• Environmental Engineering Research
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• 제22권2호
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• pp.193-202
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• 2017

The study estimated the relationship between carbon dioxide, crop and livestock production index in Ghana: Estimating the long-run elasticities and variance decomposition by employing a time series data spanning from 1960-2013 using both fit regression and ARDL models. There was evidence of a long-run equilibrium relationship between carbon dioxide emissions, crop production index and livestock production index. Evidence from the study shows that a 1% increase in crop production index will increase carbon dioxide emissions by 0.52%, while a 1% increase in livestock production index will increase carbon dioxide emissions by 0.81% in the long-run. There was evidence of a bidirectional causality between a crop production index and carbon dioxide emissions and a unidirectional causality exists from livestock production index to carbon dioxide emissions. Evidence from the variance decomposition shows that 37% of future fluctuations in carbon dioxide emissions are due to shocks in the crop production index while 18% of future fluctuations in carbon dioxide emissions are due to shocks in the livestock production index. Efforts towards reducing pre-production, production, transportation, processing and post-harvest losses are essential to reducing food wastage which affects Ghana's carbon footprint.

• 산경연구논집
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• 제10권9호
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• pp.53-60
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• 2019

Purpose - The objective of this paper is to discover if there exists a relationship between the economic index and distribution industry index in Korean. Because of the distribution industry boom in the recent years, a lot of interest in the relationship between the economic index and distribution industry index in Korean and the economy has been generated. This article examine on the mutual influence between economic index and distribution industry index in Korean. Research design, data, and methodology - For this purpose, we use the vector-auto regression model, impulse response function and variance decomposition of the economic index and distribution industry index, Granger causality test using weekly data on the economic index and distribution industry price index in korea. The sample period is covering from January 2, 2010 to August 31, 2019. The VAR model can also be linked to cointegration analysis. Cointegration Analysis makes possible to find a mechanism causing x and y to move around a long-run equilibrium (Engle and Granger, 1987). This equilibrium means that external shocks may separate the series temporarily at any particular time, but there will be an overall tendency towards some type of long-run equilibrium. If variables are found to have this tendency they are said to be cointegrated and a long-run relationship between these series is established. These econometric tools have been applied widely into economics and business areas to analyze intertemporal linkages between different time series. Results - This research showed following main results. First, from the basic statistic analysis of the economic index and distribution industry index in Korean, the economic index and the distribution industry index in korea have unit roots. Second, there is at least one cointegration between the economic index and distribution industry index in Korean. Finally, the correlation between of the economic index and the distribution industry index in korea is (+) 0.528876. Conclusions - We find that the distribution industry price index Granger cause the economic index in korea. As a consequence, the distribution industry index affect the economic index in Korean. The distribution industry index to the economic index is stronger than that from the economic index to the distribution industry index.

• 재무관리논총
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• 제6권1호
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• pp.313-334
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• 2000

In this paper, we obtained some supportive evidence for the long-run PPP relationship concerning the Korean Won currency. Previous tests of PPP in the bilateral exchange rates of the Korean Won rate vis-a-vis the U.S. Dollar have been exposed to the lack of power problem. We argue that their failure to find PPP relation in Korean Won rates was due to the low power of Augmented Dickey-Fuller tests or the Engle-Granger two-step tests applied to the Korean exchange rate data with short sample period. En attempting to alleviate this low power problem, we used the error-correction model test and the Johansen test for bilateral long-run equilibrium relationships between exchange rates and price indices from Korea's major trading partners. It is surprising that our evidence supporting for long-run PPP in Korean Won rate contrasts sharply with Bahmani-Oskooee, Moshen and Rhee, Hyun-Jae(1992)'s.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.23-34
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• 2020

The paper revisits the author's previous paper to examine short-run and long-run dynamic relationships between macroeconomic variables and stock prices in Korea. The data is updated to the period for which monthly data are available from January 1986 to June 2018 (390 observations) retrieved from the Bank of Korea. The results of Johansen cointegration test indicate that at least one cointegrating equation exists, confirming there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Korea. The results of vector error correction estimates confirm that: 1) the coefficient of the error correction term is significant with a negative sign, which is, a long-run dynamic relationship is observed between macroeconomic variables and stock prices; 2) for short-run dynamics, the nominal exchange rate of the Korean won per the US dollar is positively related to stock prices, while interest rates are negatively related to stock prices in the short-run; 3) the coefficient of global financial crises is insignificant, that is, the changes of stock prices are determined largely by their own dynamics in the model. The results suggest only that the global financial crises neither cause instability in the cointegrating vector, nor affect significant changes in the endogenous variables in the model.

• 유통과학연구
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• 제11권7호
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• pp.15-22
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• 2013

Purpose - The study investigates the influence of tourism and hospitality industry on economic growth and CO2 emissions. Research design, data, and methodology - In the empirical analysis, unit root tests, cointegration test and vector error correction model regression using time series data of South Korea from the first quarter of 1970 to the third quarter of 2010 are performed to examine the long-run equilibrium relationship and short-run dynamics among the tourism and hospitality industry, CO2 emissions, economic growth and other industry sectors. Results - Results indicate that a long-run equilibrium relationship exists among these variables. Furthermore, the tourism and hospitality industry and CO2 emissions have high significant positive effect on economic growth. The tourism and hospitality industry in Korea, in turns, shows a high significant positive impact on economic growth while the industry sector incursa high significant negative impact on CO2 emissions. Conclusions - The tourism and hospitality industry in Korea may havebeen prompted by several factors such as accelerated process of technological innovation or energy and environmental policies. These findings suggest that the effectively managed tourism and hospitality sector in Korea has resulted in both economic growth and a reduction in CO2 emissions.

• 국제지역연구
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• 제14권3호
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• pp.246-263
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• 2010

본 연구에서는 2000년 이후 미국의 주택가격과 물가의 장기적 관계가 어떻게 변화하고 있는지를 분석하였다. 분석 모형은 벡터오차수정모형(VECM)을 이용하였으며, 모형을 통해 공적분 검정과 장기균형식 추정 그리고 그랜저 인과검정을 실시하였다. 데이터 기간은 1975년 1분기부터 2010년 2분기까지이며, 모형 추정 및 검정 기간의 최종 시점을 2000년 1분기부터 한 분기씩 늘려나가는 축차적(recursive) 방식을 택하였다. 실증 분석 결과는 다음과 같다. 첫째, 서브 프라임 모기지 사태 이전의 주택가격이 급등했던 시기에도 주택가격과 물가는 안정적인 장기균형관계를 유지하였다. 둘째, 주택가격과 물가의 장기 균형 관계가 2007년 이후 상당한 변화를 보였으며, 장기균형 이탈에 대한 주택가격변수의 조정 계수도 이론적인 부호와는 반대로 나타나고 있다. 이러한 결과는 2007년 이후의 주택 가격 하락이 물가와 주택가격의 안정적인 장기균형의 회복을 위한 주택가격 자체의 조정이라고 보기는 어렵다는 것을 시사한다. 셋째, 그랜저 인과검정 결과 10% 유의수준 하에서 물가가 주택가격을 그랜저-코즈 하는 것으로 나타났으며, 주택가격이 물가를 그랜저-코즈 하는가에 대한 검정은 기각되었다.

• 국제지역연구
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• 제16권1호
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• pp.3-27
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• 2012

본 연구는 패널 공적분 검정 그리고 비교적 최근에 개발된 패널 단위근 검정을 이용하여 지역 주택가격과 지역총생산 간의 장기관계를 분석하였다. 횡단면 의존성(cross-section dependence)이 확인된 경우, 이를 고려한 Pesaran의 CIPS 패널 단위근 검정을 이용하였다. 기존 패널 단위근 검정의 결과와 다르게 CIPS 검정은 변수들이 불안정성을 갖는 것으로 나타났다. 또한 패널 벡터오차수정모형(VECM)을 이용하여 변수들 간의 인과관계를 확인하였으며, 고정효과모형(Fixed effect)과 패널 자기회귀시차(ARDL)모형을 이용하여 계수들의 장기관계를 구체적으로 추정하였다. 먼저 변수들 간에 공적분관계가 형성되며 장 단기 인과관계가 성립하는 것으로 나타났다. 또한 VECM 모형의 오차수정항은 통계적으로 유의한 것으로 나타나 변수들 간의 장기 공적분 관계를 뒷받침하고 있다. 모형의 추정 결과, 장기적으로 주택가격의 상승은 지역총생산을 증가시키며 반대의 관계도 성립함을 알 수 있다. 이 결과에 의해 우리나라 지역 주택시장에서 부의 효과(wealth effect)가 존재하고 있는 것으로 나타났다. 이러한 결과들과 함께 오차수정항으로부터, 주택 가격과 경제 변수들은 단기적으로는 일시적인 균형상태로부터 이탈될 수 있지만, 장기적으로는 이들 변수는 균형관계에 있다는 것을 의미한다.

• 응용통계연구
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• 제25권1호
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• pp.45-54
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• 2012

통계청의 고용통계는 고용환경의 변화와 관련된 정보는 제공하지 않으며, 실업이 경기변동에 따라 변화하지만 함께 발표되는 월간산업동향과 관련된 분석은 제대로 이루어지지 않고 있다. 본 연구는 고용환경의 급변시 우리 사회의 주요 관심사인 실업 및 실망실업의 성향을 국내외 가격변수와 연계해 경기동행과 경기후행의 관계 안에서 통계적으로 분석하였다. 실망실업률은 일반 실업률에 비해 단기적 불균형에서 장기균형으로의 회복 속도가 빠르며, 특히 대부분 변수들의 변화에 상대적으로 민감하게 반응하는 것으로 추정되어 현실을 대변하는 의미있는 통계지표임을 시사한다.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.731-740
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• 2021

This research aims to investigate the determinants of real effective exchange rate in emerging ASEAN countries, including Indonesia, Malaysia, Philippines, Thailand, and Vietnam. The research was conducted by using quarterly time series data set from 1980Q1 to 2020Q3. Cointegration and the error correction model (ECM) methods were applied to test the long run and short run relationship of the real effective exchange rate and its determinants. The results indicate that the ratio of foreign direct investment to GDP and the government spending have significantly positive impact on real effective exchange rate in the Emerging ASEAN countries. The trade opening had influencing real effective exchange rate in most the Emerging ASEAN countries, except Vietnam. In addition, the international reserve (INR) had significant long-run impacts variables on real effective exchange rate in Malaysia, Thailand and Vietnam. In the short run equilibrium, the error collection term suggest that Indonesia and Malaysia are the fastest speed adjustment to equilibrium. In addition, the term of trade influence the real effective exchange rate in Indonesia, Malaysia, and the Philippines but it is not in Thailand and Vietnam. However, FDI is a major factor of the real effective exchange rate in Vietnam, but not for other countries.

• The Journal of Asian Finance, Economics and Business
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• 제10권1호
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• pp.79-89
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• 2023

The paper aims to investigate the asymmetric long-run and short-run relationships between inflation and remittance outflows in the Kingdom of Saudi Arabia (hereafter KSA) over the period 1971-2019 by using the Nonlinear Autoregressive Distributed Lag (NARDL) model. The statistical tests have supported the validity and stability of the model. The Wald F-test statistics confirm the existence of a long-run equilibrium relationship among the model variables; remittance outflows, positive (negative) shocks in inflation rates, investment, real GDP, and trade openness. Moreover, the empirical results confirm the existence of an asymmetric effect of the inflation rate on remittance outflows. The response of foreign workers to an increase in inflation rates differs from their response to a decrease in inflation rates. However, this asymmetric relationship between the increases/decreases in inflation and remittance outflows is significantly weak. The weakness of this relationship is due to the high marginal remittance propensity of migrant workers, which is explained by the low consumption propensity of foreign workers and their ability to adjust to the high cost of living due to inflation and the imposition of accompanying fees. Finally, the change in the inflation rate is not among the main factors influencing foreign remittance decisions in Saudi Arabia.