• Title/Summary/Keyword: Real Exchange Rates

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Prediction of the Concentration Decay of Volatile Organic Compounds under Different Air Change Rates and Loading Factor Conditions (환기회수 및 부하율 변화에 따른 휘발성유기화합물 농도 감쇠 예측에 관한 연구)

  • Pang Seung-Ki;Sohn Jang-Yeul;Ahn Byung-Wook
    • Korean Journal of Air-Conditioning and Refrigeration Engineering
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    • v.17 no.6
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    • pp.505-513
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    • 2005
  • We measured the time-dependent concentration of VOCs emitted from Ondol floor, furniture, and the wall made of various building materials. After obtaining results from the previous measurement, we developed the estimation equations of the concentration decay, and obtained the estimated graphs for the concentration decay under different air change rates and loading factor conditions by using the estimated equations. We conducted our tests by applying our measurements to real residences for 110 days in the case of furniture and for 40 days in the case of the floor. We also conducted experiments in the cases of various wall materials for 7 days which totaled 10 times. We used the GC/FID for experiments for real residences accord-ing to the specified procedures of the NIOSH 1501, and carried out experiments for wall materials according to the specified procedures of the ASTM 5116-97. When conducting experiments for wall materials, we set the temperature and relative humidity at $23^{\circ}C$ and $50\%$, respectively. We also set the air change rate and loading factor at 0.7/h and $1.617 m^2/m^3$, respectively. Our results showed that it is possible to predict proplrly the time-dependent concentration decay of VOCs by using logarithmic functions in both cases of experiments for real residences and for wall materials. Furthermore, we found that the concentration decay rate of VOCs increased rapidly as the air exchange rate increased while the concentration decay rate decreased as the loading factor increased.

An Analysis on the pass-through of Korean export prices of Exchange rate changes (글로벌 금융위기 이후 환률변동과 수출가격)

  • Choi, Chang-Yeoul;Ham, Hyung-Bum
    • International Commerce and Information Review
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    • v.13 no.4
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    • pp.229-249
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    • 2011
  • The exchange rate change has been increased since the time when the floating exchange rate system was introduced in Korea. As a result, the increase of the exchange rate changes raised the risk in international trades in Korea. Also after Bretton Woods System broke down, the increasing exchange rate fluctuation raised the risk in international trade. The purpose of this dissertation is to study whether this incomplete pass-through exists in Korean export industry and furthermore to measure the markup rate of the export price using real data since Global Financial Crisis. The estimation results of the export price determination model by Error Correction Model shows that the export price of Korea has been greatly influenced by the export prices and exchange rates against U.S. Dollar of rival countries, domestic producer price as well as the Korean Won-U.S. Dollar exchange rate and also business coincidence index of U.S. in demand. Particularly, the pass-through rate of Korean Won-U.S. Dollar exchange rate to export price is estimated to be incomplete, which contrasts with the propositions of traditional exchange rate determination approach, e. g. elasticity approach, monetary approach, etc.

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Envisaging Macroeconomics Antecedent Effect on Stock Market Return in India

  • Sivarethinamohan, R;ASAAD, Zeravan Abdulmuhsen;MARANE, Bayar Mohamed Rasheed;Sujatha, S
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.8
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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.

Inter-Region Relative Price Convergence in Korea

  • Moon, Seongman
    • East Asian Economic Review
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    • v.21 no.2
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    • pp.123-146
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    • 2017
  • This paper examines the persistence of relative consumer price indices for 15 regions in Korea including 6 metropolitan cities and 9 provinces over the period of 1990-2016. In particular, we ask if relative regional price indices contain a common stochastic trend and find that they are not. We then investigate how quickly these relative prices converge to their long run value and find that a half-life of a deviation from the long run value is in the range of 13 to 22 months for the aggregate consumer price indices and in the range of 7 to 13 months for the tradable goods price indices, which is much quicker than the estimates of previous studies. These estimates suggest that existing monetary models with the realistic duration of price rigidities can generate the persistence in relative price indices.

Analysis on the Determinants of International Competitiveness in OECD Service Industries (OECD 국가의 서비스산업 경쟁력 결정요인 분석)

  • Seo, Hwan-Joo
    • Journal of Information Technology Services
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    • v.8 no.2
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    • pp.189-204
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    • 2009
  • Our study aims to investigate the determinants of international competitiveness and international specialization in services, using OECD service trade data. Real exchange rates, world demand, economies of scale, diffusion of IT, human capital, R&D expenditure and institutional variables are introduced as explanatory variables in regressions for 29 OECO countries over $1996{\sim}2003$. Some of major findings from the study can be summarized as follows. First, economies of scale play important role in transport and business services. Second, the index of freedom to trade measured by Faster Institute has a positive and significant impact on international competitiveness in telecommunication, finance and insurance and business services. Third, IT provides favorable condition to build international competitiveness in finance and insurance and business services. Fourth, R&D expenditure contributes to the amelioration of international competitiveness in transport services, while investment in new equipments contributes to increasing the competitiveness in telecommunication services. Thus, our results show the importance of the industrial base for developing a competitive service economy.

Price Prediction of Fractional Investment Products Using LSTM Algorithm: Focusing on Musicow (LSTM 모델을 이용한 조각투자 상품의 가격 예측: 뮤직카우를 중심으로)

  • Jung, Hyunjo;Lee, Jaehwan;Suh, Jihae
    • Journal of Intelligence and Information Systems
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    • v.28 no.4
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    • pp.81-94
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    • 2022
  • Real estate and artworks were considered challenging investment targets for individual investors because of their relatively high average transaction price despite their long investment history. Recently, the so-called fractional investment, generally known as investing in a share of the ownership right for real-life assets, etc., and most investors perceive that they actually own a piece (fraction) of the ownership right through their investments, is gaining popularity. Founded in 2016, Musicow started the first service that allows users to invest in copyright fees related to music distribution. Using the LSTM algorithm, one of the deep learning algorithms, this research predict the price of right to participate in copyright fees traded in Musicow. In addition to variables related to claims such as transfer price, transaction volume of claims, and copyright fees, comprehensive indicators indicating the market conditions for music copyright fees participation, exchange rates reflecting economic conditions, KTB interest rates, and Korea Composite Stock Index were also used as variables. As a result, it was confirmed that the LSTM algorithm accurately predicts the transaction price even in the case of fractional investment which has a relatively low transaction volume.

The Long-Run Relation of Public Debt and Fiscal Balance to Government Bond Rates: An Empirical Study on the Validity of Modern Monetary Theory (국가부채 및 재정수지와 국채이자율의 장기적 관계: 현대화폐이론 검증을 중심으로)

  • Kangwoo Park
    • Analyses & Alternatives
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    • v.7 no.3
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    • pp.181-230
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    • 2023
  • Evaluating the empirical validity of Modern Monetary Theory, this study implements panel cointegration analysis on annual panel data (2000-2022) of OECD countries. Specifically, the sample countries are divided into groups based on the presence of their own sovereign currencies, and for each group, the long-run equilibrium relation (cointegration) between the ratio of public debt or fiscal deficit and government bond rates is tested and estimated. Main findings are as follows: applying the pooled mean-group estimation for panel cointegration, it is found that both the ratios of public debt and fiscal deficit have significantly positive long-run correlation with government bond rates in countries without sovereign currency such as the Euro-zone or fixed exchange rate regime countries. However, in countries with sovereign currency such as non-Euro-zone or floating exchange rate regime countries, the long-run correlation is either negative or not statistically significant. Particularly, in countries without sovereign currency, the ratio of public debt has significantly positive correlation with the real government bond rates in the short run as well as the long run. These results are consistent with the prediction of Modern Monetary Theory, thus providing a supporting evidence for the empirical validity of the theory.

Analysis of Export Behaviors of Busan, Incheon and Gwangyang Port (부산항, 인천항, 광양항의 수출행태분석)

  • Mo, Soowon;Chung, Hongyoung;Lee, Kwangbae
    • Journal of Korea Port Economic Association
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    • v.32 no.3
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    • pp.35-46
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    • 2016
  • This study investigates the export behavior of Busan, Gwangyang and Incheon Port. The monthly data cover the period from January 2000 to December 2015. We employ six export functions composed of various exchange rates and industrial production index. This paper finds that the nominal effective exchange rate is more appropriate for explaining the export behaviors of the three ports, regardless of the narrow and wide indices which comprise 26 and 61 economies for the nominal and real indices respectively. This paper tests whether exchange rate and industrial production are stationary or not, rejecting the null hypothesis of a unit root in each of the level variables and of a unit root for the residuals from the cointegration at the 5 percent significance level. The error-correction model is estimated to find that both Gwangyang and Incheon ports are much slower than Busan port in adjusting the short-run disequilibrium and Gwangyang port is a little slower than Incheon port. The rolling regressions show that the influence of exchange rate as well as industrial production tends to decrease in all of three ports. The variance decomposition, however, shows that the export variables are very exogenous and the export of Busan Port is the least exogenous and that of Gwangyang Port the most. This result indicates that the economic variables such as exchange rate and economic activity affect the export of Busan Port more strongly than that of Gwangyang and Incheon Port.

A Long Run Classical Model of Price Determination (한국(韓國)의 물가모형(物價模型))

  • Park, Woo-kyu;Kim, Se-jong
    • KDI Journal of Economic Policy
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    • v.14 no.4
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    • pp.3-26
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    • 1992
  • The pupose of this paper is to construct a price determination model of the Korean economy and to find out the propogation mechanism of monetary and fiscal policies. The model is a small-size macroeconometric model consisted of ten core equations : consumption, investment, exports, imports, consumer price index, wage rate, corporate bond rate, potential GNP, capital stock, and GNP identity. The model is a Keynesian model : consumer price index is determined by markup over costs, and wage rate is expressed by Phillipse curve ralation. Two features of the model, however, distinguish this model from other macroeconometric models of the Korean economy. First of all, the estimation of potential GNP and the capital stock is endogenized as suggested by Haque, Lahiri, and Montiel (1990). This allows us to calculate the level of excess demand, which is defined as the difference between the actual GNP and the potential GNP. Second, interest rate, inflation and wages are all estimated as endogenous variables. Moreover, all quantity variables include price variables as important determinants. For instance, interest rate is an important determinant of consumption and investment. Exports and imports are determined by the real effective exchange rate. These two features make the interactions between excess demand and prices the driving forces of this model. In the model, any shock which affects quantity variable(s) affects excess demand, which in turn affects prices. This strong interaction between prices and quantities makes the model look like a classical model over the long run. That is, increases in money supply, government expenditures, and exchange rate (the price of the U.S. dollar in terms of Korean won) all have expansionery effects on the real GNP in the short run, but prices, wage, and interest rate all increase as a result. Over the long run, higher prices have dampenning effects on output. Therefore the level of real GNP turns out to be not much different from the baseline level ; on the other hand, the rates of inflation, wage and interest rate remain at higher levels.

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Electricity Price Prediction Based on Semi-Supervised Learning and Neural Network Algorithms (준지도 학습 및 신경망 알고리즘을 이용한 전기가격 예측)

  • Kim, Hang Seok;Shin, Hyun Jung
    • Journal of Korean Institute of Industrial Engineers
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    • v.39 no.1
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    • pp.30-45
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    • 2013
  • Predicting monthly electricity price has been a significant factor of decision-making for plant resource management, fuel purchase plan, plans to plant, operating plan budget, and so on. In this paper, we propose a sophisticated prediction model in terms of the technique of modeling and the variety of the collected variables. The proposed model hybridizes the semi-supervised learning and the artificial neural network algorithms. The former is the most recent and a spotlighted algorithm in data mining and machine learning fields, and the latter is known as one of the well-established algorithms in the fields. Diverse economic/financial indexes such as the crude oil prices, LNG prices, exchange rates, composite indexes of representative global stock markets, etc. are collected and used for the semi-supervised learning which predicts the up-down movement of the price. Whereas various climatic indexes such as temperature, rainfall, sunlight, air pressure, etc, are used for the artificial neural network which predicts the real-values of the price. The resulting values are hybridized in the proposed model. The excellency of the model was empirically verified with the monthly data of electricity price provided by the Korea Energy Economics Institute.