• Journal of Climate Change Research
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• v.9 no.2
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• pp.171-179
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• 2018

The causal relationship between El Nino-Southern Oscillation (ENSO) and winter climate variability in Korea is tested by analyzing Korea Meteorological Administration Automatic Synoptic Observing System datasets for the past 59 years. Consistent with previous studies, positive phase of ENSO (El Nino) tends to cause warmer temperature and heavier precipitation in Korea in early winter with three-week lead time. This causality is quantified by performing Granger causality test. It turns out that ENSO explains an additional 9.25% of the variance of early-winter temperature anomalies in Korea, beyond that already provided by temperature itself. Likewise, 22.18% additional information is gained to explain early-winter precipitation variance by considering ENSO. This result, which differs from simple lead-lag correlation analysis, suggests that ENSO needs to be considered in predicting early-winter surface climate variability in Korea.

• Environmental Engineering Research
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• v.22 no.2
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• pp.193-202
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• 2017

The study estimated the relationship between carbon dioxide, crop and livestock production index in Ghana: Estimating the long-run elasticities and variance decomposition by employing a time series data spanning from 1960-2013 using both fit regression and ARDL models. There was evidence of a long-run equilibrium relationship between carbon dioxide emissions, crop production index and livestock production index. Evidence from the study shows that a 1% increase in crop production index will increase carbon dioxide emissions by 0.52%, while a 1% increase in livestock production index will increase carbon dioxide emissions by 0.81% in the long-run. There was evidence of a bidirectional causality between a crop production index and carbon dioxide emissions and a unidirectional causality exists from livestock production index to carbon dioxide emissions. Evidence from the variance decomposition shows that 37% of future fluctuations in carbon dioxide emissions are due to shocks in the crop production index while 18% of future fluctuations in carbon dioxide emissions are due to shocks in the livestock production index. Efforts towards reducing pre-production, production, transportation, processing and post-harvest losses are essential to reducing food wastage which affects Ghana's carbon footprint.

• The Journal of Asian Finance, Economics and Business
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• v.3 no.3
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• pp.79-91
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• 2016

This paper is the first of its kind using a non-linear approach based on cross-correlation function (CCF) to investigate the information arrival hypothesis in crude palm oil (CPO) futures market. Based on daily data from 1986 to 2010, our empirical results reveal that: First, the volume of volatility is not a proxy of information flow. Second, dependence causality running from current return to future volume in conditional variance exhibit an asymmetric pattern of time span with different signs of correlation between price and volume series. This finding indicates the presence of noise traders' hypothesis of price-volume interaction in CPO futures market. Both findings suggest that this futures market is weak-form inefficiency. In terms of investors' behavior, they tend to change their expectations on current return based on errors made in previous trade in generating abnormal volume in the subsequent period. As implied, it is advisable for the investors devise their future trading strategies according to time span and changes of return.

• The Journal of Fisheries Business Administration
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• v.46 no.1
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• pp.93-107
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• 2015

This study aims to analyze causalities among Hairtail prices by distribution channel using a vector autoregressive model. This study applies unit-root test for stability of data, uses Granger causality test to know interaction among Hairtail Prices by distribution channel, and employes the vector autoregressive model to estimate statistical impacts among t-2 period variables used in model. Analyzing results of this study are as follows. First, ADF, PP, and KPSS tests show that the change rate of Hairtail price by distribution channel differentiated by logarithm is stable. Second, a Granger causality test presents that the producer price of Hairtail leads the wholesale price and then the wholesale price leads the consumer price. Third, the vector autoregressive model suggests that the change rate of Hairtail producer price of t-2 period variables statistically, significantly impacts change rates of own, wholesale, and consumer prices at current period. Fourth, the impulse response analysis indicates that impulse responses of the structural shocks with a respectively distribution channel of the Hairtail prices are relatively more powerful in own distribution channel than in other distribution channels. Fifth, a forecast error variance decomposition of the Hairtail prices points out that the own price has relatively more powerful influence than other prices.

• Journal of the Korean Operations Research and Management Science Society
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• v.28 no.1
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• pp.11-23
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• 2003

This study Investigates the short and long-run dynamic relationships between the domestic and U.S. stock markets for the period of declining stock prices. It Is well known that the domestic stock market variations are largely caused by the U.S. stock market movements. Multivariate causal tty test Is utilized to examine the lead-lag relationships among four stock prices of KOSPI and KOSDAQ In the domestic part and DOWJONES and NASDAQ In the U.S. part. When the stock prices tend to decrease In the long run, It Is found that both KOSPI and KOSDAQ have closer relations with NASDAQ than DOWJONES. When both of domestic stock markets are severely fluctuate, bidirectional causal relationships appear to exist between NASDAQ and each of KOSPI and KOSDAQ. On the other hand. when the domestic stock markets are relatively stable, unidirectional causality Is found to exist between NASDAQ and each of KOSPI and KOSDAQ. which is explicitly validated by the analysis of variance decomposition.

• Management & Information Systems Review
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• v.27
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• pp.131-147
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• 2008

The study examines common component existing in five Asian countries from 1991 to 2007. To do this, the daily stock market indices of Korea, Malaysia, Thailand, Indonesia, and the Philippines were used. Using a Vector Autoregressive Model this paper analyzes causal relations and dynamic interactions between five Asian stock markets. The findings in this study indicate that level of five Asian stock markets' stock return linkages are low. First, from the statistics for pair-wise Granger causality tests, I find Granger-causal relationship between Korea and Indonesia and between Malaysia and and Indonesia. Second, from the results of response function and the statistics of variance decomposition, I find that week shocks to Korean stock market return on Malaysia, Indonesia, Thailand, and the Philippines stock market returns. The results indicate increased Asian stock market linkages but the level is very low. This implies that the benefits of diversification within the five Asian stock markets are still existed.

• Journal of Korean Society of Forest Science
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• v.99 no.4
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• pp.573-579
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• 2010

This study was carried out to investigate the relationship between visitor uses of national parks and economic variables, such as the index of industrial product and the consumer price index. The results from the Granger Causality test showed that the index of industrial product and the consumer price index influenced visitor use at national parks. Also the Impulse Response Analysis showed that the index of industrial product and the consumer price index greatly influenced national park visitor use in the short term as well as the long term. The study showed that national park visitor use was mainly influenced by variance decompositions. These results suggested that economic variables could be used to not only forecast the demand for recreation but also establish recreational policies.

• Ocean and Polar Research
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• v.36 no.4
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• pp.327-341
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• 2014

This study aims to analyze causality among Wando abalone producer prices by size using a vector autoregressive model to expiscate the leading-price of Wando abalone in various price classes by size per kg. This study, using an analytical approach, applies a unit-root test for stability of data, a Granger causality test to learn about interaction among price classes by size for Wando abalone, and a vector autoregressive model to estimate the statistical impact among t-1 variables used in the model. As a result of our leading-price analysis of Wando abalone producer prices by shell size using a VAR model, first, DF, PP, and KPSS tests showed that the Wando abalone monthly price change rate by size differentiated by logarithm were stable. Second, the Granger causality relationship analysis showed that the price change rate for big size abalone weakly led the price change rate for the small and medium sizes of abalone. Third, the vector autoregressive model showed that three price change rates of t-1 period variables statistically, significantly impacted price change rates of own size and other sizes in t period. Fourth, the impulse response analysis indicated that the impulse responses of structural shocks for price change rate for big size abalone was relatively more powerful in its own size and in other sizes than shocks emanating from other sizes. Fifth, the variance decomposition analysis indicated that the price change rate for big size abalone was relatively more influential than the price change rates for medium and small size abalone.

• The Journal of Asian Finance, Economics and Business
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• v.1 no.1
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• pp.5-14
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• 2014

This paper empirically examines the short-run and long-run causal relationship between stock market prices and exchange rates in Chinese stock markets using monthly data from January 2002 to December 2012 retrieved from the National Bureau of Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity Wald tests, impulse responses, variance decomposition techniques and structural break tests are employed. This study found 1) long-run causality from exchange rates to stock prices in Chinese stock markets and 2) short-run causality from Japanese yen and Korean won exchange rates to stock prices in the Shanghai Stock Exchange strongly prevails while in the Shenzhen Stock Exchange weakly prevails. The impact of the global financial crisis from 2007 to 2009 on Chinese stock markets was insignificant.

• 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.