• Journal of Korea Port Economic Association
• /
• v.23 no.4
• /
• pp.216-227
• /
• 2007

The aim of this paper is to find out the nature of causality between the two ocean freights employing the Granger method. That is because the Baltic freights tend to move very closely and seem to be behave like one time series. The Granger causality test, however, is very sensitive to the number of lags used in the analysis. This means that one has to be very careful in implementing the Granger causality test. This paper, hence, uses more rather than the lags which the Akaike Information Criterion and the Schwarz Information Criterion suggest. This study shows that BPI does not "Granger-cause" BCI and BSI, but BCI and BSI Granger-cause BPI. I also discover that BHSI does not "Granger-cause" BPI and BSI, but BPI and BSI Granger-cause BHSI. I, hence, model and estimate the ocean freight function and show that the Baltic ocean freight market is inefficient and the biased estimator of the other freight.

• Journal of the Korean Society of Fisheries and Ocean Technology
• /
• v.55 no.3
• /
• pp.264-272
• /
• 2019

The aim of this study is to analyze the relationship between international oil price as a fuel cost in overseas fisheries and skipjack tuna price as a part of main products in overseas fisheries using monthly time series data from 2008 to 2017. The study also tried to analyze the change of fishing profits by fuel cost. For a time series analysis, this study conducted both the unit-root test for stability of data and the Johansen cointegration test for long-term equilibrium relations among variables. In addition, it used not only the Granger causality test to examine interactions among variables, but also the Vector Auto Regressive (VAR) model to estimate statistical impacts among variables used in the model. Results of this study are as follows. First, each data on variables was not found to be stationary from the ADF unit-root test and long-term equilibrium relations among variables were not found from a Johansen cointegration test. Second, the Granger causality test showed that the international oil prices would directly cause changes in skipjack tuna prices. Third, the VAR model indicated that the posterior t-2 period change of international oil price would have an statistically significant effect on changes of skipjack tuna prices. Finally, fishing profits from skipjack would be decreased by 0.06% if the fuel cost increases by 1%.

• Environmental and Resource Economics Review
• /
• v.15 no.3
• /
• pp.479-504
• /
• 2006

This paper analyzes a price discovery process for international crude oils including the WTI, Brent and Dubai. Error correction model is employed considering non-stationarity property of crude oil price and the contemporaneous causality is constructed by graph theory to analyze the short-term causality. The empirical analysis for January 4., 1999 to July 15., 2005 reveals that the Brent price interconnects between the WTI price and the Dubai price. This result implies the substantial influence of the Brent price as a marker oil.

• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.4
• /
• pp.173-183
• /
• 2022

The objective of this research is to examine the influence of the COVID-19 pandemic on stock markets in a few developing and developed countries. This study uses daily data from January 2020 to May 2021 and obtained from World Health Organization and Thomson Reuters. The secondary data was evaluated through panel econometric methodology that includes different unit root tests, and to analyze the long-run relationship between variables, panel cointegration techniques were applied. The long-run causality among variables was examined through Panel Vector Error Correction Model. The overall findings of this study suggest a long-run association exists between several cases and death with the stock returns of the GCC and other stock markets. Furthermore, the VECM model also identified a long-run causality running from COVID cases and death towards the stock rerun of both sets of stock markets. However, a subsequent Wald test yielded mixed results, indicating no short-run causality between cases and deaths and stock returns in both groups; however, in the case of GCC, several COVID-19 cases are having a causal impact on stock markets, which is notable in light of the fact that the death rate in GCC is significantly lower than in many developed and developing countries.

• Journal of Korea Port Economic Association
• /
• v.23 no.4
• /
• pp.159-175
• /
• 2007

The purpose of this study is to examine the causal relationship between trading volume of freight and industrial growth in Korea ports, and to induce policy implications. In order to test whether time series data is stationary and the model is fitness or not, we put in operation unit root test, cointegration test. And we apply Granger causality based on an error correction model, Hsiao(1981) method and variance decomposition. The results indicate that the extent of causality between trading volume of freight and industrial growth is strong in order of Incheon port, Busan port, Gwang Yang port, Ulsan port. We can infer policy suggestions as follows; The port policy of government must be focused on re-adjusting investment among Korea ports and raising competitive power of Korea ports

• Transactions of the Korean Society of Automotive Engineers
• /
• v.11 no.5
• /
• pp.156-162
• /
• 2003

The shock absorber is a part having a direct influence on the ride comfort, stability and dynamic load prediction of a vehicle. Thus, a rationally modeled shock absorber should be required in the dynamic analysis of vehicles. This thesis presents a modified model, based on Worden's hyperbolic tangent function, in order to fit experimental data on the velocity-damping force of a shock absorber. The hyperbolic tangent function correctly indicates the characteristics of a shock absorber, and has the advantage of containing physical causality. To evaluate the method, comparative evaluations of the linear model, the 5th polynomial model and Worden's model were carried out. The function presented in this paper is not only simple but also makes it possible to estimate the function coefficients easily and visually. In addition, it has the advantage of containing physical causality. Lastly, it effectively models the damping force of a shock absorber.

• Proceedings of the Korean Society of Precision Engineering Conference
• /
• 2003.06a
• /
• pp.1479-1482
• /
• 2003

The shock absorber is a part having a direct influence on the ride comfort, stability and dynamic load prediction of a vehicle. Thus, a rationally modeled shock absorber should be required in the dynamic analysis of vehicles. This thesis presents a modified model, based on Worden's hyperbolic tangent function, in order to fit experimental data on the velocity-damping force of a shock absorber. The hyperbolic tangent function correctly indicates the characteristics of a shock absorber. and has the advantage of containing physical causality. To evaluate the method, comparative evaluations of the linear model. the 5th polynomial model and Worden's model were carried out. The function presented in this paper is not only simple but also makes it possible to estimate the function coefficients easily and visually. In addition, it has the advantage of containing physical causality. Lastly, it effectively models the damping force of a shock absorber.

• Agribusiness and Information Management
• /
• v.12 no.2
• /
• pp.40-54
• /
• 2021

Market integration and prices in pulse crops like black gram play an important role in determining the production decisions of the farmers and diversification towards high value nutritious crops. In this context, the present study explores extent of market integration and price transmission in selected major black gram markets in Andhra Pradesh using Johansen co-integration, Vector Error Correction Model and Granger causality test. The study used monthly prices data of black gram (Rs/quintal) sourced from selected markets of Srikakulam, Krishna and Kurnool spanning January, 1990 to December, 2019. The results of the study strongly buttressed the existence of co-integration and interdependence of selected black gram markets in Andhra Pradesh. However, the speed of adjustment of the prices found to be moderate in Krishna market and quite weaker in Srikakulam market and thereby prices correct a small percentage of the disequilibrium in these markets with the greatest percentage by the external and internal forces. So, it necessitates the need for future research, to investigate the influence of external and internal factors such as market infrastructure, Government policy and self-sufficient production, product characteristics and utilization towards market integration. As there exists only unidirectional causality from Krishna to Kurnool and from Krishna to Srikakulam markets, it calls for strengthening the information technology for flow of market information regularly to help the farmers for increasing their income.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
• /
• 2005.05a
• /
• pp.855-860
• /
• 2005

For the accurate measurement of acoustic properties of a surface, efforts have been made to reduce errors caused by external disturbance. If the reflection coefficient is considered as a transfer function between reflected wave and incident wave, causality is required between them and the reflection coefficient should be of minimum phase. In this thesis, the minimum phase condition is applied to measure correct reflection coefficient. The reflection coefficient is approximated as a rational function in the Z domain by minimizing the sum square error. Then the minimum phase reflection coefficient is reconstructed using the distribution of poles and zeros of the reflection coefficient model. The incident wave, the reflected wave and the impulse response function of causality are recalculated from the minimum phase reflection coefficient for further applications.

• Journal of Korea Technology Innovation Society
• /
• v.7 no.2
• /
• pp.257-281
• /
• 2004

In this paper we： (1) analyze the relationship among public R＆D investment, private R＆D investment, and GDP by employing the Clangor causality test; (2) examine if there is any country-specific pattern in the relationship by testing the cases of Korea, the U.S. and Japan. We found some common results for the above countries as follows： (i) GDP causes Public R＆D, not vice versa; (ii) Private R＆D causes GDP; and (iii) Public R＆D does not cause Private R＆D. For the bivariate model of GDP and total R＆D, the results show the existence of one-way causality running from total R＆D to GDP f3r both U.S. and Japan. We also found bidirectional causal relationship between GDP and total R＆D for Korea, which could be interpreted as a typical pattern for newly industrialized countries.