• The Journal of Industrial Distribution & Business
• /
• v.8 no.7
• /
• pp.7-12
• /
• 2017

Purpose - This research examines the short-run and long-run effect of external shocks (oil price and exchange rate) on domestic food price in Indonesia. Research design, data, and methodology - Three variables are used in this research. The variables are food price index, Rupiah's exchange rate of Indonesia, and crude oil price from 1998 until 2015 using Vector Error Correction Model (VECM). Results - The increasing of oil price and the depreciation of Rupiah's rate push the domestic food price in long-run, but do not impact significantly in short- term. The response of food price to oil prices shock and exchange rate shock are positive and persistent throughout the entire sample period. The exchange rate and oil price shocks have a small proportion explaining for the fluctuations of food price index but increasing over time. Conclusions - The policymaker should concern on solving the problem of oil price increase and depreciation of exchange rate on Indonesia's food price as they are important factors that can affect the price stability. The government should not rely on food imports because the price is strongly influenced by the movements in the exchange rate.

• Journal of Korea Port Economic Association
• /
• v.23 no.1
• /
• pp.1-18
• /
• 2007

The purpose of this study is to examine the effect of exchange rate volatility on Trading Volume of Container of Korea, and to induce policy implication in the contex of GARCH and regression model. In order to test whether time series data is stationary and the model is fitness or not, we put in operation unit root test, cointegration test. And we apply impulse response functions and variance decomposition to the structural model to estimate dynamic short run behavior of variables. The major empirical results of the study show that the increase in exchange rate volatility exerts a significant negative effect on Trading Volume of Container in long run. The results Granger causality based on an error correction model indicate that uni-directional causality between trading volume of container and exchange rate volatility is detected. This study applies impulse response function and variance decompositions to get additional information regarding the Trading Volume of Container to shocks in exchange rate volatility. The results indicate that the impact of exchange rate volatility on Trading Volume of Container is negative and converges on a stable negative equilibrium in short-run. Th exchange rate volatility have a large impact on variance of Trading Volume of Container, the effect of exchange rate volatility is small in very short run but become larger with time. We can infer policy suggestion as follows; we must make a stable policy of exchange rate to get more Trading Volume of Container

• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.10
• /
• pp.29-38
• /
• 2022

Ready-made Garments (RMG) export earnings, which are almost 80% of the total exports of Bangladesh, have been recognized as one of the main catalysts for the recent development of the country. Therefore, the need to determine whether the RMG export had served as a mechanism for increasing the GDP growth as well as the economic development of the country is topical and pressing. We have applied the Johansen Co-integration test and Vector Error Correction Model (VECM) to reveal the linkage of RMG export earnings and other variables with the GDP growth rate in Bangladesh. Using data from 1990 to 2020 for Bangladesh, we have found long-run as well as short-run associations among RMG Export earnings, Foreign Direct Investment (FDI), and GDP growth. A co-integration among the variables is validated through the Johansen Co-integration test. Moreover, a causal correlation running from RMG export earnings to GDP was revealed by the Granger causality test in the long run. Finally, we estimated impulse response functions to observe the variations of model variables in response to a shock. Our result supports the proposition that RMG export earnings are one of the main growth engines in Bangladesh and this sector leads growth in other sectors also in the long term.

• The Journal of Asian Finance, Economics and Business
• /
• v.10 no.1
• /
• pp.79-89
• /
• 2023

The paper aims to investigate the asymmetric long-run and short-run relationships between inflation and remittance outflows in the Kingdom of Saudi Arabia (hereafter KSA) over the period 1971-2019 by using the Nonlinear Autoregressive Distributed Lag (NARDL) model. The statistical tests have supported the validity and stability of the model. The Wald F-test statistics confirm the existence of a long-run equilibrium relationship among the model variables; remittance outflows, positive (negative) shocks in inflation rates, investment, real GDP, and trade openness. Moreover, the empirical results confirm the existence of an asymmetric effect of the inflation rate on remittance outflows. The response of foreign workers to an increase in inflation rates differs from their response to a decrease in inflation rates. However, this asymmetric relationship between the increases/decreases in inflation and remittance outflows is significantly weak. The weakness of this relationship is due to the high marginal remittance propensity of migrant workers, which is explained by the low consumption propensity of foreign workers and their ability to adjust to the high cost of living due to inflation and the imposition of accompanying fees. Finally, the change in the inflation rate is not among the main factors influencing foreign remittance decisions in Saudi Arabia.

• Journal of Korea Port Economic Association
• /
• v.24 no.1
• /
• pp.1-10
• /
• 2008

This paper analyses the dynamic causal relationship between vessel export and economic growth using annual data over the period from 1977 to 2006. Tests for ADF unit-roots, the dynamic vector using Johansen's multiple cointegration procedure, dynamic vector error correction model and impulse response function are presented. The findings of the Granger test suggest that vessel export Granger-causes economic growth in the short-run and economic growth Granger-causes exports in the short and long-run. The empirical results of impulse-response analysis show that the vessel export to a shock in real GDP responds positively and the real GDP responds positively to the shocks in vessel export. Also, the results indicate that the impact of vessel export shock on the real GDP is short-lived.

• Journal of Korea Port Economic Association
• /
• v.27 no.3
• /
• pp.1-12
• /
• 2011

The effect of real exchange rate changes on trade balance is called the J-curve effect. That is, after real depreciation, the trade balance will deteriorate in the short run and improve in the long run. Specially, import and export prices respond with little or no decline in volume. Assuming a zero initial trade balance and dominance of the exporter currency in invoicing trade contracts, the trade balance continues to deteriorate in the medium term. Over time, the relative price-induced volume effect comes to dominate the price effect and the trade balance improves. This pattern of the trade balance adjustment is commonly referred to as the J-curve effect. This study examines the effects of changes in the exchange rate on the Korean port trade balance to China. The empirical results indicate that whilst there is J-curve effect in the short-run, but in the long-run, the real depreciation of the Korean won has positive impact on port trade balance to China.

• The Journal of the Korea Contents Association
• /
• v.12 no.9
• /
• pp.357-368
• /
• 2012

The purpose of this study is to empirically examine the impact of enterprise R&D investment on international trade in Korea under the new Normal Era. In order to test whether the time series data of trade variables are stationary or not, we put in operation unit root test and cointegration test. Based on VECM (Vector Error Correction Model), we also apply impulse response functions and variance decomposition to estimate the dynamic effects in the short-run and long-run. The results show that the relationship between enterprise R&D investment and international trade (export and import) exists in the long-run as well as in the short-run. The results of applying impulse response functions and variance decomposition also indicate that the impact of enterprise R&D investment on international trade is positive, and a significant portion of fluctuations in the trade variable is explained by enterprise R&D investment. Therefore, enterprise R&D investment must be continuously increased to improve economic growth with promoting trading competition power in Korea under the new Normal Era.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.4
• /
• pp.155-162
• /
• 2020

The paper aims to examine the association between information and communication technology (ICT), economic growth and population health based on health production model in Malaysia. This theoretical health production function is represented as follows: where the output is an individual health outcome, and the inputs are determinants of health, such as income, education, health care costs, medical facilities, the environment, and lifestyle. The development of information and communication technologies are represented as of mobile cellular subscriptions (per 100) and fixed telephone subscriptions (100) using time series data from 1993-2017 from the World Bank database. Using the bound testing technique of cointegration, this study finds that ICT affects population health significantly and positively in the long- and short-run. This is because ICT inclusion improves human health and longevity. Whereas, economic growth has no significant impact on the population's health both in the short- and long-run. The findings indicate that a weak global economy affects Malaysia's economic growth and reduces the health expenditure per capita. The results of this study suggest that policymakers must develop policies that improves public health by increasing health literacy, disseminating health information and facilitating medical facilities. This study also suggests that health care systems should to concentrate on digital inclusion.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.10
• /
• pp.543-553
• /
• 2020

This paper examines the effect of COVID-19 pandemic on the Philippine stock exchange, peso-dollar rate and retail price of diesel using robust least squares regression and vector autoregression (VAR). The robust least squares regression using MM-estimation method concluded that COVID-19 daily infection has negative and statistically significant effect on the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. This is consistent with the results of correlation diagnostics. As for the VAR model, the lag values of the independent variable disclose significance in explaining the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. Moreover, in the short run, the impulse response function confirmed relative effect of COVID-19 daily infections and the variance decomposition divulge that COVID-19 daily infections have accounted for only minor portion in explaining fluctuations of the Philippine stock exchange index, peso-dollar exchange and retail pump price of diesel. In the long term, the influence levels off. The Granger causality test suggests that COVID-19 daily infections cause changes in the Philippine stock exchange index and peso-dollar exchange rate in the short run. However, COVID-19 infection has no causal link with retail pump price of diesel.

• The Korean Journal of Applied Statistics
• /
• v.24 no.5
• /
• pp.799-807
• /
• 2011

This study investigates long and short run responses of variables to exogenous shocks by imposing prior restrictions on a contemporaneous structural shock coefficient matrix of the model to identify shocks by endogenous variables in the vector autoregression. The relative importance of each structural shock in variation of each variable is calculated through the identification of proper restrictions (not based on any specific theory but on researcher judgment corresponding to actual situations) and an estimation of the structural vector autoregression. The results of the analyses are found to maintain consistency.