• Korean Journal of Construction Engineering and Management
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• v.11 no.5
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• pp.41-52
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• 2010

Even though REITs (Real Estate Investment Trusts) are listed on the stock market, REITs have characteristics that allow them to invest in real estate and financing for real estate development. Therefore REITs is related with stock market and construction business and real estate business. Using time-series analysis, this study analyzed REITs in relation to construction businesses, real estate businesses, and the stock market, and derived influence factor of REITs. We used the VAR (vector auto-regression) and the VECM (vector error correction model) for the time-series analysis. This study classified three steps in the analysis. First, we performed the time-series analysis between REITs and construction KOSPI(The Korea composite stock price index) and the result showed that construction KOSPI influenced REITs. Second, we analyzed the relationship between REITs and construction commencement area of the coincident construction composite index, office index and housing price index in real estate business indexes. REITs and the housing price index influence each other, although there is no causal relationship between them. Third, we analyzed the relationship between REITs and the construction permit area of the leading construction composite index. The construction permit area is influenced by REITs, although there is no causal relationship between these two indexes, REITs influenced the stock market and housing price indexes and the construction permit area of the leading composite index in construction businesses, but exerted a relatively small influence in construction starts coincident with the composite office indexes in this study.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.8
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• pp.147-156
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• 2016

This study analyzed the impact of changes in the construction business on construction company insolvency according to their size using the vector error correction model. First, this study applied EDF (Expected Default Frequency), which was calculated by KMV (Kealhofer, McQuown and Vasicek) model, as a variable to indicate the insolvency of construction companies. This study set 30 construction companies listed to KOSPI/KOSDAQ for estimating the EDF by size and construction companies were divided into two groups according to their size. To examine the construction business cycles, the amount of construction orders according to the type-residential, non-residential, and civil work- was used as a variable. The serial data was retrieved from TS2000 established by the Korea Listed Companies Association (KLCA), Statistics Korea. The analysis period was between the second quarter of 2001 and fourth quarter of 2015. As a result of calculating the EDF of construction companies by size, as it is generally known, the large-sized construction companies showed lower levels of insolvency than relatively smaller-sized construction companies. On the other hand, impulse response analysis based on VECM confirmed that the level of insolvency of large-scaled companies is more sensitive to business fluctuations than relatively smaller-sized construction companies, particularly changes in the residential construction market. Hence it is a major factor affecting the changes in insolvency of large-sized construction companies.

• The Korean Journal of Financial Management
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• v.22 no.2
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• pp.189-212
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• 2005

This study examines the interactions between KTB spot and futures markets using the daily prices from March 4, 2002 to January 31, 2005. We use Granger causality test, impulse Response Analysis and Variance Decomposition through vector autoregressive analysis (VAR). However, considering the long-term relationships between the level variables of KTB spot and futures, we introduced Vector Error Correction Model. The main results are as follows. According to the results of Granger-causality test and impulse response analysis, we find that the yields of KTB forward have a great influence on the change of KTB spot but not vice versa. In terms of volatility analysis, there is no inter-dependence between KTB forward and spot markets. In the variance decomposition analysis we find that the short-term KTB forward has much more impact on the KTB spot market than the long-term KTB forward does. We think these results are meaningful for bond investors who are in charge of capital asset pricing valuation, risk management and international portfolio management.

• Environmental and Resource Economics Review
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• v.24 no.4
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• pp.657-677
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• 2015

We employ a 3 regime-threshold vector error correction models (TVECM) to investigate the nonlinear dynamic adjustments of three marker crude oil prices such as WTI (West Texas Intermediate), Brent and Dubai. Especially we deal with 3 combinations of oil prices including WTI-Brent, WTI-Dubai and Brent-Dubai in order to analyze the dynamic adjustments of the prices based on the effects of the price spreads among these crude oil prices. Our daily spot prices data run from 2001.1.3 to 2014.12.31. We found that each combination is cointegrated over the period. WTI had dropped significantly in 2010 which had affected the movements of the spreads. To accomodate this fact, we divide the period into two sub-periods: 2000.1.3-2009.12.31 and 2010.1.1-2014.12.31. It is found that each combination is cointegrated in both sub-periods. Moroever, in the first sub-period, all three oil prices are shown to follow nonlinear dynamic adjustments. In the second sub-period, however, TVECM is better than VECM(vector error correction model) for WTI-Dubai and Brent-Dubai while VECM performs better for WTI-Brent. The transaction costs are estimated to be reduced for the second sub-period for WTI-Dubai and Brent-Dubai compared to the first sub-period.

• Journal of the Korean Regional Science Association
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• v.36 no.3
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• pp.29-40
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• 2020

The aims of this study to identify the relationship between regional economic growth and intraregional regional disparities. The 16 metropolitan area, the Capital region and the southeastern region of Korea were put in the spatial scope and the time range from 2005 to 2016. Regional gross domestic product data were used to show regional growth and intraregional disparity. Panel data for each spatial unit were established, panel unit root test and panel cointegration test were conducted to check the stability of the data. The DOLS method was used to identify relationship between regional economic growth and intraregional disparity, and the VECM model and Granger causality test was conducted to verify causality. The result of analysis of 16 metropolitan area units showed that the intraregional disparity increases as regional economic growth progresses. When the regional gross domestic product increased by 1%, the intraregional disparity increased by 1.258%, and there are short-term and long-term causality. Both the Capital region and the southeastern region had a mutual relationship between regional economic growth and intraregional disparity, but the disparity in the Capital region showed an increase and the southeastern region showed a decrease. The results of this study show that the regional disparity is increasing nationwide, but the Capital region and the southeastern region showed different stages of growth.

• Korean Journal of Construction Engineering and Management
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• v.14 no.3
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• pp.3-11
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• 2013

The changes in construction business have impact on overall operation of construction companies. Poor business of construction companies following a s low industrial cycle could have broader implications and influences on the industry. Since a construction project involves various stakeholders including public organizations, financial institutions and households, a downturn in construction industry might lead to significant economic loss. In this regard, it is meaningful to examine the relationship between changes in construction business cycles and insolvency of construction companies. This study conducts an empirical analysis of the relationship between construction business cycles and how much they affect operation of construction companies. To this end, KMV model was used to estimate probability of bankruptcy, which represents business condition of a construction company. To examine construction business cycles, investment amount for different construction types-residential, non-residential, and construction work-was used as a variable. Based on the investment amount, VECM was applied and the analysis results suggested that construction companies should put priority on diversifying project portfolio. In addition, it was shown that once a construction company becomes unstable in business operation, it is hard to recover even when the market condition turns for the better. This suggests that, to improve business operation of a construction company, internal capacity-building is as important as the market condition and other external circumstances.

• Journal of Navigation and Port Research
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• v.42 no.6
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• pp.546-554
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• 2018

The Bulk market, unlike the line market, is characterized by stiff competition where certain ship or freight owners have no influence on freight rates. However, freights are subject to macroeconomic variables and economic external shock which should be considered in determining management or chartering decisions. According to the results analyzed by use of ARIMA Inventiom model, the impact of the financial crisis was found to have a very strong bearing on the BDI index. First, according to the results of the VEC model, the libor rate affects the BDI index negatively (-) while exchange rate affects the BDI index by positively (+). Secondly, according to the results of the VEC model's J ohanson test, the order ship volume affects the BDI index by negatively (-) while China's economic growth rate affects the BDI index by positively (+). This shows that the shipping company has moved away from the simple carrier and responded appropriately to changes in macroeconomic variables (economic fluctuations, interest rates and exchange rates). It is believed that the shipping companies should be more aggressive in its "trading" management strategy in order to prevent any unfortunate situation such as the Hanjin Shipping incident.

• Journal of Energy Engineering
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• v.28 no.2
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• pp.1-17
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• 2019

This article analyzes causal relationships among gross domestic product(GDP), electricity consumption, carbon dioxide($CO_2$) emission and foreign direct investments(FDI) inflow of Korea over the period from 1976 to 2014, using unit root test, cointegration test, and vector error correction model(VECM). As the results, this article found (1) a long-run bi-directional causality between GDP and electricity consumption, which may imply a negative impact of electricity consumption-saving policy on economic growth, (2) uni-directional short- and long-run causalities running from $CO_2$ emission to GDP, and a uni-directional long-run causality running from $CO_2$ emission to electricity consumption, which can result in a negative impact of $CO_2$ emission reduction policy on economic growth and electricity consumption, (3) a uni-directional long-run causality running from FDI to GDP, and uni-directional short- and long-run causalities running from FDI to electricity consumption, which may result from relatively lower electricity prices than investing countries, (4) no causality between FDI and $CO_2$ emission, which is based on the characteristics of FDI composed of service industries. Considering the above causal relationships among the four variables, the policy implication needs to focus on the electricity demand management based on the relevant R&Ds, and on the gradual transition from fossil fuel- to renewable-energy. Adaptive policy to increase the FDI inflow is also needed.

• Korea Trade Review
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• v.43 no.5
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• pp.159-177
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• 2018

The container shipping sector is an important international logistics operation that connects open economies. Freight rates rapidly change as the market fluctuates, and staff related to the shipping market are interested in factors that determine freight rates in the container market. This study uses the Vector Error Correction Model(VECM) to estimate the impact of factors affecting container freight rates. This study uses data published by Clarksons. The analysis results show a 4.2% increase in freight rates when world container traffic increases at 1.0%, a 4.0% decrease in freight rates when volume of container carriers increases by 1.0%, a 0.07% increase in freight rates when bunker price increases by 1.0%, and a 0.04% increase in freight rates accompanying 1.0% increase in libor interests rates. In addition, if the current freight rate is 1.0% higher than the long-term equilibrium rate, the freight rate will be reduced by 3.2% in the subsequent term. In addition, if the current freight rate is 1.0% lower than the long-term equilibrium rate, the freight rate will decrease by 0.12% in the following term. However, the adjusting power in a period of recession is not statistically significant which means that the pressure of freight rate increase in this case is neglectable. This research is expected to contribute to the utilization of scientific methods in forecasting container freight rates.

• Korea Trade Review
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• v.43 no.3
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• pp.125-145
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• 2018

The Baltic Shipping Exchange is reporting the Baltic Dry Index (BDI) which represents the average charter rate for bulk carriers transporting major cargoes such as iron ore, coal, grain, and so on. And the current BDI index is reflected in the proportion of capesize 40%, panamax 30% and spramax 30%. Like mentioned above, the capesize plays a major role among the various sizes of bulk carriers and this study is to analyze the influence of the factors influencing on charter rate of capesize carriers which transport iron ore and coal as the major cargoes. For this purpose, this study verified causality between variables using Vector Error Correction Model (VECM) and tried to derive a long-run equilibrium model between the dependent variable and independent variables. Regression analysis showed that every six independent variable has a significant effect on the capesize charter rate, even at the 1% level of significance. Charter rate decreases by 0.08% when capesize total fleet increases by 1%, charter rate increases by 0.04% when bunker oil price increases by 1%, and charter rate decreases by 0.01% when Yen/Dollar rate increases by 1%. And charter rate increases by 0.02% when global GDP increases by one unit (1%). In addition, the increase in cargo volume of iron ore and coal which are major transportation items of capesize carriers has also been shown to increase charter rates. Charter rate increases by 0.11% in case of 1% increase in iron ore cargo volume, and 0.09% in case of 1% increase in coal cargo volume. Although there have been some studies to analyze the influence of factors affecting the charterage of bulk carriers in the past, there have been few studies on the analysis of specific size vessels. At present moment when ship size is getting bigger, this study carried out research on capesize vessels, which are biggest among bulk carriers, and whose utilization is continuously increasing. This study is also expected to contribute to the establishment of trade policies for specific cargoes such as iron ore and coal.