• 한국건설관리학회논문집
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• 제13권2호
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• pp.128-136
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• 2012

본 연구에서는 부동산 시장뿐만 아니라 우리 생활에 많은 비중을 차지하는 주택 가격에 영향을 미치는 거시경제변수에 대해 살펴보았다. 주택 전세가격에 영향을 미칠 것으로 파악되는 거시경제변수로는 가계대출금리, 가계예금총액, 취업자 수로 분석모형을 설정하였으며, 각 변수에 대한 시계열 자료를 활용하여 다중회귀분석을 실시하였다. 분석한 결과에 따르면, 주택 전세가격은 네 가지 거시경제변수 모두에 영향을 받으며 각각의 변수가 높아질수록 전세가격 또한 상승하는 것으로 나타났다. 본 연구결과를 통해 주택 전세가격 안정화를 위한 해결책을 모색하고, 효율적이고 지속 가능한 주택시장 정책을 수립할 수 있을 것이다.

• 한국사회복지학
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• 제58권3호
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• pp.245-268
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• 2006

본 연구는 우리나라에서의 경제성장과 빈곤간의 관계에 대한 실증적 연구결과를 제공하는 것을 그 목적으로 한다. 특히 외환위기 후 2000년대 들어 경제 성장과 빈곤간의 관계에 어떤 변화가 발생했는지를 검토한다. 이를 위하여 도시가계조사 1982-2004년 원자료를 이용하여 도시지역의 빈곤율 연간자료를 구축하고, 거시경제지표로서 실질GDP와 실업율의 연간자료를 이용하였다. 분석결과 1980-1990년대에 걸쳐 우리나라에서 거시경제성장은 빈곤감소에 아주 직접적이고 중요한 역할을 담당한 것으로 나타났다. 2000년 이후에도 거시경제성장은 여전히 빈곤감소의 주요한 도구로서 작동한 것으로 나타났다. 그러나 1980-1990년대에 비해 2000년대 이후에는 거시경제성장에 의해 설명되지 않는 빈곤의 증가현상이 존재한 것으로 나타났다. 이러한 분석결과는 향후 반빈곤전략이 과거의 경제성장 우선전략에서 경제성장과 함께 사회보장제도 확충을 동시에 강조하는 전략으로 전환되어야 한다는 것을 제시한다.

• The Journal of Asian Finance, Economics and Business
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• 제6권3호
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• pp.9-18
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• 2019

The purpose of this study is to investigate the relation between conservative loan loss accounting practice of banks, defined as accounting behavior that increases loan loss allowances against expected credit losses, and bank lending. Furthermore, we specify the macroeconomic conditions reflecting debtors' borrowing environments and analyze how these conditions affect the relation between conservative loan loss allowances and bank lending. Although existing literature reports that accounting conservatism has a direct effect on non-financial firms' investment behavior, there is little evidence about an effect of conservatism on banks' lending behavior. By exploiting data showing the links between individual Japanese firms and their individual lenders to control both loan demand and supply, we estimate OLS regressions to test the relationships among conservative loan loss allowance, bank lending, and macroeconomic conditions using a unique dataset containing bank-firm-year observations between 2001 and 2013. We find banks that have conservative loan loss allowances tend to provide fewer loans to firms with financing needs when macroeconomic conditions are good and these conservative banks are likely to provide more loans to firms when macroeconomic conditions are bad. Our findings suggest that reflecting expected credit loss into loan loss allowances can mitigate the procyclical behavior of banks.

• The Journal of Asian Finance, Economics and Business
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• 제5권3호
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• pp.7-17
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• 2018

This paper examines short-run and long-run dynamic relationships between selected macroeconomic variables and stock prices in the Korea Stock Exchange. The data is restricted to the period for which monthly data are available from January 1986 to October 2016 (370 observations) retrieved from the Economic Statistics System database sponsored by the Bank of Korea. The study employs unit root test, cointegration test, vector error correction estimates, impulse response test, and structural break test. The results of the Johansen cointegration test indicate at least three cointegrating equations exist at the 0.05 level in the model, confirming that there is a long-run equilibrium relationship between stock prices and macroeconomic variables in Korea. The results of vector error correction model (VECM) estimates indicate that money supply and short-term interest rate are not related to stock prices in the short-run. However, exchange rate is positively related to stock prices while the industrial production index and inflation are negatively related to stock prices in the short-run. Furthermore, the VECM estimates indicate that the external shock, such as regional and global financial crisis shocks, neither affects changes in the endogenous variables nor causes instability in the cointegrating vector. This study finds that the endogenous variables are determined by their own dynamics in the model.

• 유통과학연구
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• 제11권7호
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• pp.5-13
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• 2013

Purpose - The study explores social well-being of the community of five selected countries of the South Asia: India, Pakistan, Sri Lanka, Nepal and Bangladesh. The study compares effectiveness of macroeconomic policies across the countries through interactive effects of the macroeconomic policy variables with the regional dummy variables. Research design, data, and methodology - Using the data set for the period of 1990-2008, this study employs panel data models, quantile regression methods, and the fixed effects method, which the constant is treated as group or country-specific. The model can also be known as the least-squares dummy variables estimator. Results - The results reveal significant chances of improvement in the well-being of the people while living in India and Pakistan as compared to the other countries of the region where India relatively stands with better chances of providing opportunities to improve the well-being of the people. Conclusions - This study recommends an increasing allocation of budget on education and health in order to enhance social well-being in the South Asian region. Inflation is the main cause of deteriorating well-being of the South Asian community by escalating the cost of living. Comprehensive study is recommended by employing the micro data models in the region.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.77-88
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• 2021

The stock markets in the BRICS (Brazil, Russia, India, China and South Africa) countries are the leading emerging markets globally. Therefore, it is pertinent to ascertain the critical drivers of stock market development in these economies. The currrent study empirically investigates to identify the linkages between stock market development, key macro-economic factors and institutional factors in the BRICS economies. The study covers the time period from 2000 to 2017. The dependent variable is the country's stock market development and the independent variables consist of six macroeconomic variables and five institutional variables. The study employs a panel cointegration test, Fully Modified OLS (FMOLS), a Pooled Mean Group (PMG) approach and a heterogeneous panel non-causality test.The findings of the study indicate co-integration among the selected variables across the BRICS stock markets. Long-run estimations reveal that five macroeconomic variables and four variables related to institutional quality are positive and statistically significant. Further, short-run causalities between stock market capitalization and selected variables are detected through the test of non-causality in a heterogeneous panel setting. The findings suggest that policymakers in the BRICS countries should enhance robust macroeconomic conditions to support their financial markets and should strengthen the institutional quality drivers to stimulate the pace of stock market development in their countries.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.181-190
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• 2021

This paper empirically examines the asymmetric response of the Indonesian Islamic stock market to macroeconomic variables encompassing money supply, domestic output, exchange rate, and Federal Reserve rate. Our study employs the Jakarta Islamic Index (JII) after the financial crisis in the Southeast Asian country using monthly data from January 2000 to December 2019. Non-linear Autoregressive Distributed lag (NARDL) is applied. Our study considers two models consisting of the model without the Federal Reserve rate and the model with it. Our findings confirm the long-run link between Jakarta Islamic Index and macroeconomic factors being studied. Furthermore, the Jakarta Islamic Index asymmetrically responds to broad money supply and exchange rate, but not to domestic output and Federal Reserve rate. A reduction in the money supply has a worse effect on Islamic stock prices as compared to an increase in the money supply. The Jakarta Islamic Index responds differently to depreciation and appreciation. The transmission of the exchange rate to Islamic stock prices occurs only for appreciation. Our study finds an absence of transmission mechanism from the domestic output and the interest rate to Islamic stock prices. Our results imply that the easy money policy and stabilizing currency are key to supporting Indonesian Islamic stock prices.

• The Journal of Asian Finance, Economics and Business
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• 제8권8호
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• pp.311-324
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• 2021

Investors have increasingly become interested in macroeconomic antecedents in order to better understand the investment environment and estimate the scope of profitable investment in equity markets. This study endeavors to examine the interdependency between the macroeconomic antecedents (international oil price (COP), Domestic gold price (GP), Rupee-dollar exchange rates (ER), Real interest rates (RIR), consumer price indices (CPI)), and the BSE Sensex and Nifty 50 index return. The data is converted into a natural logarithm for keeping it normal as well as for reducing the problem of heteroscedasticity. Monthly time series data from January 1992 to July 2019 is extracted from the Reserve Bank of India database with the application of financial Econometrics. Breusch-Godfrey serial correlation LM test for removal of autocorrelation, Breusch-Pagan-Godfrey test for removal of heteroscedasticity, Cointegration test and VECM test for testing cointegration between macroeconomic factors and market returns,] are employed to fit regression model. The Indian market returns are stable and positive but show intense volatility. When the series is stationary after the first difference, heteroskedasticity and serial correlation are not present. Different forecast accuracy measures point out macroeconomics can forecast future market returns of the Indian stock market. The step-by-step econometric tests show the long-run affiliation among macroeconomic antecedents.

• 유통과학연구
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• 제22권6호
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• pp.1-10
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• 2024

Purpose: This study's objective is to examine the impact of firm-specific and macroeconomic factors on the business performance of non-cyclical and cyclical sectors in Indonesian listed firms. The evaluation of business performance holds paramount importance for the achievement and long-term viability of a company. Research Design Data and Methodology: The data for 61 non-cyclicals sector companies and 57 cyclicals sector companies was gathered over a 4-year period from 2018-2021. The model integrates firm size, leverage, and sales growth as firm-specific factors, with real GDP growth and inflation rate as macroeconomic variables. ROA and ROE are indicators of a firm's business performance. The regression models are estimated using the distribution of a dynamic approach with Arellano-Bond Panel Generalized Method of Moments (GMM) estimation. Results: The results of the pooled sample indicate that the historical ROA and ROE have a positive relationship with the business performance of all sectors, including both non-cyclical and cyclical industries. The ROE of non-cyclical enterprises is primarily influenced by firm-specific characteristics and macroeconomic influences. Conclusion: To ensure the successful implementation of the distribution of a dynamic approach towards enhancing corporate business performance, organizations need to take into account a combination of firm-specific factors and macroeconomic factors.

• 한국조리학회지
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• 제22권3호
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• pp.212-223
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• 2016

본 연구의 목적은 거시경제변수의 수익률 및 변동성이 호텔 레저 주가지수 수익률 및 변동성에 대해 정보이전효과가 존재하는 지에 대해 알아보는 것이다. 실증분석을 위해 2000년 1월 4일부터 2015년 12월 31일까지 자료가 사용되었다. 연구의 주요 결과는 다음과 같다. 첫째, 시간가변 AR(1)-GARCH(1,1) 모형을 이용하여 분석한 결과, 거시경제변수으로부터 호텔 레저 주가지수로 수익률 및 변동성의 이전효과는 통계적으로 존재하지 않는 것으로 나타났다. 둘째, 환율(KOSPI)과 호텔 레저 주가지수의 수익률 간에는 음(양)의 관계를 가지는 것으로 나타났다. 마지막으로 원유(금리)와 호텔 레저 주가지수의 변동성 간에는 양(음)의 관계를 가지는 것으로 관측되었다.