• International Commerce and Information Review
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• v.8 no.2
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• pp.299-312
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• 2006

This study examines the relations among wage differentials, trade, and productivity in Korea, using the methodology of Granger causality and vector error correction modelling. Cointegration test results over the 1975-2004 period indicate that all the test variables are cointegrated. Therefore, wage differentials, trade, and productivity are all related in the long run. We found some evidence on long-run relationship, while there is no short-run relationship between three test variables. First, trade and wage differentials have positively and bi-directionally Granger causality in the long-run. Second, productivity Granger causes negatively wage differentials in the long-run. Finally, productivity Granger causes positively trade in the long-run. These results explain partially the current theoretical predictions for wage inequality as well as supports the productivity-led growth hypothesis in the Korean economy.

• The Korean Journal of Financial Management
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• v.17 no.1
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• pp.227-251
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• 2000

한국시장에서 KOSPI 200 현물과 KOSPI 200 주가지수 선물간의 선 후행성을 실증적으로 분석하기 위하여 1998년 8월부터 1999년 10월까지 KOSPI 200 지수와 유동성이 가장 높은 최근 월물 가격의 5분 간격 자료를 이용하였다. 현 선물 가격의 안정성(stationarity)을 검증한 이후 공적분(cointegration)을 통하여 유도된 오차수정모형(Error Correction Model) 인과관계 회귀식을 GMM(Generalized Method of Moments)으로 추정하여 현 선물간의 선 후행성을 분석하고, 그 원인을 빈번하지 않는 거래(infrequent trading) 문제, 공매의 제약 문제, 거래 활발성의 강도 차이 문제 등의 측면에서 분석하였다. 그 결과 한국시장에서 현 선물간에는 쌍방의 인과 관계가 존재하지만 현물이 선물을 선행하는 정도는 아주 미약하였다. 반면에 선물은 현물을 약 30분 정도 선행하였다. 본 연구의 검증기간과 이용된 자료 내에서 현물이 선물에 대하여 후행하는 주된 원인은 현물시장에 존재하는 공매의 제약과 선물에 비하여 상대적으로 저조한 거래 활발성 때문인 것으로 나타났다. 왜냐하면 현물시장에서 공매가 상대적으로 어려운 시장하락시기에 선물의 선행정도가 통계적으로 유의적이었고, 현물과 선물의 거래가 활발한 시기에는 상호간에 선 후행성이 없었지만 현물의 거래가 비 활발할 경우 선물의 선행이 유의적이었기 때문이다.

• The Korean Journal of Financial Studies
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• v.6 no.1
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• pp.313-334
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• 2000

In this paper, we obtained some supportive evidence for the long-run PPP relationship concerning the Korean Won currency. Previous tests of PPP in the bilateral exchange rates of the Korean Won rate vis-a-vis the U.S. Dollar have been exposed to the lack of power problem. We argue that their failure to find PPP relation in Korean Won rates was due to the low power of Augmented Dickey-Fuller tests or the Engle-Granger two-step tests applied to the Korean exchange rate data with short sample period. En attempting to alleviate this low power problem, we used the error-correction model test and the Johansen test for bilateral long-run equilibrium relationships between exchange rates and price indices from Korea's major trading partners. It is surprising that our evidence supporting for long-run PPP in Korean Won rate contrasts sharply with Bahmani-Oskooee, Moshen and Rhee, Hyun-Jae(1992)'s.

• 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.

• Proceedings of the Korea Technology Innovation Society Conference
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• 1999.11a
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• pp.333-340
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• 1999

국제원유가격의 변동은 세계 각국의 경제에 상당한 영향을 미치고 있다. 이러한 원유가격의 변동을 정확히 예측하기 위해서는 원유가격 변동요인의 정립이 필히 요구된다. 본 연구에서는 전통적으로 원유가격의 중요한 변동요인으로 알려져 있는 OPEC의 원유생산량과 걸프전쟁 이후 주요한 국제원유가격 변동요인으로 주목받고 있는 미국의 원유재고량의 영향과 역할을 공적분(Cointegration) 모형과 오차수정모형(Error-Correction Model)을 통해 분석하였다. 분석결과, 원유생산량과 더불어 원유재고량도 원유가격의 중요한 변동요인으로 작용함을 알 수 있었다. 장·단기 탄력성의 경우, 원유생산량의 생산탄력성은 장기에 비해 단기에 더 탄력적으로 나타났으며 원유재고량의 재고탄력성은 단기에 비해 장기에 더 탄력적으로 나타났으며 장기에는 원유재고량의 변동이 생산량의 변동보다 오히려 원유가격에 더 큰 영향을 미치는 것으로 나타났다. 또한, 원유가격은 첫해에서 나타난 불균형을 대략 12%의 조정속도로, 장기균형으로 조정됨을 알 수 있었다.

• Environmental and Resource Economics Review
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• v.11 no.3
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• pp.397-414
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• 2002

This paper presents an empirical analysis of exchange rate volatility, petroleum's import price and industrial production on petroleum imports. The GARCH framework is used to measure the exchange rate volatility. One of the most appealing features of the GARCH model is that it captures the volatility clustering phenomenon. We found one long-run relationship between petroleum imports, import price, industrial production, and exchange rate volatility using Johansen's multivariate cointegration methodology. Since there exists a cointegrating vector, therefore, we employ an error correction model to examine the short-run dynamic linkage, finding that the exchange rate volatility performs a key role in the short-run. This paper also apply impulse-response functions to provide the dynamic responses of energy consumption to the exchange rate volatility. The results show that the response of energy consumption to exchange rate volatility declines at the first month and dies out very quickly.

• The Korean Journal of Applied Statistics
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• v.24 no.5
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• pp.791-797
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• 2011

This paper considers the issue of seasonal cointegrating rank selection by information criteria as the extension of Cheng and Phillips (2009). The method does not require the specification of lag length in vector autoregression, is convenient in empirical work, and is in a semiparametric context because it allows for a general short memory error component in the model with only lags related to error correction terms. Some limit properties of usual information criteria are given for the rank selection and small Monte Carlo simulations are conducted to evaluate the performances of the criteria.

• Journal of Korean Society for Quality Management
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• v.36 no.4
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• pp.93-101
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• 2008

The rare metals, used for semiconductors, PDP-LCS and other specialized metal areas necessarily, has been playing a key role for the Korean economic development. Rare metals are influenced by exogenous variables, such as production quantity, price and supplied areas. Nowadays the supply base of rare metals is threatened by the sudden increase in price. For the stable supply of rare metals, a rational demand outlook is needed. In this study, focusing on the domestic demand for chromium, the uncertainty and probability materializing from demand and price is analyzed, further, a demand forecast model, which takes into account various exogenous variables, is suggested, differing from the previously static model. Also, through the OOS(out-of-sampling) method, comparing to the preexistence ARIMA model, ARMAX model, multiple regression analysis model and ECM(Error Correction Mode) model, we will verify the superiority of suggested model in this study.

• Journal of the Korean Statistical Society
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• v.26 no.3
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• pp.365-382
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• 1997

In this paper we study the behaviors of the generalized Durbin-Watson (DW) statistics when the nonstationary seasonal time series regression model is misspecified. It is observed that when the series is seasonally integrated the generalized DW statistic for the seasonal period order autocorrelation converges in probability to zero while teh generalized DW statistic for the first order autocorrelation has nondegenerate asymptotic distribution. When the series is regularly and seasonally integrated the generalized DW for the first order autocorrelation still converges in probability to zero.

• Journal of the Korean Statistical Society
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• v.26 no.3
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• pp.397-405
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• 1997

Recently maximum likelihood estimators using unconditional likelihood function are used for testing unit roots. When one wants to use this method the determinant term of initial values in the multivariate unconditional likelihood function produces a complicated function of the elements in the coefficient matrix and variance matrix. In this paper an approximation of the determinant term is calculated and based on this aproximation an approximated unconditional likelihood function is calculated. The approximated unconditional maximum likelihood estimators can be used to test for unit roots. When multivariate process has one unit root the limiting distribution obtained by this method and the limiting distribution using exact unconditional likelihood function are the same.