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Capturing the Short-run and Long-run Causal Behavior of Philippine Stock Market Volatility under Vector Error Correction Environment

  • CAMBA, Abraham C. Jr.
    • The Journal of Asian Finance, Economics and Business
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    • 제7권8호
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    • pp.41-49
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    • 2020
  • This study investigates the short-run and long-run causal behavior of the Philippine stock market index volatility under vector error correction environment. The variables were tested first for stationarity and then long-run equilibrium relationship. Moreover, an impulse response function was estimated to examine the extent of innovations in the independent variables in explaining the Philippine stock market index volatility. The results reveal that the volatility of the Philippine stock market index exhibit long-run equilibrium relationship with Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil prices. The short-run dynamics-based VECM estimates indicate that in the short-run, increases (i.e., depreciation) in Peso-Dollar exchange rate cause PSEI volatility to increase. As for the London Interbank Offered Rate, it causes increases in PSEI volatility in the short-run. The adjustment coefficients used with the long-run dynamics validates the presence of unidirectional causal long-run relationship from Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil prices to PSEI volatility, and bidirectional causal long-run relationship between PSEI volatility and London Interbank Offered Rate. The impulse response functions developed within the VECM framework demonstrate the positive and negative reactions of PSEI volatility to unanticipated Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil price shocks.

주파수조정용 에너지저장장치 시운전 자동화 시스템의 개발과 실증 (Development and Demonstration of Trial-run Automation System of Energy Storage System for Frequency Regulation)

  • 임건표;최요한;이승민;박찬욱
    • 전기학회논문지P
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    • 제66권3호
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    • pp.110-116
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    • 2017
  • System to automate the trial-run of energy storage system for frequency regulation was developed and demonstrated. Basic strategy was developed on the basis of trial-run procedure and verified in the computer simulation tool. The algorithm was developed and coded for 4MW trial-run automation system. 4MW trial-run automation system was connected to 4MW energy storage system for frequency regulation in Jocheon substation of Jeju city and demonstrated. 24MW trial-run automation system was developed on the basis of 4MW trial-run automation system and verified by operation system for 24MW energy storage system for frequency regulation. The operation system has own simulation model of energy storage system and power system. The verification was performed to improve the system in the view of user. 24MW trial-run automation system was demonstrated in 32MW Ul-san and 36MW Non-gong energy storage system. All tests of trial-run was done by manual and first they ware taken 1 week with no trial-run automation system. The manual trial-run tests were taken by maximum three times. Trial-run test by trial-run automation system was taken 2 days. The system helps reduce the trial-run test period and improve the accuracy of tests.

VSI 런-규칙 관리도의 경제적-통계적 설계 (Economic-Statistical Design of VSI Run Rules Charts)

  • 강분규;임태진
    • 품질경영학회지
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    • 제38권2호
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    • pp.190-201
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    • 2010
  • This research proposes a method for designing VSI (Variable Sampling Interval) control charts with supplementary run rules. The basic idea is to apply various run rules and the VSI scheme to a control chart in order to increase the sensitivity. The sampling process of the VSI run rules chart is constructed by Markov chain approach. A procedure for designing the VSI run rules chart is proposed based on Lorenzen and Vance's model. Sensitivity study shows that the VSI run rules charts outperform the FSI (Fixed Sampling Interval) run rules charts for wide range of process mean shifts. A major advantage of the VSI run rules chart over other charts such as CUSUM, EWMA, and adaptive charts is it's simplicity in implementation. Some useful guidelines are proposed based on the sensitivity study.

도광판 삽입 반응기가 Chlorella vulgaris 증식에 미치는 영향 (Effect of Photo Bioreactor with Optical Panel on the Growth Rate of Chlorella vulgaris)

  • 최희정;이승목
    • 대한환경공학회지
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    • 제34권7호
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    • pp.467-472
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    • 2012
  • 본 연구는 도광판이 Chlorella vulgaris (C. vulgaris)의 증식률에 미치는 영향을 알아보고자 하였다. 각 조건에서의 효율을 평가하기 위하여 C. vulgaris (FC-16) (3~$8{\mu}m$)를 Jaworski's Medium에 온도 $22^{\circ}C$에서 15일 증식시킨 뒤, 광원을 도광판 + LED (Run 1), 형광등 (Run 2) 그리고 LED (Run 3) 로 나누어 바이오매스의 증식률에 미치는 영향을 실험하였다. 실험결과, C. vulgaris의 비증식속도는 Run 1이 Run 2에 비해 14배 그리고 Run 3에 비해 5배 높은 비증식속도를 나타내었다. 11일을 증식시킨 후 C. vulgaris의 평균바이오매스를 비교한 결과 Run 1은 11.79 g/L를 나타내어 Run 2에 비해 30배 그리고 Run 3에 비해 6.5배나 많은 바이오매스를 나타내었다. 도광판을 사용할 경우 빛의 균일한 분포를 증가시키고 그림자 효과를 저해시켜 바이오매스의 증식률이 도광판을 사용하지 않은 반응기에 비해 월등히 높았음을 알 수 있었다.

Impact of Globalization on Coal Consumption in Vietnam: An Empirical Analysis

  • NGUYEN, Thi Cam Van;LE, Quoc Hoi
    • The Journal of Asian Finance, Economics and Business
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    • 제7권6호
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    • pp.185-195
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    • 2020
  • The study investigates the impact of globalization on coal consumption in Vietnam. This study employs an autoregressed distributed lag approach on time series data for the period of 1990 to 2017. The study tests the stationary, cointegration of time series data and utilizes autoregressed distributed lag modeling technique to determine the short-run and long-run relationship among coal consumption, globalization, income, population, and CO2 emissions. The results show that globalization increases coal consumption in Vietnam in the long run. The results also show that rapid economic growth promotes more coal consumption in the short run as well as in the long run. Moreover, higher population reduces coal consumption, and CO2 emissions decrease coal consumption both in the short run and the long run. The findings of the study suggest that globalization increases coal consumption in Vietnam in the long run. This result suggests that the increase in globalization level in Vietnam increases coal consumption. An interesting finding is that higher population reduces coal consumption, and population is an important factor towards the lessening in coal consumption. The findings confirm that environmental pollution decreases coal consumption in the short run and the long run. This implies that coal consumption may be green consumption in Vietnam.

Frequency analysis of wave run-up on vertical cylinder in transitional water depth

  • Deng, Yanfei;Yang, Jianmin;Xiao, Longfei;Shen, Yugao
    • Ocean Systems Engineering
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    • 제4권3호
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    • pp.201-213
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    • 2014
  • Wave run-up is an important issue in offshore engineering, which is tightly related to the loads on the marine structures. In this study, a series of physical experiments have been performed to investigate the wave run-up around a vertical cylinder in transitional water depth. The wave run-ups of regular waves, irregular waves and focused waves have been presented and the characteristics in frequency domain have been investigated with the FFT and wavelet transform methods. This study focuses on the nonlinear features of the wave run-up and the interaction between the wave run-up and the cylinder. The results show that the nonlinear interaction between the waves and the structures might result wave run-up components of higher frequencies. The wave run-ups of the moderate irregular waves exhibit 2nd order nonlinear characteristics. For the focused waves, the incident waves are of strong nonlinearity and the wavelet coherence analysis reveals that the wave run-up at focal moment contains combined contributions from almost all the frequency components of the focused wave sequence and the contributions of frequency components up to 4th order harmonic levels are recommended to be included.

Numerical Study on Wave Run-up of a Circular Cylinder with Various Diffraction Parameters and Body Drafts

  • Jeong, Ho-Jin;Koo, Weoncheol;Kim, Sung-Jae
    • 한국해양공학회지
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    • 제34권4호
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    • pp.245-252
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    • 2020
  • Wave run-up is an important phenomenon that should be considered in ocean structure design. In this study, the wave run-up of a surface-piercing circular cylinder was calculated in the time domain using the three-dimensional linear and fully nonlinear numerical wave tank (NWT) techniques. The NWT was based on the boundary element method and the mixed Eulerian and Lagrangian method. Stokes second-order waves were applied to evaluate the effect of the nonlinear waves on wave run-up, and an artificial damping zone was adopted to reduce the amount of reflected and re-reflected waves from the sidewall of the NWT. Parametric studies were conducted to determine the effect of wavelength, wave steepness, and the draft of the cylinder on the wave run-up of the cylinder. The maximum wave run-up value occurred at 0°, which was in front of the cylinder, and the minimum value occurred near the circumferential angle of 135°. As the diffraction parameter increased, the wave run-up increased up to 1.7 times the wave height. Furthermore, the wave run-up was 4% higher than the linear wave when the wave steepness was 1/35. In particular, the crest height of the wave run-up increased by 8%.

An Econometric Analysis of Imported Softwood Log Markets in South Korea - on the Basis of the Lagged Dependent Variable -

  • Park, Yong Bae;Youn, Yeo-Chang
    • 한국산림과학회지
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    • 제98권2호
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    • pp.148-155
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    • 2009
  • The objective of this study is to know market structures of softwood logs being imported to South Korea from log producing countries. Import demand of softwood logs imported to South Korea from America, New Zealand and Chile is fixed as a function of log prices, the lagged dependent variable and output. On the basis of the adaptive expectations model, linear regression models that the explanatory variables included and the lagged dependent variable were estimated by Seemingly Unrelated Regression Equations (SURE). The short-run and long-run own price elasticity of America's softwood log import demand is -1.738 and -4.250 respectively. Then long-run elasticity is much higher than short-run elasticity. Short-run and long-run crosselasticity of New Zealand's softwood log import demand with respect to American's softwood log import price are inelastic at 0.505 and 0.883 respectively. Short-run and long-run cross-elasticity of Chile's softwood log import demands with respect to American's softwood log import prices were highly elastic at 2.442 and 4.462 respectively. Long-run elasticity was almost twice as high as short-run elasticity.

Runs의 특성에 의한 지속기간별 저수부족량의 추정 (Estimation of Storage Deficit by Run's Characteritics)

  • 강관원;안경수
    • 물과 미래
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    • 제19권4호
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    • pp.329-338
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    • 1986
  • the purpose of this study is to estimate the storage deficit by Run's Characteristics of (-)Run-length and (-)Run-sum. Runoff data are obtained from the guaging stations of Y대-Ju in Hanriver Basin, Wae-Gwan in Nak Dong River Basin and Gyo Am in Geum River Basin. In order to estimate the storage deficit, runhydrographs are established with each return period of 10, 30, ......, 200 years and regression equation is derived from relationship between (-) run-length and storage deficit. From the comparison of estimated reservoir storage with observed values., it was proved that this suggested method can be used for the estimation of the storage deficit.

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