• 응용통계연구
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• 제22권1호
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• pp.17-28
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• 2009

본 연구에서는 한미간 경기동향의 선행성을 주가와 경기간 선행성과 연계시켜 검정해 보았다. 이들의 선후행관계는 외환위기 이후 선명히 식별되며, 이때의 벡터자기회귀모형은 국내외 시장변수들간 연관성이 강화되고 국내경제의 대미의존도가 높아진 현실을 그대로 반영한다. 추정결과는 주가의 경기 선행성과 미국경기의 국내경기 선행성이라는 그간의 통설을 통계적으로 입증하고 있다.

• 산경연구논집
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• 제11권5호
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• pp.7-16
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• 2020

Purpose: Prior studies empirically examine how financial flexibility is related to required returns by using realized returns and considering cash holdings as net debts, but they fail to find consistent results. Conjecturing that inappropriate proxy of required returns and aggregation of cash and debts caused the inconsistent results, this study revisits this topic by using a refined proxy of required returns and separating cash holdings from debts. Research design, data and methodology: This study uses a multivariate regression model to investigate the relationship between required returns on cash holdings and financial leverage. The required returns are estimated using the return decomposition method by vector autoregression model. Empirical tests use US stock market data from1968 to 2011. Results: Empirical results reveal that both cash holdings and leverage are positively related to required returns. The positive relation is stronger in economic downturns than in economic upturns. Conclusions: Three major findings are drawn. First, risky firms prefer large cash balance. Second, information shocks in the realized returns caused failure of prior studies to find consistent positive relationship between leverage and realized returns. Third, cash and leverage are related to required returns in the same direction; therefore, cash cannot be considered as negative debts.

• 산경연구논집
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• 제11권3호
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• pp.7-17
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• 2020

Purpose: This study reexamines the test on the pricing of accruals quality. Theory suggests that information risk is a priced risk factor. Using accruals quality as the proxy for information risk, researchers have tested the pricing of information risk. The results are inconsistent potentially because of the information shock in the realized returns that are used as the proxy for expected returns. Based on this argument, this study revisits this issue excluding information-shock-free measure of expected returns. Research design, data and methodology: This study estimates expected returns using the vector autoregression model. This method extracts information shocks more thoroughly than the methods in prior studies; therefore, the concern regarding information shock is minimized. As risk premiums are larger in recession periods than in expansion periods, recession and expansion subsamples were used to confirm the robustness of the main findings. For the pricing test, this study uses two-stage cross-sectional regression. Results: Empirical results find evidence that accruals quality is a priced risk factor. Furthermore, this study finds that the pricing of accruals quality is observed only in recession periods. Conclusions: This study supports the argument that accruals quality, as well as the pricing of information risk, is a priced risk factor.

• 경영정보학연구
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• 제19권1호
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• pp.123-145
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• 2017

한국의 게임시장은 전 세계 시장의 약 29%의 시장점유율을 차지할 정도로 급성장하였다. 특히, 온라인게임의 수출 규모는 24억 USD를 달성할 정도로 국가경제에서 큰 비중을 차지하고 있다. 이렇게 게임 산업이 급성장하면서 게임 산업에 대한 국가적 차원의 정책과 규제에 대해 여러 논의가 이루어지고 있다. 특히, 웹보드 게임에 대해 정부는 여러 주무 부처를 통한 셧다운제, 행정처분, 게임산업진흥법 시행령 등 다양한 규제정책을 시행하고 있는 실정이다. 이러한 배경에서 본 연구는 2012년 11월에 이루어진 웹보드 규제정책의 영향을 분석하기 위해 2010년 12월부터 2014년 11월까지 약 4년여 간의 게임 트릭스 시계열 자료를 단위근 검정, 벡터자기회귀(VAR, Vector Auto-Regression) 분석, 그랜저 인과관계 검정을 수행하였다. 이를 통해 웹보드 규제 정책 시행 전후의 웹보드 게임서비스 간의 충격 파급효과와 예측 이용시간 변화를 알아보았다. 분석 결과를 바탕으로 웹보드 규제 정책이 실질적으로 정부가 의도한 결과대로 나타냈는지 알아보고, 나아가 웹보드 게임 산업을 보다 건강하게 발전시키기 위한 전략을 제시하고자 한다.

• 응용통계연구
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• 제25권2호
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• pp.239-249
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• 2012

We estimate nonlinear impulse responses of stock indices by asset class by the Local Projection method as suggested by Jorda (2005) to compute impulse responses. The method estimates impulse responses without the specification and estimation of the underlying multivariate dynamic system unlike the usual way of vector autoregression(VAR). It estimates Local Projections at each period of interest rather than extrapolating into increasingly distant horizons with the advantages of easy estimation and non-linear flexible specification. The Local Projection method adequately captures the nonlinearity and asymmetry of the impulse responses of the stock indices compared to those from VARs.

• 응용통계연구
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• 제24권5호
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• pp.799-807
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• 2011

본 연구에서는 기존의 벡터자기회귀모형에서 내생변수의 충격을 식별 가능하도록 모형의 당기 구조교란항 계수행렬에 사전 제약을 가해, 외생적 충격에 대한 변수들의 장단기 동적 반응을 추적해 보았다. 구조형 모형에 특정 이론에 의거하지 않고 현실상황에 상응한다고 판단되는 식별제약을 설정하여 추정하고 각 변수의 변동에서 각 구조적 충격이 차지하는 상대적 중요도를 계산하였다. 분석결과는 식별제약 및 모형의 추정결과와 일관성을 유지하는 것으로 판명되었다.

• Communications for Statistical Applications and Methods
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• 제28권5호
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• pp.521-536
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• 2021

As life expectancies increase continuously over the world, the accuracy of forecasting mortality is more and more important to maintain social systems in the aging era. Currently, the most popular model used is the Lee-Carter model but various studies have been conducted to improve this model with one of them being 6-parametric factor model (6-PFM) which is introduced in this paper. To this new model, long short-term memory (LSTM) and regularized LSTM are applied in addition to vector autoregression (VAR), which is a traditional time-series method. Forecasting accuracies of several models, including the LC model, 4-PFM, 5-PFM, and 3 6-PFM's, are compared by using the U.S. and Korea life-tables. The results show that 6-PFM forecasts better than the other models (LC model, 4-PFM, and 5-PFM). Among the three 6-PFMs studied, regularized LSTM performs better than the other two methods for most of the tests.

• 국제지역연구
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• 제20권1호
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• pp.23-51
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• 2016

한-GCC FTA 체결은 안정적인 에너지 자원의 확보에서 뿐만 아니라 향후 대규모 소비시장으로서 GCC의 성장 잠재성과 한국과의 보완적인 산업 구조를 고려해 볼 때 그 중요성이 크다. 최근 한-GCC FTA의 필요성이 제기되고 있는 시점에서 한-GCC FTA의 경제적 기대 효과에 대하여 분석하고 FTA의 조속한 체결의 필요성을 제시하고자 하였다. 한-GCC FTA의 경제적 효과를 알아보기 위하여, 본 연구에서는 원유관세 인하를 통한 경제적 효과를 분석하기 위하여 벡터자기회귀모형(VAR: Vector Autoregression Model)을 이용하였다. 추정 결과, GDP는 총 0.212%, GNI는 0.389%, 소비는 0.238% 증가한다. 반면 투자, 수출, 수입은 각각 0.462%, 0.413%, 0.342% 감소하는 것으로 나타났다. 물가수준의 경우 생산자물가상승률은 6.356%p, 소비자물가상승률은 2.996%p 감소하는 것으로 나타났다. 즉, GCC와의 FTA를 통한 원유수입관세의 철폐 및 이로 인한 원유수입가격의 하락은 물가의 하락을 가져오는 동시에 GDP, GNI, 소비 등의 거시경제지표의 증가를 통해 우리나라 경제성장에 긍정적인 영향을 미침을 알 수 있다.

• 품질경영학회지
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• 제49권4호
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• pp.539-550
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• 2021

Purpose: The purpose of this study is to propose a multivariate CUSUM control chart that can detect the out-of-control state fast while monitoring the cross- and auto- correlated multivariate time series data. Methods: We first build models to estimate the observation data and calculate the corresponding residuals. After then, a multivariate CUSUM chart is applied to monitor the residuals instead of the original raw observation data. Vector Autoregression and Artificial Neural Net are selected for the modelling, and Separated-MCUSUM chart is selected for the monitoring. The suggested methods are tested under a number of experimental settings and the performances are compared with those of other existing methods. Results: We find that Artificial Neural Net is more appropriate than Vector Autoregression for the modelling and show the combination of Separated-MCUSUM with Artificial Neural Net outperforms the other alternatives considered in this paper. Conclusion: The suggested chart has many advantages. It can monitor the complicated multivariate data with cross- and auto- correlation, and detects the out-of-control state fast. Unlike other CUSUM charts finding their control limits by trial and error simulation, the suggested chart saves lots of time and effort by approximating its control limit mathematically. We expect that the suggested chart performs not only effectively but also efficiently for monitoring the process with complicated correlations and frequently-changed parameters.

• The Journal of Asian Finance, Economics and Business
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• 제8권7호
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• pp.91-101
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• 2021

The paper examines the impact of the COVID-19 pandemic on the stock market prices. The vector autoregression model (VAR) has been used in this analysis to survey 341 stocks on the Ho Chi Minh City Stock Exchange (HOSE) for the period from January 23, 2020 to December 31, 2020. The empirical results obtained from the analysis of 11 economic sectors suggest that there is a statistically significant impact relationship between COVID-19 and the healthcare and utility industries. Additional findings show a statistically significant negative impact of COVID-19 on the utility share price at lag 1. Analysis of impulse response function (IRF) and forecast error variance decomposition (FEVD) show an inverse reaction of utility stock prices to the impact of COVID-19 and a gradual disappearing shock after two steps. Major findings show that there is a clear negative effect of the COVID-19 pandemic on share prices, and the daily increase in the number of confirmed cases, indicate that, in future disease outbreaks, early containment measures and positive responses are necessary conditions for governments and nations to protect stock markets from excessive depreciation. Utility stocks are among the most severely impacted shares on financial exchanges during a pandemic due to the high risk of immediate or irreversible closure of manufacturing lines and poor demand for basic amenities.