• Korea Trade Review
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• v.47 no.2
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• pp.133-154
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• 2022

The Baltic Capesize Index (BCI), which is used as an indicator for marine transportation of steel raw materials, is one of the key economic indexes for managing the risk of loss due to rapid market fluctuations when steel companies establish business strategies and procuring plans for raw materials. Still, the conditions of supply and demand of steel raw materials has been extremely affected by volatility shocks from drastic events like the financial crisis such as the Lehman Brothers incident and changes in the external environment such as COVID-19. And, especially since the 2008 financial crisis, endeavors to predict the market conditions of the steel raw material is becoming more and more arduous for the deepening uncertainty and increased volatility of BCI, which has been used as a leading indicator of the real economy. This study investigates the correlation between the steel raw material market and the marine transportation market by estimating the spillover effect of information between markets. The vector error correction model (VECM) was used to analyze information transfer based on the correlation between the BCI and crude steel production, capesize fleet supply, raw material price, and cargo volume.

• Asia-Pacific Journal of Business
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• v.14 no.3
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• pp.221-240
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• 2023

Purpose - This paper investigates how business cycle impacts on corporate credit spreads since global financial crisis. Furthermore, it tests how the impact changes by the phase of the cycle. Design/methodology/approach - This study collected dataset from Barclays Global Aggregate Bond Index through the Bloomberg. It conducted multi-regression analysis by projecting business cycle using Hodrick-Prescott filtering and various cyclical variables, while ran dynamic analysis of 5-variable Vector Error Correction Model to confirm the robustness of the test. Findings - First, it proves to be statistically significant that corporate credit spreads have moved countercyclicaly since the crisis. Second, It indicates that the corporate credit spread's countercyclicality to the macroeconomic changes works symmetrically by the phase of the cycle. Third, the VECM supports that business cycle's impact on the spreads maintains more sustainably than other explanatory variable does in the model. Research implications or Originality - It becomes more appealing to accurately measure the real economic impact on corporate credit spreads as the interaction between credit and business cycle deepens. The economic impact on the spreads works symmetrically by boom and bust, which implies that the market stress could impact as another negative driver during the bust. Finally, the business cycle's sustainable impact on the spreads supports the fact that the economic recovery is the key driver for the resilience of credit cycle.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.13 no.10
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• pp.4506-4513
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• 2012

The purpose of this study is to analyze the causality of electricity consumption and econmic growth and draw policy implications. To do this, we used Testing Prodedures of Unit Root and Cointegration and then VECM and Granger causality test using data taken from China over the period 1971 to 2008. As results, there are long and short term causalities between electricity consumption and economic growth of China. These results provide a few implications to policy analysts in China. First it is still available that the electricity comes before the economic development. The increase of electricity consumption promotes economic growth. Of course there are other factors to the economic growth, but the stable supply of electricity is necessary. Second, this paper confirms the assertion that the increase of GDP expands electric consumption is valid.

• International Commerce and Information Review
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• v.14 no.3
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• pp.307-322
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• 2012

The purpose of this paper is to examine determinants of export to the East Asia region, using panel unit root, panel cointegration framework, panel VECM (vector error correction model), panel FMOLS (fully modified OLS). Different panel unit root tests confirm that the data series are integrated processes with unit roots. When applying cointegration tests to long-run effect for aggregate panel data, a primary concern is to construct the estimators in a way that does not constrain the transitional dynamics to be similar among different countries of the panel. The regression equations are estimated by various panel cointegration estimators. The panel data causality results reveal that exchange rates has unidirectional effects on export and GDP, and there exists bidirectional causality between export and GDP. Also, the results from the panel FMOLS tests overwhelmingly reject the null hypothesis of zero coefficient. The panel cointegrating vectors show that the export has positive relationship with the GDP and ODI (overseas direct investment).

• The Journal of the Korea Contents Association
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• v.14 no.11
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• pp.905-914
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• 2014

In this study, we examine hedging effectiveness of KODEX200 ETF and KOSPI200 futures with respect to KOSPI200 spot or KODEX200 ETF using naive, the risk-minimization models and the VECM. The sample period covers from January 5. 2010 to October 31. 2013. Daily prices of the KOSPI200 spot, KOSPI200 futures and KODEX200 were used in this study. The results are summarized ans follows. First, this study show that there is cointegration relationship among KOSPI200 spot, futures and KODEX200 ETF market. Second, there is no significant difference in hedging performance among the models. Finally, hedged position of KOSPI200 cash(unhedged position)-KODEX200 ETF(hedge vehicle) or KODEX200 ETF-KOSPI200 futures seems to improve hedging performance compared to KOSPI200 cash-KOSPI200 futures. This implies that the portfolio managers may be encouraged to use the former than the latter.

• International Commerce and Information Review
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• v.19 no.2
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• pp.65-84
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• 2017

This paper attempts to investigate FDI Trade have been viewed a power affecting economic growth in Mongolia and five Central Asian countries(Kazakhstan, Uzbekistan, Kyrgyzstan, Kazakhstan and Turkmenistan) directly and indirectly using the Vector Error Correction Model. The results of empirical analysis based on data from 1995 to 2015 confirmed that FDI had a significant impact on economic growth in the rest of countries expect Kazakhstan and Turkmenistan, and Trade was not statistically significant for all countries. Accordingly we've come to below conclusion in consideration of the results of the statistics survey. It is urgently required to implement the policies on promoting foreign investment at first in order to recover economic decline though the international trading is considered important in developing the economics of developing countries. Especially, the landlocked countries, namely the countries having same border should focus on promoting the development of transport and freight forwarding systems between the countries, implementing the policies on trade relationships and foreign direct investments throughout the nation in consideration of the low- level of market economic conditions.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.125-162
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• 2003

This paper investigates the short- and long- run relationship among Korean, U.S. and Japanese construction indices. We conducted the Johansen's cointegration tests on the hypotheses that the construction indices of three countries we related in the long-run as well as in the short-run. The test results show that there exists no long-run relationship among three countrie's construction indices. In addition, the cointegrating relation did not exist for three countrie's stock market indices and five major Korean construction firms. It fumed out that the U.S. indices Granger-causes Japanese and Korean indices. This finding implies that there may exist international diversification benefit through forming a portfolio from these indices.

• Management & Information Systems Review
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• v.33 no.3
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• pp.93-104
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• 2014

This study investigates price discovery between BlueNext spot and futures in EU ETS carbon emission markets using vector error correction model, GG and Hasbruck information ratio. Especially EUA is European Union Allowances traded on the Emissions Trading Scheme. This emission asset attracts and increasing attention among operators, investors and brokers on emission markets. In this study, we found BlueNext spot and EUA futures market are cointegrated. Following the preceding studies, we judged that EUA futures market contribute to the price discovery process than BlueNext spot market when this GG and Hasbrouck information ratio for BlueNext market are larger than 0.5. In other words, the futures market of EUA plays a more dominant role in price discovery than the spot market.

• Journal of Korea Port Economic Association
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• v.23 no.4
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• pp.228-243
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• 2007

This study porvides an empirical overview of the import patterns of Incheon port using an Engle-Granger cointegration technique and Johansen's multivariate cointegraion methodology test to check the stationarity of the model. The empirical results show that the import in Incheon port related to the economic variables. This paper also applies rolling regression to our model, indicating that import are endogeneous to the economic variable.

• Environmental and Resource Economics Review
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• v.24 no.4
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• pp.709-725
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• 2015

This study is to analyse the relationship between the price and the supply in the farming Olive Flounder's production area market. The data used in this study correspond to daily price and supply quantity covering time period from January 1, 2007 to June 30. 2013. The analysis methods of cointegration and vector error correction model are employed. The empirical results of this study are summarized as follows: First, the price and the supply follow random walks and they are integrated of order 1. Second, the price and the supply are cointegrated. Third, vector error correction model suggests that the relationship between the price change ration and the supply quantity change ratio has negative and feedback effect exists in the long-run, but the disequilibrium between the price and the supply is corrected by the supply quantity. Finally, vector error correction model suggests that the supply quantity leads the price in the short-run. This indicates that the decrease(increase) of the supply quantity results in the increase(decrease) of the price.