• Journal of the Korean Society of Fisheries and Ocean Technology
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• v.32 no.3
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• pp.235-240
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• 1996

Forecasts of monthly landings of walleye pollock, Theragra chalcogramma, in Korea were carried out by the seasonal Autoregressive Integrated Moving Average(ARlMA) model. The Box - Cox transformation on the walleye pollock catch data handles nonstationary variance. The equation of Box - Cox transformation was Y'=($Y^0.31$_ 1)/0.31. The model identification was determined by minimum AIC(Akaike Information Criteria). And the seasonal ARlMA model is presented (1- O.583B)(1- $B^1$)(l- $B^12$)$Z_t$ =(l- O.912B)(1- O.732$B^12$)et where: $Z_t$=value at month t ; $B^p$ is a backward shift operator, that is, $B^p$$Z_t$=$Z_t$-P; and et= error term at month t, which is to forecast 24 months ahead the walleye pollock landings in Korea. Monthly forecasts of the walleye pollock landings for 1993~ 1994, which were compared with the actual landings, had an absolute percentage error(APE) range of 20.2-226.1 %. Thtal observed annual landings in 1993 and 1994 were 16, 61OM/T and 1O, 748M/T respectively, while the model predicted 10, 7 48M/T and 8, 203M/T(APE 37.0% and 23.7%, respectively).

• International Area Studies Review
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• v.13 no.1
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• pp.3-16
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• 2009

This paper investigates the existence of uncovered interest rate parity between the Korea-USA as well as the Korea-Japan. We may ascertain the existence of uncovered interest rate parity by examining the empirical relationship between real exchange rates and interest rate differentials in the Korea-USA as well as in the Korea-Japan. The empirical relationship between real exchange rates and interest rate differentials in the Korean-USA and Korean-Japanese economies is investigated using cointegration tests. In the context of this study, cointegration technique is appropriate to examine the relationship between two(or more) nonstationary time series. Also, this method is useful to detect the possibility that the nonstationarity in both series can be explained by a single factor. The empirical results support the nonexistence of a long run equilibrium relation between real exchange rates and interest rate differentials. Also, the results show that the nonstationarity cannot be explained by a single factor.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.22 no.6
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• pp.453-459
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• 2021

The system marginal price of electricity is the amount paid to all the generating units, which is an important decision-making factor for the construction and maintenance of an electrical power unit. In this paper, we suggest a long-term forecasting model for calculating the system marginal price based on prices of natural gas and oil. As most variables used in the analysis are nonstationary time series, the long run relationship among the variables should be examined by cointegration tests. The forecasting model is similar to an error correction model which consists of a long run cointegrating equation and another equation for short run dynamics. To mitigate the robustness issue arising from the relatively small data sample, this study employs various testing and estimating methods. Compared to previous studies, this paper considers multiple fuel prices in the forecasting model of system marginal price, and provides greater emphasis on the robustness of analysis. As none of the cointegrating relations associated with system marginal price, natural gas price and oil price are excluded, three error correction models are estimated. Considering the root mean squared error and mean absolute error, the model based on the cointegrating relation between system marginal price and natural gas price performs best in the out-of-sample forecast.