• International Area Studies Review
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• v.14 no.3
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• pp.246-263
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• 2010

This study examines how the long-run relations between housing price and inflation in the United Sates have changed since the year of 2000. Johansen co-integration test, estimation of long-run equilibrium equation, and Granger causality tests are conducted, based on the VECM. Data covers the period from the first quarter of 1975 to the second quarter of 2010. I adopt the recursive estimation method in which the final period of the estimation is expanded by one quarter, starting from the first quarter of 2000. The empirical results are as follows: (1) In spite of the sharp increase of housing price, the long-run relationship of house prices and inflation has been remained stable until 2007, showing that house prices are a stable inflation hedge in the long run. (2) The housing price plunge since 1997 does not seem to be related to the restore of the long-run relationship between housing prices and inflation. (3) Granger causality test results support the hypothesis that inflation granger-causes housing prices with 10% significance level, but reject the hypothesis that housing price granger-causes inflation.

• 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.

• 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.

• 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.

• 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.

• 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.

• Journal of Korea Port Economic Association
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• v.30 no.4
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• pp.255-273
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• 2014

The purpose of this paper is to examine the causal relationship among the trading volume of Pyeongtaek port, Incheon Inner Harbor, Incheon North Harbor. Methodologically, Granger causality, impulse response function, and variance decomposition based on VAR are used. The results indicate that Pyeongtaek port trading volume positive shock has positive effects on Incheon North Harbor. In addition, Incheon Inner Harbor trading volumes positive shock has negative effects on Pyeongtaek port. The results also suggest that the volume of Pyeongtaek port Granger-causes the volume of Incheon North Harbor, but not vice versa. The volume of Incheon Inner Harbor Granger-causes the volume of Pyeongtaek port. Based on these results, we suggest that port authorities have to focus on policies that would promote copetition between port of Pyeongtaek and Incheon in the world harbor industry.

• Journal of Korea Port Economic Association
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• v.36 no.4
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• pp.1-16
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• 2020

Since Korea has excellent port infrastructure and competitive petrochemical complexes, there is plenty of potential for creating an oil hub in Northeast Asia. In particular, Ship-to-Ship (STS), which creates high added values, contributes greatly to the national economy. In this study, the liquid cargo volumes of chemical industrial products, refined petroleum products, and crude oil were analyzed at the national and regional (Busan, Ulsan, and Yeosu/Gwangyang) levels. Additionally, a Granger causality analysis was performed between imports, exports, and transshipments, in pairs. ADF, PP, and KPSS were analyzed for the unit root test. In addition, the VAR model and expanded VAR model suggested by Toda and Yamamoto were used for further analyses. Findings revealed a difference in Granger causality depending on the region or cargo type. These findings suggest that policies and incentive schemes for ports need to be differentiated according to the region and cargo types. In addition, the different patterns in the relationship between transshipments and import-export petrochemical cargoes should be considered.

• Journal of the Korean Data and Information Science Society
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• v.20 no.4
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• pp.655-660
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• 2009

As the global economic crisis, the Korean foreign exchange market appears unstable with large fluctuations in exchange rate. Inevitably, there is growing attention on price variables such as exchange rate and interest rates and also on corelation between the factors. This is an empirical study on the causality of fluctuation between exchange rate and interest rate in the Korean market under global economic crisis. The fluctuations in won/dollar exchange rate and call rate are described and followed by analysis of lead-lag relationship between the two variables using Cross-correlation function and Granger causality test.

• Journal of Biomedical Engineering Research
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• v.29 no.4
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• pp.329-336
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• 2008

Recently, causality analysis of source time series extracted from EEG or MEG signals is becoming of great importance in human brain mapping studies and noninvasive diagnosis of various brain diseases. Two approaches have been widely used for the analyses: one is independent component analysis (ICA), and the other is multiple signal classification (MUSIC). To the best of our knowledge, however, any comparison studies to reveal the difference of the two approaches have not been reported. In the present study, we compared the performance of the two different techniques, ICA and MUSIC, especially focusing on how accurately they can estimate and separate various brain electrical signals such as linear, nonlinear, and chaotic signals without a priori knowledge. Results of the realistic simulation studies, adopting directed transfer function (DTF) and Granger causality (GC) as measures of the accurate extraction of source time series, demonstrated that the MUSIC-based approach is more reliable than the ICA-based approach.