• The Korean Journal of Applied Statistics
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• v.21 no.5
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• pp.783-789
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• 2008

We investigate the effects of the misspecification of cointegrating(CI) ranks at other frequencies on the inference of seasonal models at the frequency of interest; our study includes tests for CI ranks and estimation of CI vectors. Earlier studies focused mostly on a single frequency corresponding to one seasonal root at a time, ignoring possible cointegration at the remaining frequencies. We investigate the effects of the mis-specification, especially in finite samples, by adopting Gaussian reduced rank(GRR) estimation by Ahn and Reinsel (1994) that considers cointegration at all frequencies of seasonal unit roots simultaneously. It is observed that the identification of the seasonal CI rank at the frequency of interest is sensitive to the mis-prespecification of the CI ranks at other frequencies, mainly when the CI ranks at the remaining frequencies are underspecified.

• 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.

• International Commerce and Information Review
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• v.10 no.3
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• pp.459-474
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• 2008

Under violent competition to secure international raw materials, safe supply and demand of crude oil that only relies on import among main raw materials is an important task for Korean economic development. Therefore, this study aims to analyze the impact of price change of international crude oil on merchandise balance. It also presents political suggestions in preparation for national economic development and safety and develops an organized and long-term overseas resources development program. As the time-series data which had the 1st difference contribute to dismissal of the null hypothesis successfully, we carry out a multivariate cointegration test developed by Johansen (1988) and find that at least one cointegration vector exists. And, when Impulse Response Function is introduced, as the crude oil import price shows a negative impact from Step 2, then an extreme change, a positive impact since Step 13, is maintained and a safe result appears.

• The Journal of Industrial Distribution & Business
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• v.10 no.9
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• pp.53-60
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• 2019

Purpose - The objective of this paper is to discover if there exists a relationship between the economic index and distribution industry index in Korean. Because of the distribution industry boom in the recent years, a lot of interest in the relationship between the economic index and distribution industry index in Korean and the economy has been generated. This article examine on the mutual influence between economic index and distribution industry index in Korean. Research design, data, and methodology - For this purpose, we use the vector-auto regression model, impulse response function and variance decomposition of the economic index and distribution industry index, Granger causality test using weekly data on the economic index and distribution industry price index in korea. The sample period is covering from January 2, 2010 to August 31, 2019. The VAR model can also be linked to cointegration analysis. Cointegration Analysis makes possible to find a mechanism causing x and y to move around a long-run equilibrium (Engle and Granger, 1987). This equilibrium means that external shocks may separate the series temporarily at any particular time, but there will be an overall tendency towards some type of long-run equilibrium. If variables are found to have this tendency they are said to be cointegrated and a long-run relationship between these series is established. These econometric tools have been applied widely into economics and business areas to analyze intertemporal linkages between different time series. Results - This research showed following main results. First, from the basic statistic analysis of the economic index and distribution industry index in Korean, the economic index and the distribution industry index in korea have unit roots. Second, there is at least one cointegration between the economic index and distribution industry index in Korean. Finally, the correlation between of the economic index and the distribution industry index in korea is (+) 0.528876. Conclusions - We find that the distribution industry price index Granger cause the economic index in korea. As a consequence, the distribution industry index affect the economic index in Korean. The distribution industry index to the economic index is stronger than that from the economic index to the distribution industry index.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.401-412
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• 2011

This study uses a vector error correction model to analyze the daily time series data of the spot price of EUA (European Union Allowance). As endogenous variables, five variables are considered for the analysis, including prices of crude oil, natural gas, electricity and coal in addition to carbon price. Data period is Phase 2 period (April 21, 2008 to March 31, 2010) to avoid Phase 1 period (2005-2007) where the EUA prices were distorted. Unit-root and cointegration test results reveal that all variables have a unit root and cointegration vectors exist, so a vector error correction model is adopted instead of a vector autoregressive model.

• Journal of Korean Society of Forest Science
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• v.89 no.1
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• pp.1-8
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• 2000

This paper investigates the empirical validity of market integration for the five softwood lumber markets in Canada : Atlantic, Quebec, Ontario, Prairie, and British Columbia (BC). The Augmented Dickey-Fuller (ADF) tests of monthly price series for the period 1987 : 10-1998 : 11 reveal strong evidence for the presence of a unit root in each series. Accordingly, the Johansen cointegration technique is used to test for the law of one price in the five regional markets. Results show that the law holds in the pair, three, four, and five markets, supporting the hypothesis of market integration.

• Environmental and Resource Economics Review
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• v.19 no.3
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• pp.571-595
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• 2010

This research applies an panel data stationarity and stochastic convergence test developed by Carrion-i-Silvestre et al. (2005), which has the advantage of considering multiple structural breaks and the presence of cross-section dependence in order to investigate the hypothesis that relative emission $CO_2$ per capita stochastically converge for 11 Asian countries from 1971~2007. We find that relative emission $CO_2$ per capita is stationary after the structural breaks and cross-section dependence are introduced into the model. We also investigate whether Environmental Kuznets Curve (EKC) hypothesis exists in 11 Asian countries. For EKC test, using the panel cointegration tests of Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton(2007), we find that relative emission $CO_2$ per capita and relative GDP per capita are cointegrated. However EKC hypothesis in 11 Asian countries is not supported.

• The Korean Journal of Applied Statistics
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• v.18 no.3
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• pp.503-519
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• 2005

Cointegration test is usually performed under the assumption that the cointegrating vector is constant for the whole sample period. Most previous studies have used conventional cointegration methods in testing for a stable long-run equilibrium relation among related variables. However they have overlooked that the long-run equilibrium may not the unique and the stable relation may not be guaranteed. This study develops the additional statistical tests for the stability of the estimated cointegrating vector. Three tests for the parameter stability of a cointegrated regression model are utilized and applied to identify the types of variations in the long-run relation between the domestic unemployment and the rotated macroeconomic variables of interest. The present paper finds that, there exists a stable but, time-varying long-run relation between those. The observed variation in cointegrating relations is generally characterized by a discrete one-time shift, rather than a gradually evolving random walk process which is attributable to the IMF financial and economic crisis.

• International Area Studies Review
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• v.14 no.3
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• pp.363-387
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• 2010

This papers studies the causalities and effects on the relationship between inbound tourism(TOU) and the production amount of service industry in China, using the unit root test, the Granger causality test, the cointegration test, and VECM. we take their natural logarithm and define them as TOU and SGDP: these represent the distributed variable based the lagged values of the number of international tourists by continent and real production amount in service industry of China, respectively. The results of empirical study of this papers are as follows: Firstly, in the unit root test, we found that each time series was unstable one that has unit root. This result made me use 1st differenced data for this empirical study. Secondly, in the Granger casuality test, the study results show that there is unilateral casuality relation between DLSGDP-$DLTOU_i$ except DLSGDP-DLTOUL model for the same time, while no casuality relation between DLTOU-DLSGDP for all models of China. Thirdly, there is cointegration relation between all models for the period of 1980-2008.

• The Journal of the Korea Contents Association
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• v.19 no.6
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• pp.387-401
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• 2019

The aim of this study is to investigate the effects of income inequality caused by capital and wage incomes under globalized economic system in Korea. Empirical evidences which are obtained by cointegration methodology reveal that the effects resulted from capital and wage incomes to income inequality are alternative between short-run and long-run. And, the wage income has stronger impact on income inequality than the capital income. This might be occured as a result of that inbound foreign capital seems not to contribute to economic activity in real sector. It also has to be mentioned that the income inequality is negatively influenced by international trade in the short run and in the long run as well. To this end, it would be concluded that well-organized distribution system for wage income should be established, accordingly. And, forward and backward linkages in exporting industry have to be re-evaluated in order to improve income inequality in Korea.