• Journal of Distribution Science
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• v.11 no.10
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• pp.73-79
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• 2013

Purpose - This study examines the impact of oil price volatility on economic activities in Korea. The new millennium has seen a deregulation in the crude oil market, which invited immense capital inflow into Korea. It has also raised oil price levels and volatility. Drawing on the recent theoretical literature that emphasizes the role of volatility, this paper attends to the asymmetric changes in economic growth in response to the oil price movement. This study further examines several key macroeconomic variables, such as interest rate, production, and inflation. We come to the conclusion that oil price volatility can, in some part, explain the structural changes. Research design, data, and methodology - We use two methodological frameworks in this study. First, in regards to the oil price uncertainty, we use an Exponential-GARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity: EGARCH) model estimate to elucidate the asymmetric effect of oil price shock on the conditional oil price volatility. Second, along with the estimation of the conditional volatility by the EGARCH model, we use the estimates in a VECM (Vector Error Correction Model). The study thus examines the dynamic impacts of oil price volatility on industrial production, price levels, and monetary policy responses. We also approximate the monetary policy function by the yield of monetary stabilization bond. The data collected for the study ranges from 1990: M1 to 2013: M7. In the VECM analysis section, the time span is split into two sub-periods; one from 1990 to 1999, and another from 2000 to 2013, due to the U.S. CFTC (Commodity Futures Trading Commission) deregulation on the crude oil futures that became effective in 2000. This paper intends to probe the relationship between oil price uncertainty and macroeconomic variables since the structural change in the oil market became effective. Results and Conclusions - The dynamic impulse response functions obtained from the VECM show a prolonged dampening effect of oil price volatility shock on the industrial production across all sub-periods. We also find that inflation measured by CPI rises by one standard deviation shock in response to oil price uncertainty, and lasts for the ensuing period. In addition, the impulse response functions allude that South Korea practices an expansionary monetary policy in response to oil price shocks, which stems from oil price uncertainty. Moreover, a comparison of the results of the dynamic impulse response functions from the two sub-periods suggests that the dynamic relationships have strengthened since 2000. Specifically, the results are most drastic in terms of industrial production; the impact of oil price volatility shocks has more than doubled from the year 2000 onwards. These results again indicate that the relationships between crude oil price uncertainty and Korean macroeconomic activities have been strengthened since the year2000, which resulted in a structural change in the crude oil market due to the deregulation of the crude oil futures.

• The Journal of Asian Finance, Economics and Business
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• v.10 no.2
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• pp.203-212
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• 2023

This research work aims to investigate the role of FDI in Economic Development by assessing its relationship with GDP per capita in Vietnam +5 from 1986-2020. Through descriptive statistical, correlation matrix analysis, and econometric models, including Vector Error Correction Model (VECM) and Feasible Generalized Least Squares (FGLS) estimation methods using Stata 15.1. The VECM estimation method results show that FDI positively impacts Economic Development in the short run while not finding a long-run relationship. In addition, it is found that a clear relationship between Exports and Economic Development in both the short run and the long run. Meanwhile, CO2 emissions and Employment Opportunities have no clear relationship with Economic Development in the short run. However, the relationship is reversed in the long run, as the empirical study in Vietnam. The results of the FGLS estimation method show that FDI, CO2 emissions, and Exports have a significant and positive impact on Economic Development in five selected Southeast Asian countries without Employment Opportunities in the long run. From these findings, the author proposes some policy implications of attaching FDI to sustainable Economic Development in Vietnam next time.

• The Journal of Korea Institute of Information, Electronics, and Communication Technology
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• v.12 no.3
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• pp.192-200
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• 2019

This paper is analyzed causality using cointegration test and impact response after deriving a causality between direct overseas purchasing and sale and macroeconomic variables. The model used for the empirical analysis is the vector error correlation model. The model is used the macroeconomic variables such as the consumer price index and the GDP, and e-commerce variables such as direct overseas purchasing, direct overseas sales and online shopping amount. According to empirical analysis, the direct overseas purchasing has the causality with the consumer price index, and GDP has the causality with direct overseas purchasing and online. According to the impact response analysis of the VECM, the direct overseas purchasing has a positive effect on the CPI and GDP, but the direct overseas sales has a negative effect on the CPI and GDP. In addition, both direct overseas purchasing and sales have a negative effect on online shopping, but it has been shown that the direct overseas purchasing has a bigger negative effect on online shopping.

• Journal of Korea Port Economic Association
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• v.32 no.3
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• pp.67-81
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• 2016

This paper examines the influence of Brexit on container volume of Korea, especially of macroeconomic variables such as exchange rate and industrial production of EU and United Kingdom. To do this, we use monthly time series data during 2000-2016, and introduce the analysis method of cointegration test and VECM, and analyze the influence of industrial production and exchange rate of EU and U.K. on container volume of Korea. The results are as follows. First, the container volume of Korea is influenced by the exchange rate and industrial production of EU in the long run. But the exchange and industrial production of U.K. influenced on only export container volume of Korea, and the influence of U.K. macroeconomic variables on container volume of Korea was not large in the long lun. Second, In the shot run, the influence of exchange rate on container volume of Korea, especially on export container volume was significant in EU and U.K. To sum up, the influence of EU macroeconomic variables on container volume of Korea is larger than that of U.K., and the influence of exchange rate variable is more significant than that of industrial production variable.

• The Korean Journal of Applied Statistics
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• v.25 no.6
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• pp.925-932
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• 2012

The article introduces a method to estimate a cointegrated vector autoregressive model, using mixed-frequency data, in terms of a state-space representation of the vector error correction(VECM) of the model. The method directly estimates the parameters of the model, in a state-space form of its VECM representation, using the available data in its mixed-frequency form. Then it allows one to compute in-sample smoothed estimates and out-of-sample forecasts at their high-frequency intervals using the estimated model. The method is applied to a mixed-frequency data set that consists of the quarterly real gross domestic product and three monthly coincident indicators. The result shows that the method produces accurate smoothed and forecasted estimates in comparison to a method based on single-frequency data.

• Journal of the Korean Society of Safety
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• v.36 no.1
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• pp.50-55
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• 2021

This study aims to analyze an influence of industrial accident on industrial productivity. We analyzed relationship among industrial accident, labor force, and industrial productivity using vector error correction model (VECM). The data used in the analysis were the number of industrial accidents, the number of workers, and index of all industry production from January 2008 to June 2017 in Korea. Finally, the industrial accidents have played a role in reducing labor force and industrial productivity.

• Journal of Information Processing Systems
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• v.17 no.6
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• pp.1044-1056
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• 2021

Globalization has integrated the world through interaction among countries and people with the help of information and telecommunication technology (ICT). The rapid mode of globalization has put a new life in ICT and economic sector. The key focus of this study is to examine the nexus among the globalization, ICT and economic growth. This study uses autoregressive distributed lag model (ARDL), vector error correction model (VECM) and econometric method spanning from 1990 to 2015. The empirical result highlights that the globalization stimulates economic growth of a country. In addition, both the internet penetration and the mobile phone usage contribute to the economic growth. Lastly, this article contributes important policy lessons on strengthening the economy by utilizing ICT with the rapid globalization.

• International Journal of Advanced Culture Technology
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• v.10 no.3
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• pp.25-32
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• 2022

This study analyzes the impact of occupational accidents on economic growth and labor productivty losses in Korea between January 2008 and July 2018, using the Vector Error-Correction Model (VECM). According to the analysis, the occurrence of occupational accidents was revealed to reduce the number of employed workers and also hinder economic growth. This can be reinterpreted as the reduction of occupational accidents does not cause labor losses in the industry, rather may induce economic growth. Also, the findings discovered that an increase in the number of workers may lead to increase in the probability of occupational accidents in the short term. This suggests that greater number of work-related accidents may occur during the early stages- due to new employees' lack of knowledge related to safety at workplace.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.677-682
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• 2020

To investigate the nexus between urban population, gross capital formation, and economic growth in the Kingdom of Saudi Arabia, yearly data was collected from the World Bank for the period 1974- 2018. Basic statistics test and correlation matrix was used to investigate the causal effect among the tested parameters, followed by Augmented Dickey-Fuller (ADF) stationary test, co-integration analysis by Johansen test after that Vector Auto-Correction Model for both short-run and long-run and finally the Granger-Causality tests. Result of unit root test analysis shows that the urban population became stationary at I (0) level while economic growth and gross capital formation became stationary at I (1). Johansen co-integration analysis indicates that there is presence of both long-run and short-run relationship between the three variables in the Kingdom of Saudi Arabia. The result of the VECM Model reflects that both economic growth and gross capital formation have a negative impact on urban population in the short run. According to the Granger-Causality tests, there is unidirectional causality with the urban population by both gross capital formation and economic growth. Also, the result of the Granger Causality tests show that there is unidirectional causality between economic growth and gross capital formations.

• THE INTERNATIONAL COMMERCE & LAW REVIEW
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• v.75
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• pp.95-116
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• 2017

The global financial crisis has slowed overall growth in the global economy. In addition, uncertainty is increasing in the world economy due to the Trade protectionism, sluggish world trade, and a rise in the rate of interest caused by expansion of fiscal spending by major countries. In this study, we analyzed various factors affecting the container import and export volume, which has a high correlation with export and import of commodities in international trade. In particular, we will examine how exchange rate fluctuations and domestic and overseas economic conditions affect container imports and exports. For the empirical analysis, monthly time series data were used from January 2000 to January 2017. We use the Error Correction Model (VECM) for the empirical analysis and the GARCH model for the exchange rate fluctuation. As a result, container export and import volume had a negative relationship with exchange rate and exchange rate volatility, which had a positive effect on domestic and international economic conditions. However, the effects are different before and after the financial crisis.