• Journal of Korea Trade
• /
• v.24 no.4
• /
• pp.1-17
• /
• 2020

Purpose - Since China has been South Korea's biggest export destination, uncertainty shocks originating from it would influence South Korea's exports. This paper evaluates the effects of China's economic policy uncertainty on Korea's exports to explore the transmission channels. Design/methodology - Incorporating endogeneities and nonlinearities, this study employs a quarterly time-varying parameters vector autoregressive model to investigate the relationships between China's economic policy uncertainty and Korea's exports, where the overparameterization due to time-varying specifications is overcome by a novel stochastic model specification search framework. According to previous theoretical studies, this paper assesses two channels, demand shock channel and exchange rate channel, through which foreign uncertainty affects Korea's exports. This paper identifies the primary drivers of Korea's aggregate exports and analyzes the rationales for the time-variant impacts of China's economic policy uncertainty on Korea's exports to China. Findings - Our empirical results reveal that Korea's aggregate exports are less responsive to China's economic policy uncertainty shocks and significantly move together with global demand. In contrast, its bilateral exports to China are highly responsive in a negative and time-variant way. Moreover, Chinese investment is an important channel through which China's economic policy uncertainty affects Korea's exports to China after 2010. Further, the time-variant effects of China's economic policy uncertainty on Korea's exports to China are related to changes in China's foreign trade policies, global economic conditions, and China's degree of economic freedom. Originality/value - Few previous studies touch the effects of external uncertainty shocks on South Korea's exports. This paper attempts to fill this gap and explicitly investigate the impacts of China's economic policy uncertainty on Korea's exports from a time-varying perspective. As Korea is an export-oriented economy, this study provides insights for the Korean government to understand the transmissions of external uncertainty better.

• Journal of Korea Trade
• /
• v.23 no.5
• /
• pp.118-128
• /
• 2019

Purpose - This paper examines the international R&D contest in which the extent of intellectual property right (IPR) affects both the size of prize for the winning firm and the extent of positive spillover through cost of firms. Recognizing the possibility of incomplete protection of IPR, the present paper analyzes the effect of changes in the extent of IPR on payoffs to firms and social welfare. Design/methodology - This paper examines coordination of IPRs by countries in economic integration. The paper then develops a general model of international R&D contest with incomplete protection of IPR. An increase in the extent of IPR augments the share of the prize the winning firm can appropriate, while decreasing the positive cost externality. To derive sharper results, the paper considers the cases of linear and fixed spillovers. Findings - Under plausible assumptions, an increase in the IPR augments the payoff to each firm and the aggregate payoffs as well. The paper also shows that the number of firms participating in the R&D contest can be endogenously determined in the two-stage R&D contest. The higher the extent of cost spillover, and the larger the effective prize, the more firms participate in the international R&D contest. Originality/value - Existing studies assume that firms winning the R&D contest enjoy perfect IPR to the output of their R&D activities. This is a very restrictive assumption in that other firms can copy the new products or processes. By allowing for the incompleteness of the IPR, the present paper develops a more realistic model of R&D contest. The novelty of the present paper is to allow for the possibility that the higher extent of IPR increases the prize and decreases positive cost externality at the same time. The findings of the present paper can serve as a basis for government policy toward R&D activities of firms and protection of IPRs.

• Management & Information Systems Review
• /
• v.39 no.2
• /
• pp.17-37
• /
• 2020

The purpose of this study is to investigate the global spillover effects through the existence of linear and nonlinear causal relationships between the US, European and BRIC financial markets after the period from the introduction of the Euro, the financial crisis and the subsequent EU debt crisis in 2007~2010. Although the global spillover effects of the financial crisis are well described, the nature of the volatility effects and the spread mechanisms between the US, Europe and BRIC stock markets have not been systematically examined. A stepwise filtering methodology was introduced to investigate the dynamic linear and nonlinear causality, which included a vector autoregressive regression model and a multivariate GARCH model. The sample in this paper includes the post-Euro period, and also includes the financial crisis and the Eurozone financial and sovereign crisis. The empirical results can have many implications for the efficiency of the BRIC stock market. These results not only affect the predictability of this market, but can also be useful in future research to quantify the process of financial integration in the market. The interdependence between the United States, Europe and the BRIC can reveal significant implications for financial market regulation, hedging and trading strategies. And the findings show that the BRIC has been integrated internationally since the sub-prime and financial crisis erupted in the United States, and the spillover effects have become more specific and remarkable. Furthermore, there is no consistent evidence supporting the decoupling phenomenon. Some nonlinear causality persists even after filtering during the investigation period. Although the tail distribution dependence and higher moments may be significant factors for the remaining interdependencies, this can be largely explained by the simple volatility spillover effects in nonlinear causality.

• Information Systems Review
• /
• v.12 no.3
• /
• pp.117-139
• /
• 2010

Online games are not only tools for enjoyment, they are also the linking pins connecting between the online and the offline worlds. The effects affecting other domains can be termed 'spillover'. With the process behaving as forward and reverse spillovers, there are interaction effects on online and offline behavior. However, there is little research dealing with the spillover effects from the offline to the online domain. This study concentrates on the individual behavior of online garners centering on offline dependence. With the purpose of finding the factors affecting both flow and immersion, I am interested in the moderator effect of offline dependence influencing both flow and immersion from social interaction. A research model is developed and a survey research is conducted from one of universities in Korea. The results show that flow is strongly influenced by skills, challenge, and social interaction, but immersion is only influenced by skills and social interaction and not challenge. The findings reveal that the moderating effect of offline dependence affects only the relationship from social interaction to the immersion on the lower offline dependence group.

• Journal of the Korea Academia-Industrial cooperation Society
• /
• v.19 no.1
• /
• pp.34-47
• /
• 2018

As interest in advanced countries regarding the convergence technology development increases, a methodology for identifying the core convergence technology that has a large spill-over effect on the technology and industry is required for the nation's competitiveness enhancement in the convergence technology field. Based on patent citation network analysis using 1,124 USPTO patents in the ICT convergence technology field of the smart factory, this study examined the proposed heterogeneous technology convergence index as a tool for measuring the convergence characteristics of the spillovers compared to other indexes (i.e. other sector ratio index and homogeneous technology convergence index). The proposed heterogeneous technology convergence index was used to investigate core technology sectors among ICT technology sectors of smart factory identified by government ministries. Results found 6 core ICT convergence technology sectors including the manufacturing execution analysis application sector. Also, this study conducted blockmodeling analysis using the IPC codes of patents in the manufacturing execution analysis application sector, and identified that the blocks representing the electronic communication and electric digital data processing technology sectors (Block 3 & 4) are related technology sectors which can be converged with core technology. Based on the findings, the implications for the convergence technology development planning of the smart factory field are discussed.

• The Korean Journal of Financial Management
• /
• v.20 no.1
• /
• pp.163-190
• /
• 2003

This study tests the hypothesis of market efficiency through the information spillover effects over price and volatility across countries by using open-to-close(daytime) returns and close-to-open(overnight) returns of NASDAQ, KOSDAQ and JASDAQ data from January 3, 1997 to December 21, 2000. Based on Granger-causality and time-varying AR(1)-GARCH(1, 1)-M models we document that the evidence of statistically significant conditional mean and volatility spillovers effects from the daytime returns and volatility of NASDAQ to the overnight returns and volatility of KOSDAQ is observed both before and after the IMF foreign currency crisis but not to the close-to-open return before the IMF foreign currency crisis. We can understand the information spillover effect from NASDAQ to KOSDAQ on the overnight rather than the daytime grows more significantly after the IMF foreign currency crisis. We also find the interactive information spillover effect between NASDAQ and JASDAQ both before and after the IMF financial crisis, in particular, to close-to-open return. In addition, the market efficiency between KOSDAQ and NASDAQ is on an increasing trend through IMF foreign currency crisis.

• Journal of Korea Port Economic Association
• /
• v.27 no.3
• /
• pp.41-64
• /
• 2011

This article investigates the interrelationships in daily returns using fractionally integrated error correction term and volatilities using constant conditional correlation and dynamic conditional correlation GARCH with asymmetries between Capesize and Panamax markets. Our findings are as follows. First, for the fractionally cointegrated error correction model, there is a unidirectional relationship in returns from the Panamax market to the Capesize market, but a bidirectional causal relationship prevails for the traditional error correction models. Second, the coefficients for the error correction term are all statistically significant. Of particular interest are the signs of the estimates for the error correction term, which are all negative for the Capesize return equation and all positive for the Panamax return. Third, there are bidirectional volatility spillovers between both markets and the direction of the information flow seems to be stronger from Panamax to Capesize. Fourth, the coefficients for the asymmetric term are all significantly positive in the Capesize market, but the Panamax market does not have a significant effect. However, the coefficients for the asymmetric term are all significant, implying that the leverage effect does exist in the Capesize and Panamax markets.

• The Korean Journal of Financial Management
• /
• v.27 no.1
• /
• pp.1-30
• /
• 2010

This paper tested the lead-lag relationship as well as the symmetric and asymmetric volatility spillover effects between international currency futures markets and cash markets. We use five kinds of currency spot and futures markets such as British pound, Australian and Canadian dollar, Brasilian Real and won/dollar spot and futures markets. daily closing prices covering from September 15, 2003 to July 30, 2009. For this purpose we employed dynamic time series models such as the Granger causality based on VAR and time-varying MA(1)-GJR-GARCH(1, 1)-M. The main empirical results are as follows; First, according to Granger causality test, we find that the bilateral lead-lag relationship between the five countries' currency spot and futures market. The price discover effect from currency futures markets to spot market is relatively stronger than that from currency spot to futures markets. Second, based on the time varying GARCH model, we find that there is a bilateral conditional mean spillover effects between the five currency spot and futures markets. Third, we also find that there is a bilateral asymmetric volatility spillover effects between British pound, Canadian dollar, Brasilian Real and won/dollar spot and futures market. However there is a unilateral asymmetric volatility spillover effect from Australian dollar futures to cash market, not vice versa. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

• Journal of the Korean Association of Geographic Information Studies
• /
• v.21 no.4
• /
• pp.14-25
• /
• 2018

The operation of high-speed rail (HSR) has an effect on the agglomeration economies, and the impact is shown as a relocation of individual firm and worker to where business activity can be maximized. The proximity to the HSR station could be considered as a core district to maximize the industrial benefit through the HSR network. From this perspective, this study considers the agglomeration effect of HSR within the HSR station-area and analyzed the agglomerated spatial pattern through hotspot analysis by service industry in the cases of Korea and Japan using GIS. This study analyzed the service industry within 1km distance from 8 HSR stations of Korea and 4 Kyushu Shinkansen stations of Japan. The results suggest that the hotspot patterns are observed in the service industry within 1km distance from the HSR station of Korea and Japan, except for two HSR stations of Gupo station and Kagoshima-Chuo station. Leisure, amusement, association, and other specific service industries could be affected by HSR passengers and knowledge-spillovers through HSR station. Therefore, the observed hotspot districts near the HSR station-area could explain an agglomeration pattern of the service industry through a closeness to the HSR station. Further, we could expect that the impact of HSR affects the service industry, and the impact could attract business activities of the service-area to maximize their benefit from HSR travelers. With the result, it is required to build up a supportive policy to maximize the HSR's impact on the service industry when considering the HSR station-area development.