• Title/Summary/Keyword: consumer price index

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Envisaging Macroeconomics Antecedent Effect on Stock Market Return in India

  • Sivarethinamohan, R;ASAAD, Zeravan Abdulmuhsen;MARANE, Bayar Mohamed Rasheed;Sujatha, S
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.8
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    • pp.311-324
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    • 2021
  • Investors have increasingly become interested in macroeconomic antecedents in order to better understand the investment environment and estimate the scope of profitable investment in equity markets. This study endeavors to examine the interdependency between the macroeconomic antecedents (international oil price (COP), Domestic gold price (GP), Rupee-dollar exchange rates (ER), Real interest rates (RIR), consumer price indices (CPI)), and the BSE Sensex and Nifty 50 index return. The data is converted into a natural logarithm for keeping it normal as well as for reducing the problem of heteroscedasticity. Monthly time series data from January 1992 to July 2019 is extracted from the Reserve Bank of India database with the application of financial Econometrics. Breusch-Godfrey serial correlation LM test for removal of autocorrelation, Breusch-Pagan-Godfrey test for removal of heteroscedasticity, Cointegration test and VECM test for testing cointegration between macroeconomic factors and market returns,] are employed to fit regression model. The Indian market returns are stable and positive but show intense volatility. When the series is stationary after the first difference, heteroskedasticity and serial correlation are not present. Different forecast accuracy measures point out macroeconomics can forecast future market returns of the Indian stock market. The step-by-step econometric tests show the long-run affiliation among macroeconomic antecedents.

Effects of Inflation Indexed Excise Duties on Transportation Fuel Consumption Using Demand Analysis based on the Linear Expenditure System in Korea (선형지출체계 수요함수 추정을 통한 수송용 유류 종량세의 물가연동제 도입효과 분석)

  • Sung, Myung Jae
    • Environmental and Resource Economics Review
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    • v.26 no.2
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    • pp.257-286
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    • 2017
  • This paper estimates the effects of imaginary repeated increases in excise duties on fuel oil consumption and on their income redistribution according to changes in consumer price index, if the inflation indexation system was introduced right after the second Energy Tax Reform ended in July, 2007 in Korea. In fact, nominal excise rates have not been adjusted since 2007. As a result, the real excise rates on fuel oils have been diminished inversely proportional to the consumer price index. Own- and cross-price elasticities of fuel oils such as gasoline and diesel oil are estimated under the general equilibrium framework based on the linear expenditure system. Counterfactual analyses through microsimulation in a static model are adopted to estimate the effects of introducing inflation indexation into the fuel tax in 2007 when the second Energy Tax reform ended on the fuel consumption and income redistribution in 2014. Microsimulations suggest that its introduction could have reduced the consumption of gasoline and diesel oil by 8.8% and 5.4%, respectively, ending up with increased excise revenue by 11.9%. The revenue increase in spite of decreased consumption is mainly because their demands are price inelastic. It could also have increased positive income redistributive effect by 0.01%p (from 0.12% to 0.13%), which is measured in terms of percentage decrease in Gini coefficient. In other words, the fuel excise on the two fuel oils decreased by 0.13% the Gini coefficient of before and after fuel tax income in 2014. This implies that the inflation indexation could have enlarged the income redistributive effect up to 0.13% in 2014, if it is introduced in 2007.

The Effect of Housing Affordability on Housing Prices Variation in Korea (주택구입능력이 주택가격 변동에 미치는 영향)

  • Heonyong Jung
    • The Journal of the Convergence on Culture Technology
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    • v.9 no.2
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    • pp.113-118
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    • 2023
  • This study analyzed the effects of macroeconomic variables, including housing affordability, and bank loan-related variables on variation in housing prices using multiple regression models. As a result of the analysis, consumer price growth rate, the total currency growth rate, and the housing affordability growth rate had a significant positive effect on changes in housing prices. As a result of analyzing the period of rising and falling housing prices, consumer price growth rate and the total currency growth rate during the period of rising housing prices had a significant positive effect on housing prices. Unlike the period of rising housing prices, the growth rate of household loans was found to have a significant positive effect on changes in housing prices. On the other hand, unlike the period of rising housing prices, the growth rater of mortgage loans was found to have a significant negative effect on changes in housing prices. The growth rate of housing affordability index did not have a significant positive effect on changes in housing prices during a falling housing prices. The determinants of housing prices showed different patterns during the period of rising housing prices and falling housing prices.

An Empirical Study on the Use of Trade Insurance by Korea Agricultural and Marine Products Trading Companies (한국 농수산물 수출업체의 무역보험상품 이용에 관한 실증분석)

  • PAK, Myong-Sop;PAK, Young-Hyun
    • THE INTERNATIONAL COMMERCE & LAW REVIEW
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    • v.66
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    • pp.285-312
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    • 2015
  • Export and import of food, agriculture, forestry, fishery products are suffering from low growth rate due to the European financial crisis, global recession, and Japan's 2012 export expansion following the aftermath of 2011 earthquake. Upon the signing and enactment of Free Trade Agreement with the U.S. and the EU, agriculture and fishery product have become the center of attention. Agriculture and fishery was reported to be 80million dollars, 1.46% of total national export, in 2012. Starting from2000, South Korea's government began its effort to expand agriculture and fishery export and as a result, export has steadily increased despite decreased consumption led by global recession. K-Sure has started an insurance program with the purpose of promoting SME business's export. It protects SME business against risk arising from credit, emergency, bad debt, and domestic price increase. This study aims to evaluate the service quality of K-Sure's insurance program via surveying SME businesses in the agriculture and fishery industry. Also this study will identify key service factors for SME businesses and explore ways to expand SME exports of agriculture and fishery by analyzing consumer satisfaction index. Results indicated service product quality factor, service communication quality factor, and social quality factor was key to improving consumer satisfaction for SME businesses in agriculture and fishery industry. Service product quality factor had a negative effect on consumer satisfaction in term of variety and results indicated that service communication quality factor's responsiveness element had minimal impact on consumer satisfaction. Conversely, all elements for social quality factor had positive effects on consumer satisfaction. Thus, leading to the conclusion that improvements in service product quality factor and service communication quality factor will indeed increase consumer satisfaction.

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A Study on the Relationship between Economic Change and Air Passenger Demand: Focus on Incheon International Airport (경제환경 변화와 항공여객 수요 간의 관계 분석: 인천국제공항을 중심으로)

  • Kim, Seok;Shin, Tae-Jin
    • Journal of the Korean Society for Aviation and Aeronautics
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    • v.27 no.4
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    • pp.52-64
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    • 2019
  • The purpose of this study is to analyze the impact of macroeconomic variables on air passenger demand and provide useful information to airport managers and policymakers. Therefore, using the quarterly macroeconomic indicators from 2002 to 2017, the relationship with air passenger demand was demonstrated by multiple regression analysis. In the previous studies, they used GDP, Korea Treasury Bond, KOSPI index, USD/KRW Exchange Rate, and WTI Crude Oil Price variables. In this study, we used the Coincident Composite Index, Employment Rate, Consumer Sentiment Index, and Private Consumption Rate used as additional variables. It has confirmed that if the consumption of research results expands or the economic environment is right, it will affect the increase in international passengers. In other words, it confirmed that the overall economic situation acts as the main factor determining air passenger demand. It confirmed that the economic environment at the past has a significant impact on air passenger demand.

Dynamic Interaction between Conditional Stock Market Volatility and Macroeconomic Uncertainty of Bangladesh

  • ALI, Mostafa;CHOWDHURY, Md. Ali Arshad
    • Asian Journal of Business Environment
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    • v.11 no.4
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    • pp.17-29
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    • 2021
  • Purpose: The aim of this study is to explore the dynamic linkage between conditional stock market volatility and macroeconomic uncertainty of Bangladesh. Research design, data, and methodology: This study uses monthly data covering the time period from January 2005 to December 2018. A comprehensive set of macroeconomic variables, namely industrial production index (IP), consumer price index (CPI), broad money supply (M2), 91-day treasury bill rate (TB), treasury bond yield (GB), exchange rate (EX), inflow of foreign remittance (RT) and stock market index of DSEX are used for analysis. Symmetric and asymmetric univariate GARCH family of models and multivariate VAR model, along with block exogeneity and impulse response functions, are implemented on conditional volatility series to discover the possible interactions and causal relations between macroeconomic forces and stock return. Results: The analysis of the study exhibits time-varying volatility and volatility persistence in all the variables of interest. Moreover, the asymmetric effect is found significant in the stock return and most of the growth series of macroeconomic fundamentals. Results from the multivariate VAR model indicate that only short-term interest rate significantly influence the stock market volatility, while conditional stock return volatility is significant in explaining the volatility of industrial production, inflation, and treasury bill rate. Conclusion: The findings suggest an increasing interdependence between the money market and equity market as well as the macroeconomic fundamentals of Bangladesh.

Analysis on Real Discount Rate for Prediction Accuracy Improvement of Economic Investment Effect (경제적 투자효과의 예측 정확도 향상을 위한 실질할인율 분석)

  • Lee, Chijoo;Lee, Eul-Bum
    • Korean Journal of Construction Engineering and Management
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    • v.16 no.1
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    • pp.101-109
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    • 2015
  • The expected economic effect by investment was divided by square of real discount rate annually for change to present value. Thus, the impact of real discount rate on economic analysis is larger than other factors. The existing general method for prediction of real discount rate is application of average data during past certain period. This study proposed prediction method of real discount rate for accuracy improvement. First, the economic variables which impact on interest rate of business loan and consumer price of real discount rate were determined. The variables which impact on interest rate of business loan were selected to call rate and exchange rate. The variable which impact on consumer price index was selected to producer price index. Next, the effect relation was analyzed between real discount rate and selected variables. The significant effect relation were analyzed to exit. Lastly, the real discount rate was predicted from 2008 to 2010 based on related economic variables. The accuracy of prediction result was compared with actual data and average data. The real discount rate based on actual data, predicted data, and average data were analyzed to -1.58%, -0.22%, and 6.06%, respectively. Though the proposed method in this study was not considered special condition such as financial crisis, the prediction accuracy was much higher than result based on average data.

Forecasting Export & Import Container Cargoes using a Decision Tree Analysis (의사결정나무분석을 이용한 컨테이너 수출입 물동량 예측)

  • Son, Yongjung;Kim, Hyunduk
    • Journal of Korea Port Economic Association
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    • v.28 no.4
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    • pp.193-207
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    • 2012
  • The of purpose of this study is to predict export and import container volumes using a Decision Tree analysis. Factors which can influence the volume of container cargo are selected as independent variables; producer price index, consumer price index, index of export volume, index of import volume, index of industrial production, and exchange rate(won/dollar). The period of analysis is from january 2002 to December 2011 and monthly data are used. In this study, CRT(Classification and Regression Trees) algorithm is used. The main findings are summarized as followings. First, when index of export volume is larger than 152.35, monthly export volume is predicted with 858,19TEU. However, when index of export volume is between 115.90 and 152.35, monthly export volume is predicted with 716,582TEU. Second, when index of import volume is larger than 134.60, monthly import volume is predicted with 869,227TEU. However, when index of export volume is between 116.20 and 134.60, monthly import volume is predicted with 738,724TEU.

On the Inflation and its Modifications in the Era of Global Pandemic: The Case of Some ADB Countries

  • CHARAIA, Vakhtang;PAPAVA, Vladimer
    • The Journal of Asian Finance, Economics and Business
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    • v.9 no.8
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    • pp.7-17
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    • 2022
  • The article discusses the problems caused by inflation in the developing Asia-Pacific region during the time of the worldwide pandemic and suggests innovative solutions to the problem. The reality is that some of the commodity groups from the consumer basket (e.g., non-seasonal fruits, electronics, furniture, hotel, and restaurant services, etc.) fail to reflect the needs of the low-income earners, which make the majority in developing countries. At the same time, the inflation targeting regime has become outdated and not reliable, because of uncontrolled exogenic factors (imported inflation, fluctuation in oil prices, supply chain disruption, Russia-Ukraine war, etc.) prevailing on endogenic factors and thus making it impossible to control the price stability, especially in developing countries. Since, the old-fashioned inflation index and inflation targeting mechanisms regrettably fail to fully reflect both the society and governmental/central banks' expectations, based on which we first should have better care and second create better policies; we propose to use a combination of already well-known indexes and policies, with the new statistical indicators, which reflects price fluctuations on the medication, utilities, and nutrition.

Causes of Air pollution and Effects of Mitigation Policy in Korea (우리나라 대기오염배출 원인과 저감 정책 효과 분석)

  • Bae, Jeonghwan;Kim, Yusun
    • Environmental and Resource Economics Review
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    • v.25 no.4
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    • pp.545-564
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    • 2016
  • Recently as fine and ultra fine particles become major environmental issues in Korea, it is very important to develop effective solutions to air pollution. Accordingly this study aims at detecting causes of air pollution by using models and examining if diesel price increases contribute to reduction of diesel consumption and air pollution. TSP, PM10, $NO_X$, $SO_X$, CO, and VOC are included as major air pollutants. As a result, we found invert U shape curve between pollution and income for all air pollutants except CO. Consumer price index, coal power capacity, diesel consumption, frequency of yellow dust, number of natural gas buses, number of transport business, annual average temperature, number of manufacturing businesses are also influential in explaining causes of air pollution. As diesel price increases by 1%, air pollutants decline between 0.07~0.12% in the short run. Simultaneously, the additional revenue from increases in diesel prices might be transferred to support expansion of biofuel market. Also, stronger policy should be developed to mitigate the current air pollution problem.