• Journal of Korea Port Economic Association
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• v.32 no.3
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• pp.35-46
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• 2016

This study investigates the export behavior of Busan, Gwangyang and Incheon Port. The monthly data cover the period from January 2000 to December 2015. We employ six export functions composed of various exchange rates and industrial production index. This paper finds that the nominal effective exchange rate is more appropriate for explaining the export behaviors of the three ports, regardless of the narrow and wide indices which comprise 26 and 61 economies for the nominal and real indices respectively. This paper tests whether exchange rate and industrial production are stationary or not, rejecting the null hypothesis of a unit root in each of the level variables and of a unit root for the residuals from the cointegration at the 5 percent significance level. The error-correction model is estimated to find that both Gwangyang and Incheon ports are much slower than Busan port in adjusting the short-run disequilibrium and Gwangyang port is a little slower than Incheon port. The rolling regressions show that the influence of exchange rate as well as industrial production tends to decrease in all of three ports. The variance decomposition, however, shows that the export variables are very exogenous and the export of Busan Port is the least exogenous and that of Gwangyang Port the most. This result indicates that the economic variables such as exchange rate and economic activity affect the export of Busan Port more strongly than that of Gwangyang and Incheon Port.

• Journal of Navigation and Port Research
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• v.42 no.6
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• pp.546-554
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• 2018

The Bulk market, unlike the line market, is characterized by stiff competition where certain ship or freight owners have no influence on freight rates. However, freights are subject to macroeconomic variables and economic external shock which should be considered in determining management or chartering decisions. According to the results analyzed by use of ARIMA Inventiom model, the impact of the financial crisis was found to have a very strong bearing on the BDI index. First, according to the results of the VEC model, the libor rate affects the BDI index negatively (-) while exchange rate affects the BDI index by positively (+). Secondly, according to the results of the VEC model's J ohanson test, the order ship volume affects the BDI index by negatively (-) while China's economic growth rate affects the BDI index by positively (+). This shows that the shipping company has moved away from the simple carrier and responded appropriately to changes in macroeconomic variables (economic fluctuations, interest rates and exchange rates). It is believed that the shipping companies should be more aggressive in its "trading" management strategy in order to prevent any unfortunate situation such as the Hanjin Shipping incident.

• Journal of Energy Engineering
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• v.28 no.2
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• pp.1-17
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• 2019

This article analyzes causal relationships among gross domestic product(GDP), electricity consumption, carbon dioxide($CO_2$) emission and foreign direct investments(FDI) inflow of Korea over the period from 1976 to 2014, using unit root test, cointegration test, and vector error correction model(VECM). As the results, this article found (1) a long-run bi-directional causality between GDP and electricity consumption, which may imply a negative impact of electricity consumption-saving policy on economic growth, (2) uni-directional short- and long-run causalities running from $CO_2$ emission to GDP, and a uni-directional long-run causality running from $CO_2$ emission to electricity consumption, which can result in a negative impact of $CO_2$ emission reduction policy on economic growth and electricity consumption, (3) a uni-directional long-run causality running from FDI to GDP, and uni-directional short- and long-run causalities running from FDI to electricity consumption, which may result from relatively lower electricity prices than investing countries, (4) no causality between FDI and $CO_2$ emission, which is based on the characteristics of FDI composed of service industries. Considering the above causal relationships among the four variables, the policy implication needs to focus on the electricity demand management based on the relevant R&Ds, and on the gradual transition from fossil fuel- to renewable-energy. Adaptive policy to increase the FDI inflow is also needed.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.22 no.6
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• pp.453-459
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• 2021

The system marginal price of electricity is the amount paid to all the generating units, which is an important decision-making factor for the construction and maintenance of an electrical power unit. In this paper, we suggest a long-term forecasting model for calculating the system marginal price based on prices of natural gas and oil. As most variables used in the analysis are nonstationary time series, the long run relationship among the variables should be examined by cointegration tests. The forecasting model is similar to an error correction model which consists of a long run cointegrating equation and another equation for short run dynamics. To mitigate the robustness issue arising from the relatively small data sample, this study employs various testing and estimating methods. Compared to previous studies, this paper considers multiple fuel prices in the forecasting model of system marginal price, and provides greater emphasis on the robustness of analysis. As none of the cointegrating relations associated with system marginal price, natural gas price and oil price are excluded, three error correction models are estimated. Considering the root mean squared error and mean absolute error, the model based on the cointegrating relation between system marginal price and natural gas price performs best in the out-of-sample forecast.

• Environmental and Resource Economics Review
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• v.30 no.2
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• pp.299-323
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• 2021

This study investigated the impact of information and communication technology (ICT), trade openness, financial development, and economic growth on CO₂ emissions in Korea from 1990 to 2016. The cointegration relationship of the variables was confirmed by an autoregressive distributed lag (ARDL) bounds test. In the long-run, economic growth was statistically significant factor in the increase in CO₂ emissions, while other factors, as well as ICT, did not significant factors in the changes in CO₂ emissions. In the long-run, a link between economic growth and CO₂ emissions has been confirmed, but other factors, including ICT, have not been able to confirm the link between CO₂ emissions in the long-run. Meanwhile, in the short-run, economic growth and ICT increased CO₂ emissions, and financial development led to a decrease in CO₂ emissions. Trade openness did not have a significant effect on CO₂ emissions in the short-run as in the long-run. In particular, ICT did not contribute to the reduction of CO₂ emissions in the short-run as well as the long-run. In order to induce CO₂ mitigation through ICT, the development and deployment of technology that efficiently save energy by using ICT should be further promoted.

• Journal of Technology Innovation
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• v.31 no.2
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• pp.59-82
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• 2023

The purpose of this research is to conduct the empirical analysis of the short- and long-term causal relationship between public R&D investment, corporate R&D investment, and university R&D investment on economic growth in Korea. To this end, based on the time series data from 1976 to 2020, a causality test was conducted through the unit root test, cointegration test, and vector error correction model (VECM). As a result, it was found that there is a long-run equilibrium relationship between economic growth in Korea, public R&D investment, corporate R&D investment, and university R&D investment, in which a causal relationship exists in the long run. Also, while public R&D investment has a short-term effect on economic growth, corporate and university R&D investment does not have a short-term effect on economic growth. In addition, the results shows that there is a bidirectional causal relationship between economic growth and public R&D investment, corporate R&D investment and public R&D investment, and university R&D investment and public R&D investment in the short term. Through this research, it was empirically found that a highly mutual relationship exists between public R&D investment, corporate R&D investment, university R&D investment and economic growth. In order to increase the ripple effect of R&D investment on economic growth in the future, R&D investment between universities and corporations should be mutually promoted, and R&D investment by corporations should have a positive effect on public R&D investment so that public R&D investment can contribute to future economic growth.

• Land and Housing Review
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• v.14 no.3
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• pp.55-75
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• 2023

Based on prior studies on real estate policy, tax policy, and financial policy, this study examined how tax policy and financial policy affected real estate prices using monthly data from January 2014 to December 2021. We performed a VAR model using unit root tests, cointegration tests, as well as conducted impulse response analysis and variance decomposition analysis. The results are as follows. First, the tax regulation index and the financial regulation index had no discernible impact on housing prices. Specifically, a one-sided stabilizing regulatory policy was ineffective and, instead, led to unintended side effects, such as price increases resulting from reduced transaction volume. Secondly, mortgage rates had a negative impact on the housing sale price index. In other words, an increase in interest rates might led to a decrease in housing prices. Thirdly, an increase in the transfer difference, which involves capital gains tax, has a positive effect on housing prices. This led to rising housing prices because the transfer taxes were shifted to buyers, causing them to hesitate to make purchases due to the increased tax burden. Fourthly, both acquisition taxes and mortgage loans had relatively little impact on housing prices.

• International Area Studies Review
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• v.15 no.1
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• pp.495-522
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• 2011

In this study, a vector error correction model is considered to analyze the correlations among carbon emission, energy use and economic growth using countries adopted carbon tax such as Finland, Netherland, Newzealand, Sweden, and United Kingdom in the short-run dynamics. In order to examine the effect of a carbon tax on the carbon emission specifically for Finland, New zealand and Sweden in the cointegration coefficients among variables, the economic growth equation has the statistically significant negative value(positive values for Netherland and UK). This implies that in the case of the deviation from a long-run equilibrium all variables except carbon emission and energy use are adjusted toward decreasing. After introducing a carbon tax, all variables for Finland, New zealand and Sweden appear to be negative and positive values for the other countries. The evidence that the carbon emission and energy use have been decreased is very weak in the short-run for Finland, New zealand and Sweden but the economic growth is on the decrease after a carbon tax. However, the empirical results show that the increase in carbon emission leads to the decrease in production for Netherland and UK. This implies that for reducing the carbon emission, these countries need to provide more aggressive policies.

• Korea Trade Review
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• v.48 no.1
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• pp.127-163
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• 2023

The objective of this study is to investigate the volatility spillover effects among BDI, CCFI and SCFI. This paper will divide the empirical analysis section into two periods to analyze and compare the differences in volatility spillover effect between shipping freight indices before and after the outbreak of COVID-19 separately. First, in order to compare the mean spillover impact and index lead-lag correlations in BDI and CCFI indices, along with BDI and SCFI indices before and after COVID-19, the co-integration analysis and the test of Granger causality built on the VAR model were utilized. Second, the impulse response and variance decomposition are employed in this work to investigate how the shipping freight index responds to shocks experienced by itself and other freight indices in a short period. Before the COVID-19 epidemic, the results demonstrated that the BDI freight index is the Granger cause of the variable CCFI freight index. But the BDI and CCFI freight indices have no apparent lead-lag relationships after COVID-19, and this empirical result echoes the cointegration test result. After the COVID-19 epidemic, the SCFI index leads the BDI index. This study employs the VAR-BEKK-GARCH joint model to explore the volatility spillover results between dry bulk and container transport markets before and after COVID-19. The empirical results demonstrate that after COVID-19, fluctuations in the BDI index still affect the CCFI index in the maritime market. However, there is no proof of a volatility spillover relationship between the BDI and SCFI after the COVID-19 epidemic. This study will provide an insight into the volatility relationship among BDI, CCFI and SCFI before and after the the COVID-19 epidemic occurred.

• The Korean Journal of Financial Management
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• v.25 no.1
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• pp.1-22
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• 2008

This study is to evaluate, to the extent to, which advanced currency futures and emerging currency futures markets can predict accurately the future spot rate. To this end, Johansen's the maximum-likelihood cointegration method(1988, 1991) is adopted to test the unbiasedness and efficiency hypothesis. Also, this study is to estimate and compare a quantitative measure of relative efficiency as a ratio of the forecast error variance from the best-fitting quasi-error correction model to the forecast error variance of the futures price as predictor of the spot price in advanced currency futures with in emerging currency futures market. Advanced currency futures is British pound and Japan yen. Emerging currency futures includes Korea won, Mexico peso, and Brazil real. The empirical results are summarized as follows : First, the unbiasedness hypothesis is not rejected for Korea won and Japan yen futures exchange rates. This indicates that the emerging currency Korea won and the advanced currency Japan yen futures exchange rates are likely to predict accurately realized spot exchange rate at a maturity date without the trader having to pay a risk premium for the privilege of trading the contract. Second, in emerging currency futures markets, the unbiasedness hypothesis is not rejected for Korea won futures market apart from Mexico peso and Brazil real futures markets. This indicates that in emerging currency futures markets, Korea won futures market is more efficient than Mexico peso and Brazil real futures markets and is likely to predict accurately realized spot exchange rate at a maturity date without risk premium. Third, this findings show that the results of unbiasedness hypothesis tests can provide conflicting finding. according to currency futures class and forecasts horizon period, Fourth, from the best-fitting quasi-error correction model with forecast horizons of 14 days, the findings suggest the Japan yen futures market is 27.06% efficient, the British pound futures market is 26.87% efficient, the Korea won futures market is 20.77% efficient, the Mexico peso futures market is 11.55%, and the Brazil real futures market is 4.45% efficient in the usual order. This indicates that the Korea won-dollar futures market is more efficient than Mexico peso, and Brazil real futures market. It is therefore possible to concludes that the Korea won-dollar currency futures market has relatively high efficiency comparing with Mexico peso and Brazil real futures markets of emerging currency futures markets.