• Journal of the Economic Geographical Society of Korea
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• v.16 no.4
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• pp.631-646
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• 2013

This paper empirically explores the pattern of causality between bank lending and housing prices in Korea over a period of the early 1990s to the end of 2000s by employing a long term cointegration and short-term time series regression analysis. Although the contemporaneous correlation between bank lending and housing prices is large, the analysis shows that the intense interaction between credit growth and bank lending to household arises from a growth in banking lending responding to an increase in housing prices. In addition, the regulatory change such as the introduction of financial constraints on bank loans such as LTV and DTI in the early and mid-2000s has played a significant role in stabilizing financial and real estate markets.

• Asia Pacific Journal of Business Review
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• v.1 no.2
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• pp.1-16
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• 2017

The fundamental goal of the research was to verify if the Twin Deficits Hypothesis holds for the economy of Zambia using time series data from 1980-2014. The current account and budget deficit were employed as key variables. The exchange rate was also used as a transmission mechanism to see how it contributes in the nexus. Cointegration tests confirmed a long run association of the variables. After fitting the VECM model, Granger causality tests confirmed the existence of twin deficits for Zambia. The results supported uni-directional reverse causality. The exchange rate was shown to be more significant in the long run than in the short run. The implosion of the time series as shown by the predicted cointegration equation implies that unless drastic measures are taken to cure the deficits, using the current account as the major target variable, twin deficits will persist for some time. The major policy implication of this research is that given that Zambia is a primary commodity-dependent developing country subsisting largely on copper revenues to sustain the economy, there is a need to move away from "copper addiction," given the recent volatility of earnings of primary commodities (e.g. through diversification of the economy, import substitution, and other strategies).

• East Asian Journal of Business Economics (EAJBE)
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• v.8 no.1
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• pp.57-69
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• 2020

Purpose - This study examines what are the asset market fluctuations in Europe and how each economic variable affects major variables, and explore the dynamics of housing and stock market through Greece. The variables under consideration are balance on current account (BCA), index of stock (STOCK), gross domestic product (GDP), housing price indices (HOUSING), M3, real rate of interest (IR_REAL) and household credits (LOAN). We investigate the functional and causal relationships between housing and stock market. Research design, data, and methodology - Vector error correction model (VECM) is used to figure out the dynamic relationships among variables. This study also contains the augmented Dickey-Fuller unit root, cointegration, Granger causality test, and impulse response function and variance decomposition analysis by EViews 11.0. Results - The statistical tests show that all variables under consideration have one unit root and there is a longterm equilibrium relationship among variables for Greece. GDP, IR_REAL, M3, STOCK and LOAN can be considered as causal factors to affect real estate market, while GDP, LOAN, M3, BCA and HOUSING can bring direct effects to stock market in Greece. Conclusions - It can be judged that the policy that affects the lending policy of financial institutions may be more effective than the indirect variable such as monetary interest rate.

• Korean Journal of Agricultural Science
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• v.47 no.3
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• pp.567-576
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• 2020

One of the main challenges receiving much attention in the Rwandan agriculture and food industry in recent decades is the increases in maize prices. Indeed, a rise in maize prices causes higher living expenses for households because maize, which is a major staple food crop, constitutes a significant share of total food consumption among households in Rwanda. The aim of this study was to assess the extent of integration and how prices are transmitted between retail and wholesale markets of domestic maize in Rwanda. This study used monthly data of retail and wholesale prices of maize from January 1995 to December 2019. This empirical investigation was based on a linear cointegration approach and an asymmetric error correction model framework. Using the augmented dickey-fuller residual-based test and the Johansen Maximum Likelihood cointegration test, the results revealed that the retail and wholesale markets of maize are integrated. Hence, prices in these markets do not drift apart in the long run. The results of the Granger causality test revealed that there is a unidirectional causal relationship flowing from wholesale prices to retail prices, i.e., wholesale prices influence retail prices. Accordingly, the results from the asymmetric error correction model confirmed the presence of a positive asymmetric price transmission between wholesale and retail prices of maize in Rwanda. Thus, we suggest that policymakers take a critical look at the causes and factors that may influence asymmetry price transmission.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.28 no.7
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• pp.97-105
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• 2014

This article examines the causality relationship among SMP, base-load share, LNG import price, and exchange rate in Korean power market during 2002~2012, using unit root test, cointegration test, and vector error correction model(VECM). The cointegration test shows that 4 variables without unit root have been in the long-run causality. As the results of ECM, SMP is analyzed to have been unilaterally caused from LNG import price and base-load share in the shot-run, while it has been unilaterally caused from LNG import price and exchange rate in the long-run. This article has the following policy implications: the adjustment of exchange rate to reduce he risk of LNG import price and the proper securement of base-load share for the long-run stability of SMP.

• Journal of Korea Port Economic Association
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• v.34 no.3
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• pp.183-200
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• 2018

This study empirically tests the presence of rational bubbles in the ship prices using time series data from October 1996 to April 2017. To detect the existence of ship prices' rational bubbles, we use integration and cointegration tests, which were proposed by Campbell and Shiller(1987) and Diba and Grossman(1988), for circumventing misspecification of ship price model and applying the bubble test to nonstationary time series. The result of integration test supports existence of tanker price's rational bubble. The co-integration test also shows that drybulk ship and containership prices have been overvalued relative to the market fundamental, drybulk and container freight rates, due to non-stationary rational bubbles. These results provide Korean shipping industry and authorities implications that anticyclical ship investment and long-term and steady fleet capacity expansion policy are needed.

• Journal of Korea Port Economic Association
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• v.31 no.2
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• pp.55-67
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• 2015

This study analyzes the relationship between shipping profit and market return in the tramp trade from January 2000 to October 2014. First, we carry out the causality test and find a causal relationship between the studied variables. Second, the estimates from the Johansen cointegration test show that shipping profit is cointegrated with market return, which implies that a long-run relationship exists among the variables. The empirical results thus imply that shipping firms need diverse risk management strategies.

• Journal of Sport and Applied Science
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• v.2 no.2
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• pp.1-10
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• 2018

Prior literature has posited that the sport industry has been effective method to drive the economic growth. Given the rationale, this study sets China as a research object with a quarterly data from the first quarter of 2003 to the fourth quarter of 2017 to explore how the sport industry affects economic growth. This study employed Johansen cointegration test and dynamic ordinary least squares as methods for an empirical analysis. The input of sport industry, the labor input, the capital input, and the economic growth are used as research variables. The results show that there is a long-run relationship among them. Johansen cointegration test's estimation indicated that 1% increase in the input of sport industry will lead to 0.064% increase in economic growth. Dynamic ordinary least squares' estimation showed that whenever in the one lead, in the one lag and in the present period, the input of sport industry always poses a positive effect on economic growth. Labor input also has a positive effect on economic growth. The capital input has a negative effect on economic growth. Finally, even though the input of sport industry has a positive effect on economic growth, its impact on economic growth is relative weak.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.12
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• pp.85-94
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• 2021

Infrastructure capacities are essential elements and one of the sustainable lines to drive economic growth. Infrastructure development, both physical and social, is vital to sector-wise economic development. However, there is limited evidence of how infrastructure development in certain sectors benefits the economy as a whole. This study explains the relationships between infrastructure and economic growth in selected middle-income Asian countries, highlighting the essential criteria to benefit from both physical and social infrastructure, as well as sectoral (agriculture, industry, and services) economic output. The research uses the data from 1990 to 2020 for empirical estimations. The study used Levin, Lin, & Chu test, ADF- Fischer chi- Square, and PP- Fischer Chi-Square to test unit root and to observe the stationary nature of the panel. Padroni and Kao cointegration is applied to check the cointegration among different panes. A Fully Modified OLS was employed for checking the association between physical and social infrastructure and economic growth. Results show that physical and social infrastructure negatively impact sectoral output in Asia's middle-income countries. Apart from infrastructure the per capita GDP growth, tax to GDP ratio, and population growth shows a simultaneous relation between infrastructure and sectoral economic growth.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.9
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• pp.165-176
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• 2021

The paper has used the Solow-Swan growth model to analyze the long-term impact of credit market development and stock market development on economic growth in Asia from 2000 to 2019. The empirical model is performed with panel cointegration analysis by Common Correlated Effects (CCE) method with cross-sectional dependencies. The results find that there exists a cointegration relationship among stock market, credit market development, and economic growth. These results also show that financial structure improves the exact impact of financial development on economic growth, namely the opposite effect of stock market development and credit market development. Moreover, the Granger causality test reveals a bi-directional relationship between credit market development and economic growth, while only unidirectional causality from stock market development to economic growth for the whole group panel. And it is different for a specific country, according to Kónya's test. The view of the new structuralism does not apply in the Asian financial system when we estimate the Nonlinear Autoregressive Distributed Lag model (NARDL) to analyze the asymmetric relationship between financial structure and economic growth. On the whole, policymakers can draw on the findings to provide policy implications to improve their country's financial system as well as pursue the goal of sustainable economic growth.