2007

The aim of this paper is to find out the nature of causality between the two ocean freights employing the Granger method. That is because the Baltic freights tend to move very closely and seem to be behave like one time series. The Granger causality test, however, is very sensitive to the number of lags used in the analysis. This means that one has to be very careful in implementing the Granger causality test. This paper, hence, uses more rather than the lags which the Akaike Information Criterion and the Schwarz Information Criterion suggest. This study shows that BPI does not "Granger-cause" BCI and BSI, but BCI and BSI Granger-cause BPI. I also discover that BHSI does not "Granger-cause" BPI and BSI, but BPI and BSI Granger-cause BHSI. I, hence, model and estimate the ocean freight function and show that the Baltic ocean freight market is inefficient and the biased estimator of the other freight.

• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.89-99
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• 2012

This study investigates the Granger-causality between economic growth and demand for electricity in Korea, using two quarterly time-series data (real GDP and electricity consumption) for 1970:Q1 through 2009:Q4. We apply Hsiao's sequential procedure to identify a vector autoregressive model to a decision of the optimal lags in the vector error-correction model because the two time-series data contain unit roots respectively and they are cointegrated. According to the empirical results in this study, we find that Hsiao's approach to the Granger-causality indicates a bidirectional causal relation between economic growth and demand for electricity in Korea. Following the Granger and Engle's approach, we also find the statistical evidence on (1) short-run bidirectional causality between real GDP and electricity consumption, (2) bidirectional strong causality between them, and (3) long-run unidirectional causality running from demand for electricity to economic growth. Our results show an inconsistency with the existing studies on Korea's case; however, the results appear to provide more meaningful policy implications for the Korean economy and its strategy of sustainable growth.

• Journal of Technology Innovation
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• v.24 no.2
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• pp.91-113
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• 2016

The purpose of this study is to examine the causal relationship among R&D spending and variables of technology trade, and to explore promoting R&D activities and revitalizing technology trade. To analyze the causal relationship, we built a multivariate model that consists of government R&D spending, private R&D spending, technical importation and export of techniques, and employed the Granger-causality test based on an error correction model. The results show that there are five Granger-causality relationship among them in the short run, as well as there are eleven Granger-causality relationship among a total of twelve causal relationship, excluding only a unidirectional causality relationship from the government R&D spending to the export of techniques, in the long run. Besides, we attempted the impulse-response analysis on them to observe the reaction of any dynamic system in response to some external change. The significance of this paper is to make sure the causal relationship between R&D investments and the technology trade by analyzing empirically, and to suggest several implications for promoting the R&D activities and revitalizing the technology trade.

• The Journal of the Convergence on Culture Technology
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• v.9 no.3
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• pp.281-286
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• 2023

This study analyzed the causal relationship between housing sales prices and jeonse prices in Seoul, specifically in the Gangnam and Gangbuk neighborhoods. The time-invariant Granger causality test showed bidirectional causality between the sales price and the jeonse price in Seoul and Gangbuk, but no bidirectional causality was found in Gangnam. However, the time-varying Granger causality test showed a Granger causal relationship between the housing jeonse price and the sales price for the entire period after 1993 in all three areas. Notably, the causal effect of jeonse prices on sales prices has been continuous in Gangnam since 2010. These analysis results suggest that an increase in liquidity supply to the jeonse market could increase volatility throughout the housing market, given the strong influence between the sales and jeonse markets in both directions.

• The Korean Journal of Applied Statistics
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• v.34 no.5
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• pp.837-848
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• 2021

Evaluating or predicting the effectiveness of economic policies is an important issue, but it is difficult to find an economic variable which causes a significant result because there are numerous variables that cannot be taken into account. A randomized controlled experiment is the best way to investigate causality, but it is not realistically possible to control through randomization and intervention in time series data such as macroeconomic data. Although some analysis methods have been proposed to find causality, the methods such as Granger causality method and Chow test are insufficient to explain causality. Recently, Pfister et al. (2019) proposed invariant causal prediction methods which can be applicable in time series data. In this paper, we introduce the method of Pfister et al. (2019) and use the method to find macroeconomic variables invariantly affecting the won-dollar exchange rate.

• Journal of Korean Society of Transportation
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• v.22 no.3 s.74
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• pp.69-84
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• 2004

1990년대 중반이후 정보통신의 발달에 의한 인터넷의 활용이 전세계적으로 급속히 팽창하면서 사이버마켓이라는 새로운 시장형태하에서 전자상거래가 급속히 성장하고 있다. 인터넷 전자상거래의 성장은 기존의 유통구조를 오프라인으로부터 온라인으로 전환시키고 물류체계까지 변화시키고 있다. 전자상거래의 경우 인터넷과 같은 정보시스템의 발달에 의해 독자적으로 성장할 수 있는 것은 아니며, 실제거래를 위한 물류와 연계해서만이 가능하다. 따라서 전자상거래의 급속한 성장과 더불어 문전배송서비스(door-to-door delivery service)가 가능한 택배서비스가 급속히 증가하고 있다. 이러한 관점에서 도시내에서의 전자상거래에 의한 택배서비스시장 환경변화를 고려하여 전자상거래를 촉진시키는 어떤 요인이 택배서비스에 영향을 미치고 성장에 중요한 역할을 하는지를 파악해 보는 것도 흥미있는 일이라 하겠다. 본 연구는 시계열데이터를 이용하여 전자상거래에 의한 택배서비스시장의 상관관계를 검토하고 전자에 의한 후자의 성장요인을 분석해 보는데 그 목적이 있다. 본 연구에서는 택배서비스시장의 성장요인을 시장내부의 내적요인과 외부의 외적요인으로 구분하고, 외적요인을 다시 교통요인과 사회경제적 요인으로 구분하여 전자상거래를 사회경제적 요인으로 간주하였다. 그리고 이 사회경제적 요인으로서의 전자상거래에 의한 택배서비스시장의 인과관계성을 그랜저-심즈(Granger-Sims) 인과관계검정을 이용하여 분석하였다. 분석결과, 한국의 전자상거래는 EDI(전자문서교환)도입업체수, 인터넷 쇼핑몰수, 인터넷 이용자수, 전자상거래를 위한 법제도 체계 등의 증가에 의해 촉진되었으며, 이에 따라 택배서비스시장도 성장한 것으로 나타났다. 특히 정부주도에 의한 정보화추진이 전자상거래를 촉진시켜 택배서비스시장에 영향을 미친 것으로 분석되었다.

• Environmental and Resource Economics Review
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• v.29 no.2
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• pp.195-217
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• 2020

The improvement of energy intensity is drawing attention as a way to achieve sustainable development. Energy price and technology level are the main factors affecting energy intensity, and empirical studies on the relationship between the variables have been conducted mainly in overseas countries. However, analyzing the relation between energy intensity, energy price and technology has not been studied in Korea. Therefore, this study analyzed the dynamic relationship between energy intensity, energy price, and total factor productivity (TFP) in Korea. As a result of the analysis, the three variables form a long-term equilibrium relationship. The increase in TFP reduces energy intensity in both short and long term, and the long-term effect is greater than short-term effect. On the other hand, energy price do not have a significant impact on energy intensity. Granger causality test results show that energy intensity and TFP granger cause each other, but energy price is weak-exogenous.

• Environmental and Resource Economics Review
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• v.21 no.3
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• pp.573-593
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• 2012

The paper examined the relationship between total and sector level electricity consumptions and economic growth in Korea for the period of 1980-2009. The results of unit-roots and cointegration tests show that all variables-real GDP, total, primary, manufacture, and service sector electricity consumptions-were not stationary and there were no linear combinations in the long run between electricity consumptions and economic growth. Thus, by using standard Granger-causality test we found that total, primary, and manufacture sector electricity consumptions were Granger-caused by economic growth, not vice versa. This means that causality runs from economic growth to each electricity consumption. However, there is no causal relationship between service sector electricity consumption and economic growth. These results imply that the government policies aimed at reducing electricity consumptions and increasing energy efficiency etc. can be feasible without deterring economic growth in Korea.

• Environmental and Resource Economics Review
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• v.24 no.4
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• pp.629-655
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• 2015

Nuclear power generation is a major power source which accounts for more than 30% of domestic electricity generation. Electricity market needs to secure stability of base load. This study aimed at analyzing relationships between nuclear power generation and wholesale electricity price (SMP: System Marginal Price) in Korea. For this we conducted ARDL(Autoregressive Distributed Lag) approach and Granger causality test. We found that in terms of total effects nuclear power supply had a positive relationship with SMP while nuclear capacity had a negative relationship with SMP. There is a unidirectional Granger causality from nuclear power supply to SMP while the reverse was not. Nuclear power is closely related to SMP and provides useful information for decision making.

• Journal of Korea Water Resources Association
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• v.37 no.10
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• pp.869-880
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• 2004

The purpose of this study is to examine relationship between water consumption and economic growth in Korea, and to obtain policy implications of the results. To this end, we attempt to provide more careful consideration of the causality issues by applying rigorous techniques of Granger causality. Tests for unit roots, co-integration, and Granger causality based on an error-correction model are presented. The existence of bi-directional causality between water consumption and economic growth in Korea is detected. This finding has various implications for policy analysts and forecasters in Korea. Economic growth requires enormous water consumption, though there are many other factors contributing to economic growth, and water consumption is but one part of it. Thus, this study generates confidence in decisions to invest in the water supply infrastructure. Moreover, this study lends support to the argument that an increase in real income, ceteris paribus, gives rise to water consumption. Economic growth results in a higher proportion of national income spent on water supply services and stimulates further water consumption.