• Analyses & Alternatives
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• v.3 no.1
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• pp.135-157
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• 2019

The linkages between asset prices and macroeconomic outcomes are long-standing issue to both economists and monetary authorities. This paper explores the impact of asset prices on output and price in China. It focuses on the impacts of asset prices on the low quantiles of GDP gap and high quantiles of price gaprespectively. The main findings are the following: the influence of stock price gap, stock returns, and money growth on the different quantile of GDP gap and price gap are noticeable different, and there are significant impacts on the left tail of GDP gap distribution and on the right tail of price gap distribution. This implies that the results coming from simple regression will underestimate the economic risk imposed by asset price volatility. Moreover, these results also provide the caveat that one should cautiously distinguish the meaning of asset price gap and asset price growth rate and use them, through their contents are similar in some sense. One implication for monetarypolicy is that authority should interpret the relationship between asset prices and macro-economy in wider perspectives, and make the policy decision taking the impacts of asset prices on the tails of economy.

• Journal of Distribution Science
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• v.16 no.4
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• pp.83-88
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• 2018

Purpose - This study conducts an empirical analysis on gasoline pricing of Korean retail gas stations focusing on spatial effects. Unlike previous studies, the study uses an official land price for a proxy of the importance of location, and also allows the spatial effects from other competing gas stations as well. Research design, data, and methodology - In collection of data, we obtain more abundant data than those of previous studies. The gasoline prices used in the study are 909,084 observations as daily data from January 1 to July 31 of the year 2016. A proxy for the land price is collected by linking official public land price data with address information on each gas station. For the estimation, the study employs the Panel Spatial Dubin Model to make the best use of the collected location information. Results - As expected, spatial properties of gas stations have significant effects on the gasoline price. As the price per square meter increases by 100 thousands won, the price of gasoline rises 9 won per liter. Among other characteristics, the price increases by 16 won per liter if the station has a convenience store, and about 5 won if it has a car wash service. Gasoline price in Singapore accounted for 26% of variations in domestic gasoline prices. SK Energy and GS Caltex are the top brands in terms of price. The study also finds prices and other important properties of competing gas stations have significant effects on others' prices. Prices of competing gas station have a positive relationship with those of others. If a competing gas station raises the price, the gas station also raises the price, and lowering the price lower the price. Among brands, GS Caltex has the greatest downward pressure on nearby gas stations. Conclusions - The study confirms that location value of gas stations affect their gasoline prices, and the prices of the competing gas stations also have a significant effects on their prices. It suggests that the prices in the competing retail areas tend to be synchronized with each other.

• The Korean Journal of Financial Management
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• v.8 no.1
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• pp.199-212
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• 1991

주식옵션(stock options)에 대한 연구에 비교하여 상품 및 퓨처 옵션(commodity & futures options)에 대한 연구는 선진국에서도 지금 한참 연구를 하고 있는 단계에 있다. 우리나라에서도 이 분야에 대한 이론을 바탕으로 하는 제도를 곧 도입하려는 준비를 하고 있다. 본 연구는 블랙의 '블랙의 컴모디티 옵션의 가격모형(Black commodity option pricing model)'을 이용하여 재무성 장기채권의 퓨처의 균형가격을 예측하는데 있다. 이 블랙모형의 적용가능성을 검증해 본 것이다. 실제퓨처가격(observed futures prices)과는 달리 재무성 장기채권 퓨처 옵션에서의 묵시적 퓨처가격(futures prices implicit)은 시장효율성(market efficiencies)의 전제하에 성립되거나, 아니면 옵션가격모형을 사용하여서는 아니되거나 둘 중의 하나이거나 둘 다 섞이거나 일 것이다. 본 실증적인 연구, 즉 묵시적인 표준편차(implied standard deviations)를 사이멀테니어스(simultaneously)하게 계산한 묵시적인 퓨처가격(implied futures prices)을 사용한 실증적인 연구는 옵션모델에 의하여 퓨처가격을 계산하는 데에 문제가 있음을 발견하였다. 그 이유는 옵션가격결정모형을 이용하여 계산한 재무성 장기채권의 퓨쳐가격은 재무성 장기채권의 미래가격변동의 방향을 제시하는 지표로써 사용할 수 없기 때문일 것이다. 우리나라에서도 이 분야에 대한 이론과 제도를 곧 도입하는 입장에서 선행되는 문헌이 될 것이다.

• The Journal of Asian Finance, Economics and Business
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• v.5 no.3
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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.

• The Journal of Society for e-Business Studies
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• v.9 no.2
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• pp.17-31
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• 2004

It is very important that sellers provide reasonable reserve prices for auction items in internet auction systems. Recently, an agent has been proposed to generate reserve prices automatically based on the case similarity of information retrieval theory. However, one of its drawbacks is that the recent trend of auction prices is not reflected in the generated reserve prices, because it suggests the bid price of the most similar item from the past auction data. In this paper, in order to overcome the problem, we propose a new method that generates reserve prices based on the moving average of time series analysis, in which more weight is provided to the recent bid prices. Through performance experiments, we show that the successful bid rate can be increased by preventing sellers from making unreasonable reserve prices.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.251-257
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• 2020

The study investigates the role of commodity prices and tax purpose recognition on bitcoin prices. Since the introduction of bitcoin in 2008, emphasis has focused on economists, policy-makers and analysts drastically increasing bitcoin's accessibility and commodity values (Dumitrescu & Firică, 2014). This study employs GARCH and EGARCH from ARCH/GARCH family on daily nature data. We measure the volatile behavior of bitcoin by employing auto-regressive conditional heteroscedasticity model with the aim to explore the relationship between major commodities and bitcoin volatility. We focus on major commodities like gold, silver, platinum, and crude oil to be regressed with bitcoin. The daily prices of commodities were retrieved from www.investing.com and bitcoin prices from www.coindesk.com for the period from 29April 2013 to 16 October 2018. Results confirmed the currency's long-term volatile behavior, which is due to its composition and market dynamics, whereas the existence of asymmetric information effect is not confirmed. Tax recognition by other countries may in future help in controlling the volatility as bitcoin is not a country-specific security. But, only silver impacts on volatility in comparison to oil prices and platinum, which is due to its similar features with gold. Eventually, bitcoin can be used for risk diversification and money making.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.3
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• pp.337-346
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• 2022

This study explores the impact of the COVID-19 pandemic on the stock prices of state-owned enterprises listed on the Indonesia Stock exchange. The impact of the pandemic is analyzed based on different pandemic phases and the corresponding government pandemic interventions to curb the disease. This study analyzes 6 pandemic event dates, covering the time period from January 2020 to February 2021. A total of 20 state-owned enterprises are included as the sample of this study. Test of difference is employed to compare the stock prices of the state-owned enterprises before and after each pandemic event date. In general, this study confirms the adverse impact of the COVID-19 pandemic on the stock prices, especially the event in 2020, although some variations do exist. The results of the study reveal a significant decrease in the stock prices of the state-owned enterprises after the announcement of the first confirmed COVID-19 cases, the announcement of COVID-19 as a global pandemic, the imposing of Large Scale Social Restriction (PSBB I and PSBB II). In contrast, the stock prices increase after the imposing of a new normal policy and the imposing of Public Activity Restriction (PPKM). This study also documents that the effect of the pandemic may vary based on the pandemic phase.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2020.06a
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• pp.202-203
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• 2020

Unlike price calculation by cost accounting, which categorizes costs into material costs, labor costs, and miscellaneous expenses to determine the construction budget price, construction cost calculation based on Construction Standard Unit Prices utilizes unit prices extracted from market prices of items from projects already completed to estimate costs of similar construction projects. Although unit price information is collected through construction site surveys to revise these construction standard unit prices every year, but due to the limitations of the site survey method, it is difficult to quickly implement the rapid changes in the construction methods and market prices. As such, an important issue that arose was the identification of work items whose prices need urgent revision. This study conducted research on factors that need to be considered when developing online survey system for monitoring construction site market prices. This study is expected to enhance convenience for users, and provide an efficient data collection and management system for administrators.

• Korean Journal of Construction Engineering and Management
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• v.25 no.4
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• pp.53-65
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• 2024

During COVID-19 the housing market in Korea experienced the soaring prices, despite the decrease in the economic growth rate. This paper aims to analyze macroeconomic determinants affecting housing prices in Korea during the pandemic and find an appropriate statistic model to forecast the changes in housing prices in Korea. First, an appropriate lag for the model using Akaike information criterion was found. After the macroeconomic factors were checked if they possess the unit root, the dependencies in the model were analyzed using vector autoregression (VAR) model. As for the prediction, the VAR model was used and, besides, compared afterwards with the long short-term memory (LSTM) model. CPI, mortgage rate, IIP at lag 1 and federal funds effective rate at lag 1 and 2 were found to be significant for housing prices. In addition, the prediction performance of the LSTM model appeared to be more accurate in comparison with the VAR model. The results of the analysis play an essential role in policymaker perception when making decisions related to managing potential housing risks arose during crises. It is essential to take into considerations macroeconomic factors besides the taxes and housing policy amendments and use an appropriate model for prices forecast.

• Journal of Korea Port Economic Association
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• v.39 no.4
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• pp.243-254
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• 2023

This study investigates the factors contributing to price fluctuations in the shipscrapping market, the final stage in a vessel's life cycle. Shipping companies make decisions on ship dismantling based on factors such as declining freight rates, increasing vessel age leading to higher costs, or compliance with new environmental regulations. Utilizing the FMOLS (Fully Modified Ordinary Least Squares) and VECM (Vector Error Correction Model) methodologies, the research explores the long-term elasticities of factors influencing shipscrapping prices and examines short-term causal relationships. Using a time series dataset spanning from December 2015 to April 2023, covering a total of 90 months, the study focuses on the shipscrapping prices of Capesize vessels in India and Bangladesh, which constitute a significant portion of the shipbreaking market. The findings indicate that, in the long term, shipscrapping prices are closely related to global scrap prices, 20-year-old secondhand Capesize vessel prices, newbuilding prices, and exchange rates. In terms of short-term causal relationships, an increase in global scrap prices induces a rise in shipscrapping prices, while the remaining variables do not contribute to such increases. Specifically, an escalation in shipscrapping prices is associated with increased prices of 20-year-old secondhand vessels, newbuilding prices, and exchange rates. However, the other variables do not show a significant influence on short-term increases in shipscrapping prices.