• The Korean Journal of Applied Statistics
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• v.22 no.5
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• pp.1007-1017
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• 2009

Forecasting for air demand such as passengers and freight has been one of the main interests for air industries. This research has mainly focus on the comparison the performance between the univariate seasonal ARIMA models and the multivariate time series models. In this paper, we used real data to predict demand on international passenger and freight. And multivariate time series models are better than the univariate models based on the accuracy criteria.

• Journal of Korea Port Economic Association
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• v.27 no.2
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• pp.217-240
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• 2011

In this study, vector autoregressive and vector error correction models in the short-run dynamics are considered to analyze the effect of the changes in international crude oil prices on Baltic dry index, Baltic Capesize index and Baltic Panamax index, and the intercorrelations between Capesize and Panamax prices, respectively. First, using the vector autoregressive model, the changes in international crude oil price have a statistically significant positive effect for Capesize at lag 1, for Panamax a significant negative effect at lag 3 and a significant positive effect for Baltic dry index at lag 1. From the impulse response analysis, the international crude oil price causes Baltic dry index to increase in the sort-run and the effect converges on the mean after 3 months. Second, using the vector error correction model, the empirical results for the spillover effects between Capesize and Panamax markets provide that in the case of the deviation from a long-run equilibrium the Panamax price is adjusted toward decreasing. The increases in freight rates of the Capesize market at lag 1 lead to increase the freight rates in Panamax market at present. The Panamax responses from the Capesize shocks increase rapidly for 3 months and the effect converges on the mean after 5 months. The Capesize responses from the Panamax shocks are relatively small, and increase weakly for 3 months and the effect disappears thereafter.

• Korea Trade Review
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• v.44 no.1
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• pp.45-56
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• 2019

The purpose of this study is to investigate the relationship between foreign investment and carbon emissions in the Korean electricity sector, the causal relationship between the foreign investment invested in the electric power sector in the 16 regional regions and the carbon emissions in the region, The purpose of this study is to analyze the effects of foreign investment on these sectors and the carbon footprint of these sectors using Panel Random Effect Analysis, Panel VAR and OLS models. A panel analysis of foreign investment and regional carbon emissions showed that there was a causal relationship. Based on this analysis, OLS analysis showed that 7 out of 16 metropolitan areas were foreign investment And carbon emissions were significant. In the remaining six regions except Gwangju, there was a causal relationship between foreign investment in the local power sector and the reduction of carbon emissions. After categorizing the electric power industry by device, process, purpose and number of employees, causality also appeared in relation to foreign investment in these sectors and their carbon emissions. Through this study, the authors suggest that foreign investment can be a way to solve not only the financial burden of carbon emission problem, but also the development of national economy and industry through the inflow of capital and advanced new technology.

• International Area Studies Review
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• v.20 no.1
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• pp.23-51
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• 2016

This study analyzed the expected economic effects of the Korea-GCC FTA and sought strategies for industrial cooperation. To see the economic effects of Korea-GCC FTA, we analysed the effect of the oil tariff reduction of economy by Vector Autoregression(VAR) model. The estimation results shows that following the abolishment of the tariff on crude oil imports, GDP, GNI and consumption are expected to grow by 0.212%, 0.389% and 0.238%, respectively. Meanwhile, investment, export and import are estimated to drop by 0.462%, 0.413% and 0.342%, respectively. As for prices, producer prices are to rise by 6.356%p, whereas consumer prices fall by 2.996%p. In short, the Korea-GCC FTA and resultant abolishment of the tariff on crude oil imports followed by the decline in crude oil prices will result in declining prices whilst macroeconomic indices, such as GDP, GNI and consumption, will increase exerting positive effects on domestic economic growth. Also, it is necessary to proactively respond to GCC member states' industrial diversification policies for FTA-based industrial cooperation to diversify the sources of crude oil and natural gas imports for further resource risk management.

• Korea Trade Review
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• v.42 no.2
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• pp.145-174
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• 2017

Recently, due to the worsening global economic recession, Korea which is a small, export-oriented economy has decreased exports and the domestic economy also continues to stagnate. Therefore, for continued growth of our economy through export growth, we need to analyze the validity of export support system such as export insurance and prepare ways to expand exports. This study is to investigate the effects of Export Insurance on the exports of SMEs as well as LEs. For this purpose, this study conducted Time Series Analysis using data such as export, export insurance acquisition, export price index, exchange rate, and coincident composite index(CCI). First, as a result of the Granger Causality Test, the exports of LEs has found to have a causal relationship with the CCI, and CCI is to have a causal relationship with the short-term export insurance record. Second, the results of VAR analysis show that the export insurance acquisition result and the export price index have a positive effect on the exports of LEs, while the short - term export insurance has a negative effect on the exports of LEs. Third, as a result of variance decomposition, the export of LEs has much more influenced for mid to long term by the short-term export insurance acquisition compared to SMEs. Fourth, short-term export insurance has a positive effect on exports of SMEs. In order to activate short-term export insurance against SMEs, it is necessary to expand support for SMEs by local governments. This study aims to suggest policy implications for establishing effective export insurance policy by analyzing the effects of export insurance on the export of SMEs as well as LEs. It is necessary to carry out a time series analysis on the export results according to the insurance acquisition results by industry to measure the export support effect of export insurance more precisely.

• International Area Studies Review
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• v.13 no.1
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• pp.55-79
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• 2009

This papers studies the causalities and effects on the relationship between international trade and economic growth in China for the period of 1950-2007, using the unit root test, the Granger causality test, the cointegration test, VAR model, and VECM. The results of this study are as follows: Firstly, in the unit root test, I found that each time series was unstable one that has unit root. Secondly, in the Granger Causality test, this papers shows that variable dlexp and dlinp influence on dlgdp and dlgdd, while bilateral causality relation between dlexp and dlgdp, dlexp and dlgdd for the whole period, for the whole period, pre-reform period and post-reform period. Thirdly, there is no cointegraion relation between lgdp(or dlgdp, lgdd, dlgdd) and lexp, linp for lgdd-limp in the whole period, and pre-reform period, while no cointegration relation for the post-reform period. Finally, in the impulse-response test, it was proved that lgdp represents (-) correlation with lexp for the whole period. Thorough the variance decomposition test, it was proved that linp(or dlinp) is the most affected variable of the each data and relation between linp(or dlinp) and lexp(or dlexp) has become bigger recently.

• KDI Journal of Economic Policy
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• v.35 no.2
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• pp.107-131
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• 2013

In this paper, we test and estimate the stochastic non-fundamental trend in Korean stock market. For this, following Kim (2011), we exploit that the long-run equilibrium stock price may be decomposed into fundamental and stochastic non-fundamental trends (i.e., the sum of dividend innovations and a part that are orthogonal with the dividend innovations) by using the Beveridge-Nelson decomposition and projections. In this VAR construction, there is an error correction mechanism through which stock prices converge to their long-run equilibrium, which also contain the stated stochastic non-fundamental trend as well as fundamental trend. The estimation and test results using yearly data from the Korea (1976-2012) indicated that fluctuations in stock prices during that period can be explained mainly not by the stochastic non-fundamental trend but by the dividend trend. However, during some periods like after Seoul Olympic Games, we may observe the non-fundamental trend affected to the stock price variation.

• Information Systems Review
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• v.19 no.1
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• pp.123-145
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• 2017

This study empirically examines the effects of regulation on online gaming. Going beyond ad hoc heuristic approaches on individual behavior, we investigate the effects of regulation on dynamic changes of games or service providers. In particular, we propose three theoretical perspectives: social influence to investigate the regulation effect, the role of prior experience to determine the difference in the regulation effect size through users' prior experience, and network externalities to discover the difference in the regulation effect size according to the number of users on an online gaming platform. We use the vector autoregression methodology to model patterns of the co-movement of online games and to forecast game usage. We find that online gamers are heterogeneous. Therefore, policy makers should make suitable regulations for each heterogeneous group to effectively avoid generating gaming addicts without interrupting the economic growth of the online gaming industry.

• The Journal of Fisheries Business Administration
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• v.52 no.1
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• pp.47-63
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• 2021

The purpose of this study is to identify the leading price between Jeju and Wando's oliver flounder producer price and to analyze the dynamic effect of the regional producer price using the panel VAR model. In the process of analysis, it was confirmed that there are unit roots in the monthly data of Jeju and Wando's oliver flounder producer price. So, in order to avoid spurious regression, the rate change of producer price which carries out log difference was used in the analysis. As a result of the analysis, first, the panel Granger causality test showed that the influence of the change rate of producer price in oliver flounder in Jeju was slightly larger than that in Wando, but it was found that each region all leads the change rate of the producer price in oliver flounder. Second, the panel VAR estimation showed that the rate change of producer price in Jeju and Wando a month ago had a statistically significant effect on the change rate of producer price of each region. Third, the impulse response analysis indicated that other regions are affected a little more than the same region in case of the occurrence of the impact on the error terms of the change rate of produce price in Jeju and Wando oliver flounder. Fourth, the variance decomposition analysis showed that the change rate of producer price in the two regions was higher explained by Jeju compared to Wando. In conclusion, it is expected that the above results can not only be useful as basic data for the stabilization of oliver flounder producer price and the establishment of policies for easing volatility but can also help the oliver flounder industry operate its business.

• Proceedings of the Korea Water Resources Association Conference
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• 2011.05a
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• pp.439-439
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• 2011

최근 이상기후로 인해 세계의 기후, 날씨가 변화하는 추세이다. 이에 따라 한국, 프랑스, 미국 등 세계 각지에서 이상홍수 및 이상가뭄이 발생하고 이로 인한 재산 및 인명피해가 빈번한 현황이다. 따라서 전 세계적으로 기후변화를 고려하여 홍수피해를 저감하고자 많은 노력을 기울이고 있으며, 그러한 방법 중에서도 특히 설계 또는 계획수립 시에 많이 사용되는 방식으로 수치해석 및 수리실험 방법을 들 수 있다. 특히, 수치해석은 수리실험에 비해 비교적 짧은 시간과 경제적인 장점이 있으므로 많이 이용되는 방법 중의 하나이다. 따라서 본 연구에서는 수치해석을 통해 프랑스 남부에 위치한 니스 지역 Var강의 역사상 가장 큰 실강우에 대하여 다양한 방식의 수치해석을 수행하고 수위 관측지점의 수위자료와 비교분석하고자 한다. 본 연구에서는 대상지역을 프랑스 남부에 위치한 니스지역의 Var강으로 선정하였다. 이 지역은 지중해성 기후에 속해 건조하고 따뜻한 날씨였지만 최근 이상기후로 인해 잦은 강우와 홍수 등이 발생하고 있다. 가장 심한 피해가 발생했던 1994년 11월에 발생한 폭우로 인하여 최대 유량이 $3,500m^3/s$까지 관측 되었으며 이는 평균 유량인 $50~100m^3/s$의 35~70배에 달하는 유량이다. 이 홍수로 인해 Var강 유역의 많은 지역이 물에 잠기고 2개의 수중구조물이 파괴되는 등 많은 피해가 발생하였다. 본 연구에서 사용된 수치모형은 미 공병단의 HEC-HMS와 상용 프로그램인 MIKE11과 ISIS이다. MIKE11과 ISIS는 1차원 수리분석모형 프로그램으로써 흐름, 속도, 유량, 수질, 유사이동 등 개수로에서 여러 수리학적 현상을 분석할 수 있는 프로그램이다. 실제 수위자료와 수치모의를 통한 결과값의 비교를 위해 GIS를 통해 얻은 유출계수, 유로경사, 소유역 분할 등을 이용하고 역사상 가장 크게 발생한 1994년의 실강우 이용하여 HEC-HMS을 통해 수문곡선을 작성한 후 동일한 매개변수를 이용하고 검 보정을 통해 MIKE11과 ISIS를 이용하여 수치모의를 실시하였고 실제 수위자료와 프로그램 MIKE11와 ISIS의 결과값을 분석 및 비교하였다. Var강 유역에서 수치모의를 한 결과, 각 프로그램을 사용한 결과값은 실제 수위자료와 비슷한 경향을 보였으며 또한 동일한 매개변수를 이용하였을 때 각 프로그램을 사용한 결과값도 유사한 경향을 보였다. 검 보정을 실시 한 후 ISIS의 결과값이 실제 수위자료와 더 흡사한 것으로 나타났다.