• Management & Information Systems Review
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• v.27
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• pp.131-147
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• 2008

The study examines common component existing in five Asian countries from 1991 to 2007. To do this, the daily stock market indices of Korea, Malaysia, Thailand, Indonesia, and the Philippines were used. Using a Vector Autoregressive Model this paper analyzes causal relations and dynamic interactions between five Asian stock markets. The findings in this study indicate that level of five Asian stock markets' stock return linkages are low. First, from the statistics for pair-wise Granger causality tests, I find Granger-causal relationship between Korea and Indonesia and between Malaysia and and Indonesia. Second, from the results of response function and the statistics of variance decomposition, I find that week shocks to Korean stock market return on Malaysia, Indonesia, Thailand, and the Philippines stock market returns. The results indicate increased Asian stock market linkages but the level is very low. This implies that the benefits of diversification within the five Asian stock markets are still existed.

• Ocean and Polar Research
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• v.36 no.4
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• pp.327-341
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• 2014

This study aims to analyze causality among Wando abalone producer prices by size using a vector autoregressive model to expiscate the leading-price of Wando abalone in various price classes by size per kg. This study, using an analytical approach, applies a unit-root test for stability of data, a Granger causality test to learn about interaction among price classes by size for Wando abalone, and a vector autoregressive model to estimate the statistical impact among t-1 variables used in the model. As a result of our leading-price analysis of Wando abalone producer prices by shell size using a VAR model, first, DF, PP, and KPSS tests showed that the Wando abalone monthly price change rate by size differentiated by logarithm were stable. Second, the Granger causality relationship analysis showed that the price change rate for big size abalone weakly led the price change rate for the small and medium sizes of abalone. Third, the vector autoregressive model showed that three price change rates of t-1 period variables statistically, significantly impacted price change rates of own size and other sizes in t period. Fourth, the impulse response analysis indicated that the impulse responses of structural shocks for price change rate for big size abalone was relatively more powerful in its own size and in other sizes than shocks emanating from other sizes. Fifth, the variance decomposition analysis indicated that the price change rate for big size abalone was relatively more influential than the price change rates for medium and small size abalone.

• Journal of Technology Innovation
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• v.11 no.2
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• pp.175-193
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• 2003

The purpose of this study is to examine relationship between public R&D investment and private R&D investment in Korea, and to obtain policy implications of the results. To this end, the author attempts 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 public R&D investment and private R&D investment is detected. This finding has various implications for policy analysts and forecasters. Increasing private R&D investment requires enormous public R&D investment, though there are many other factors contributing to private R&D investment, and public R&D investment is but one part of it. Thus, this study generates confidence in decisions to invest in public R&D. Moreover, this study lends support to the argument that increase in private R&D investment, ceteris paribus, gives rise to public R&D investment. Increase in private R&D investment results in greater national income to be spent on R&D investment and stimulates further public R&D investment.

• International Area Studies Review
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• v.13 no.2
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• pp.255-276
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• 2009

This article has examined the international transmission of returns among S&P500, Nikkei225 and SENSEX stock index cash markets using the daily closing prices covered from January 4, 2002 to February 6, 2009. For this purpose we employed dynamic time series models such as the Granger causality analysis and variance decomposition analysis based on VAR model. The main empirical results are as follows; First, according to Granger causality tests we find that S&P500 stock index has a significant prediction power on the changes of SENSEX and Nikkei225 stock index market and vice versa. However, US stock market's influence is dominant to the other stock markets at a significant level statistically. Second, according to variance decomposition, SENSEX stock index is more sensitive to the movement of S&P500 than that of Nikkei225 stock index. These kinds of empirical results shows that the three stock markets are integrated over times and these results will be informative for the international investors to build the world-wide investment portfolio and risk management strategies, etc.

• Korea Trade Review
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• v.44 no.2
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• pp.127-141
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• 2019

In this study, the relationship between Baltic Dry Index(BDI) and maritime trade volume in the dry cargo market was verified using the vector autoregressive (VAR) model. Data was analyzed from 1992 to 2018 for iron ore, steam coal, coking coal, grain, and minor bulks of maritime trade volume and BDI. Granger causality analysis showed that the BDI affects the trade volume of coking coal and minor bulks but the trade volume of iron ore, steam coal and grain do not correlate with the BDI freight index. Impulse response analysis showed that the shock of BDI had the greatest impact on coking coal at the two years lag and the impact was negligible at the ten years lag. In addition, the shock of BDI on minor cargoes was strongest at the three years lag, and were negligible at the ten years lag. This study examined the relationship between maritime trade volume and BDI in the dry bulk shipping market in which uncertainty is high. As a result of this study, there is an economic aspect of sustainability that has helped the risk management of shipping companies. In addition, it is significant from an academic point of view that the long-term relationship between the two time series was analyzed through the causality test between variables. However, it is necessary to develop a forecasting model that will help decision makers in maritime markets using more sophisticated methods such as the Bayesian VAR model.

• Korea Trade Review
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• v.45 no.3
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• pp.119-132
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• 2020

In this paper we explore the two analyses to know the urbanization effect on trade. First, the granger causality test to examine the relationship between trade and urbanization. The Granger causality test is a statistical hypothesis test for determining whether one time series is useful for forecasting another. The results indicated that the existence of a bidirectional causality running from trade to urbanization when six lags were applied. When eight lags were applied, we found unidirectional causality running from urbanization to trade. Second, gravity models were used to investigate the urbanization effect on trade. The production cost and specification are affected by the economies of scale, and the economies of scale increased as the greater geographically agglomeration. However, the gravity model to explain the bilateral trade flows ignores the urbanization variables. Therefore we added the urbanization variable represented as the geographically agglomeration into gravity model. The results show that the degree of urbanization of both countries has statistically positive effect on trade (export and import) and the bigger coefficients of trade partner's urbanization. The reason is that the trade share of industrial supplies, intermediate goods and capital goods is much higher than finished consumer goods. The urbanization is more important the improved the efficiency of production than demand market.

• Journal of the Korean Society of Fisheries and Ocean Technology
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• v.55 no.3
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• pp.264-272
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• 2019

The aim of this study is to analyze the relationship between international oil price as a fuel cost in overseas fisheries and skipjack tuna price as a part of main products in overseas fisheries using monthly time series data from 2008 to 2017. The study also tried to analyze the change of fishing profits by fuel cost. For a time series analysis, this study conducted both the unit-root test for stability of data and the Johansen cointegration test for long-term equilibrium relations among variables. In addition, it used not only the Granger causality test to examine interactions among variables, but also the Vector Auto Regressive (VAR) model to estimate statistical impacts among variables used in the model. Results of this study are as follows. First, each data on variables was not found to be stationary from the ADF unit-root test and long-term equilibrium relations among variables were not found from a Johansen cointegration test. Second, the Granger causality test showed that the international oil prices would directly cause changes in skipjack tuna prices. Third, the VAR model indicated that the posterior t-2 period change of international oil price would have an statistically significant effect on changes of skipjack tuna prices. Finally, fishing profits from skipjack would be decreased by 0.06% if the fuel cost increases by 1%.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.8
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• pp.533-542
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• 2020

This study estimates the nature of the relationship of entrepreneurship and business confidence on youth unemployment in the Philippines over the 2001-2017 period. The paper employed a range of cointegrating regression models, namely, autoregressive distributed lag (ARDL) bounds testing approach, Johansen-Juselius (JJ) and Engle-Granger (EG) cointegration models, dynamic OLS, fully modified OLS, and canonical cointegrating regression (CCR) estimation techniques. The Granger causality based on error correction model (ECM) was also performed to determine the causal link of entrepreneurship and business confidence on youth unemployment. The ARDL bounds testing approach, Johansen-Juselius (JJ) and Engle-Granger (EG) cointegration models confirmed the existence of long-run equilibrium relationship of entrepreneurship and business confidence on youth unemployment. The long-run coefficients from JJ and dynamic OLS show significant long-run and positive relationship of entrepreneurship and business confidence on youth unemployment. While results of the long-run coefficients from fully modified OLS and canonical cointegrating regression (CCR) found that only entrepreneurship has significant and positive relationship with youth unemployment in the long-run. The Granger causality based on error correction model (ECM) estimates show evidence of long-run causal relationship of entrepreneurship and business confidence on youth unemployment. In the short-run, increases in entrepreneurship and business confidence causes youth unemployment to decrease.

• Asia-Pacific Journal of Business
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• v.7 no.1
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• pp.1-10
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• 2016

This study attempts to investigate the effects of different types of debts on economic growth in Bangladesh using time series data spanning from 2000 to 2015. In this study, the RDL model has been applied to determine the long run relationship among the selected variables. The result of the ARDL model shows that there exists a long term relationship between economic growth and the debt variables. It was evident from the findings that there exists bidirectional causality between public sector external debt and economic growth. Causality between private external debt and economic growth has been found to be insignificant. However, causality between domestic debt and economic growth showed a unidirectional causality from domestic debt to economic growth and not vice versa. Causality tests suggest that impact of domestic debt on economic growth is more effective compared to external debts.

• The Journal of Fisheries Business Administration
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• v.46 no.1
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• pp.93-107
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• 2015

This study aims to analyze causalities among Hairtail prices by distribution channel using a vector autoregressive model. This study applies unit-root test for stability of data, uses Granger causality test to know interaction among Hairtail Prices by distribution channel, and employes the vector autoregressive model to estimate statistical impacts among t-2 period variables used in model. Analyzing results of this study are as follows. First, ADF, PP, and KPSS tests show that the change rate of Hairtail price by distribution channel differentiated by logarithm is stable. Second, a Granger causality test presents that the producer price of Hairtail leads the wholesale price and then the wholesale price leads the consumer price. Third, the vector autoregressive model suggests that the change rate of Hairtail producer price of t-2 period variables statistically, significantly impacts change rates of own, wholesale, and consumer prices at current period. Fourth, the impulse response analysis indicates that impulse responses of the structural shocks with a respectively distribution channel of the Hairtail prices are relatively more powerful in own distribution channel than in other distribution channels. Fifth, a forecast error variance decomposition of the Hairtail prices points out that the own price has relatively more powerful influence than other prices.