• 무역학회지
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• 제47권4호
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• pp.35-52
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• 2022

Air transport is at the core of global economic growth. There is a close relationship between the flow of regional elements and the growth of the regional economy. It is easy to misestimate the impact of airports on the regional economy without considering spatial spillover effects. This study attempted to establish an asymmetric economic geographical weight matrix by applying the Spatial Durbin Model with cargo volume and passenger numbers as indicators. The influence of spillover effects on the regional economy, including direct spillover effects and indirect spillover effects are studied. The results revealed that passenger numbers and cargo volume have significant positive spillover effects on the regional economy. The driving effect of the airport on the regional economy was considered from a wider space scope. This study contributes to the scientific evaluation of the aviation economy.

• 기술혁신연구
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• 제14권3호
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• pp.23-42
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• 2006

This study investigates the determinants of output of a manufacturing firm's innovative activity (the number of patent applications) and spillover effects using a count data model. This paper attempted a negative binomial distribution In order to take into account unobserved heterogeneity. The results of our study suggested that Firm size, R&D intensity, technical network activity, and online business performance have significantly positive effects in the Korean manufacturing industry. Moreover, there are significantly positive spillover effects in the same industry sector.

• East Asian Economic Review
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• 제19권3호
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• pp.275-322
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• 2015

The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.

• Journal of Korea Trade
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• 제27권5호
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• pp.167-198
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• 2023

Purpose - This paper aims to compare and analyze the co-movements and information spillover effects between the international commodity futures markets and the South Korean stock markets during the COVID-19 and the 2008 financial crises. Design/methodology - The DCC-GARCH model is used in the co-movements analysis. In contrast, the BEKK-GARCH model is used to evaluate information spillover effects. The statistical data used is from January 1, 2005, to December 31, 2022. It comprises the Korea Composite Stock Price Index data and daily international commodity futures prices of natural gas, West Texas Intermediate crude oil, gold, silver, copper, nickel, soybean, and wheat. Findings - The results of the co-movement analysis were as follows: First, it was shown that the co-movements between the international commodity futures markets and the South Korean stock markets were temporarily strengthened when the COVID-19 and 2008 financial crises occurred. Second, the South Korean stock markets were shown to have high correlations with the copper, nickel, and crude oil futures markets. The results of the information spillover effects analysis are as follows: First, before the 2008 financial crisis, four commodity futures markets (natural gas, gold, copper, and wheat) were shown to be in two-way leading relationships with the South Korean stock markets. In contrast, seven commodity futures markets, except for the natural gas futures market, were shown to be in two-way leading relationships with the South Korean stock markets after the financial crisis. Second, before the COVID-19 crisis, most international commodity futures markets, excluding natural gas and crude oil future markets, were shown to have led the South Korean stock markets in one direction. Third, it was revealed that after the COVID-19 crisis, the connections between the South Korean stock markets and the international commodity futures markets, except for natural gas, crude oil, and gold, were completely severed. Originality/value - Useful information for portfolio strategy establishment can be provided to investors through the results of this study. In addition, it is judged that financial policy authorities can utilize the results as data for efficient regulation of the financial market and policy establishment.

• 국제지역연구
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• 제22권2호
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• pp.3-18
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• 2018

본고는 2003~2013년 기간 동안 62개 국가의 양자 무역자료를 이용하여 양자 간의 수출과 수입에 FTA와 FTA의 파급효과가 미치는 영향을 분석하였다. 이를 분석하기 위해 본고에서는 1) FTA더미변수와 2) FTA더미변수를 이용한 가중평균수출입 규모를 FTA의 파급효과 변수로 구축하였으며, GMM, 패널 고정효과 및 확률효과, 그리고 PPML 추정방법을 이용하였다. 분석결과, FTA변수는 양자 간의 수출과 수입에 양(+)의 관계를 보여, 양자 간의 FTA가 무역창출 및 무역전환 효과에 의해 수출입을 증가시키는 것으로 나타났다. FTA의 파급효과를 나타내는 FTA 가중평균수출입 규모 변수도 모든 분석모형에서 양(+)의 값을 갖는 것으로 분석되어, 주변국 또는 제3국들의 다양한 FTA 체결은 양자 간의 무역규모를 증가시키는 것으로 나타났다. 따라서 본고는 무역을 증가시키기 위해서는 다양한 FTA를 체결한 국가와의 무역을 하는 것이 바람직하며, 향후 FTA의 분석은 기존의 2개국 모형에서 3개국 모형 분석으로 확대될 필요성이 있다는 시사점을 제시하였다.

• 경영과정보연구
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• 제32권3호
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• pp.1-23
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• 2013

본 연구는 2005년 1월부터 2013년 1월까지 다변량 BEKK모형을 이용하여 한국을 가장 빈번하게 방문하는 미국, 일본, 중국의 외래객 입국자수간 변동성의 전이효과를 조사하고자 하였다. 본 연구의 결과를 요약하면, 첫째, 전체기간의 VEC모형에서 미국, 일본 및 중국의 관광객 입국자가 한국의 외래 관광객에 미치는 장기탄력성이 양(+)과 음(-)의 균형으로 변동하였다. 다변량 BEKK모형의 조건부 평균식에서 여러 평균전이효과가 존재하였고, 조건부 분산식에서 ARCH(${\epsilon}^2_t$)의 계수는 유의하여 모든 자국의 입국자에 강한 영향을 미치고, 양방향의 한국과 미국간, 한국과 일본간, 미국과 중국간에 강한 변동성전이효과가 존재하였다. 또한 일방향의 미국(일본)에서 일본(중국)으로 변동성전이효과를 나타내었다. GARCH(${\sigma}^2_t$)의 계수는 자국의 입국자와 다른 입국자간에서도 강한 영향을 미치는 조건부 변동성전이효과를 보여주었고 미국과 중국의 자국 입국자에서 비대칭효과가 존재하며, 다른 입국자간에도 비대칭효과가 존재하였다. 둘째, 글로벌 금융위기후의 결과, 일본과 중국의 관광객 입국자가 한국의 외래 관광객에 미치는 장기탄력성이 모두 음(-)의 균형으로 변동하였다. 다변량 BEKK모형의 조건부 평균식에서 소수만이 평균전이효과가 존재하였고, 조건부 분산식에서 ARCH(${\epsilon}^2_t$)의 계수는 유의하여 모든 자국의 입국자에 강한 영향을 미치고, 일방향의 여러 변동성전이효과를 나타내었다. GARCH(${\sigma}^2_t$)의 계수는 일본과 중국의 자국의 입국자만이 변동성전이효과를 보여주었고 한국, 미국, 일본의 자국 입국자에서 비대칭효과가 존재하며, 다른 입국자 내 간에도 비대칭효과가 존재하였다. 따라서 본 연구는 타국의 관광객 입국자에서 한국으로의 전이효과와 한국과 타국의 관광객 입국자간 일방향 또는 양방향의 비대칭적 반응을 관찰함으로써 한국과 타국의 관광객 입국자간의 여러 인과관계를 확인하였다.

• 무역학회지
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• 제44권2호
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• pp.109-126
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• 2019

Import refusals can be considered a new method of non-tariff barriers. This study aims to analyze reputation spillover effects on fish and fishery products imported from ASEAN countries to the U.S. FDA. The supply of aquatic products is not stable due to various factors such as reduction of fish stocks and climate change. Fish is a basic food ingested directly, but there are many ways to control the safety of aquatic products. ASEAN countries account for about 20% of U.S.imports in fish and fishery products. For Southeast Asian countries, fish and fishery products comprise a high proportion of exports revenue. Despite the large share of exports to the U.S., Southeast Asia countries have been receiving many import refusals from the United States. In this study, a theoretical model for examining import refusals is suggested using the negative binomial counting process. The reputation spillover effect, was divided into two spillover effects of 'neighbor reputation' and 'sector reputation'. Results show that there exists a neighbor reputation spillover effect. It can be said if there was a import refusal of the same product from neighboring countries in the preceding year, the home country have a possibility to experience import refusals of the same product. Therefore, it is interpreted that neighboring countries have good standard compliance can help home countries to effectively reach the target markets. Our findings have a important policy implication for ASEAN exporters of fish and fishery products.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.747-757
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• 2021

The primary purpose of the study is to investigate the volatility spillover from financial uncertainty (FU) of the United States (US) to the stock markets of SAARC member countries including India, Sri-Lanka, Pakistan, and Bangladesh. The empirical literature overlooked SAARC countries and the FU index. Based on the estimation method, the data of FU is available for three different forecast horizons including 1-month, 3-months, and 12-months. For empirical analysis, monthly data is used from February 2013 to September 2019. EGARCH model is employed to investigate the volatility spillover effects. The findings of the study show that the spillover effect of FU varies with the forecast horizon. The FU with a higher forecast horizon has a significant spillover effect on more countries. The spillover effect of US financial uncertainty is negative in most of the SAARC countries. Bangladesh stock market is influenced by FU with all three forecast horizons whereas the volatility of the Pakistan stock market is not influenced by FU with any forecast horizon. The findings are consistent with the concept of "limited trade openness" in the financial markets of emerging economies. The emerging economies avoid financial market openness to minimize the risk of spillover of other countries.

• Asia Marketing Journal
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• 제18권2호
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• pp.45-61
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• 2016

Book adaptation has been considered an effective strategy in filmmaking. This paper examines the relationship between the box office sales and the performance of its original book focusing on category extension, especially investigating reciprocal spillover effect from a movie to the book. With empirical data, two-way causality between performance of the extension brand (i.e., movies) and that of the parent brand (i.e., books) was examined to test the existence of reciprocal spillover effect. In addition, a linear model was used to test the moderating roles of extension characteristics. The results revealed that the higher the movie's box office sales, the higher the original book's sales after movie's release. The authors also found moderation effects such that if the book has high level of brand awareness prior to movie's release, or if there is a movie tie-in version, or when the book is mentioned in movie trailer, or if the movie is released shortly after the book's publication, then the strength of spillover effect is superior. The current empirical investigation is meaningful considering it provides implications to both buyers and sellers of the extension rights, contributing to the literature of reciprocal spillover effects in category extension.

• East Asian Economic Review
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• 제20권4호
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• pp.519-544
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• 2016

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the cross-quantilogram recently proposed by Han et al. (2016). Considering various quantile ranges, we investigate various spillover effects between two markets. Our findings show that there exists an asymmetric bi-directional spillover between two markets and the interdependence between two markets implies that one market has significant predictive power on the other.