• Journal of Service Research and Studies
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• v.6 no.1
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• pp.83-95
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• 2016

We examine the information transmission between the Service Industrial Production Index and the Service Industrial Wholesale and Retail Index, based on the returns data offered by the Korea Bank. The data includes daily return data from January 2000 to September 2015. Utilizing a dynamic analytical tool-the VAR model, Granger Causality test, Impulse Response Function and Variance Decomposition have been implemented. The results of the analysis are as follows. Firstly, results of Granger Causality test suggests the existence of mutual causality the Service Industrial Production Index precede and have explanatory power the Service Industrial Wholesale and Retail Index However the results also identified a greater causality and explanatory power of the Service Industrial Wholesale and Retail Index over the Service Industrial Production Index. Secondly, the results of impulse response function suggest that the Service Industrial Production Index show immediate response to the Service Industrial Wholesale and Retail Index and are influenced by till time 5 From time 2, the impact gradually disappears. Also the Service Industrial Wholesale and Retail Index show immediate response to the Service Industrial Production Index and are influenced by till time 2.5, the impact gradually disappears. Lastly, the variance decomposition analysis shows that the changes of return of Service Industrial Production Index are dependent on those of the Service Industrial Wholesale and Retail Index. This implies that returns on the Service Industrial Production Index have a significant influence over returns on the Service Industrial Wholesale and Retail Index. It contributes to the understanding of market price formation function through analysis of detached the Service Industrial Production Index and Service Industrial Wholesale and Retail Index. Finally, our results can be used as a guide by the Korea Bank and Republic of Korea and as well as Statistics Korea.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.619-627
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• 2020

This study measures the relationship between labor productivity and national competitiveness. Through the shift- share analysis method, the paper has separated labor productivity into three factors: static shift effect, dynamic shift effect and endogeneous effect. Next, in combination with the Granger causality test, the paper examines the relationship between the factors constituting labor productivity and competitiveness during the period from 2005 to 2017. Research data is collected from General Statistics Office and annual global competitiveness reports. The results show that the interaction between labor productivity with global competitiveness index (GCI) in Vietnam has similar variation. Nevertheless, when separating labor productivity into three effects, this relationship shows more clearly that the impact of labor productivity on GCI scores is mainly caused by endogeneous effect, not by static shift effect or dynamic shift effect. Therefore, in order to improve its competitiveness, Vietnam should focus on a number of solutions: reforming the education system towards developing thinking capacity and creative capacity; fostering industrial manners to create dynamic and flexible workers; building the State with sufficient capacity to implement consistent and transparent policies; formulating policies to attract all economic sectors so that they actively participate in the field of human resource training for the country.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.23-34
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• 2020

The paper revisits the author's previous paper to examine short-run and long-run dynamic relationships between macroeconomic variables and stock prices in Korea. The data is updated to the period for which monthly data are available from January 1986 to June 2018 (390 observations) retrieved from the Bank of Korea. The results of Johansen cointegration test indicate that at least one cointegrating equation exists, confirming there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Korea. The results of vector error correction estimates confirm that: 1) the coefficient of the error correction term is significant with a negative sign, which is, a long-run dynamic relationship is observed between macroeconomic variables and stock prices; 2) for short-run dynamics, the nominal exchange rate of the Korean won per the US dollar is positively related to stock prices, while interest rates are negatively related to stock prices in the short-run; 3) the coefficient of global financial crises is insignificant, that is, the changes of stock prices are determined largely by their own dynamics in the model. The results suggest only that the global financial crises neither cause instability in the cointegrating vector, nor affect significant changes in the endogenous variables in the model.

• Journal of Service Research and Studies
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• v.5 no.1
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• pp.91-103
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• 2015

We examine the information transmission between the KT Spot and the KT Futures Index, the SK Telecom Spot and the SK Telecom Futures Index, based on the returns data offered by the Korea Exchange. The data includes daily return data from 1 January 2012 to 31 December 2014. Utilizing a dynamic analytical tool-the VAR model, Granger Causality test, Impulse Response Function and Variance Decomposition have been implemented. The results of the analysis are as follows. Firstly, results of Granger Causality test suggests the existence of mutual causality the KT Futures Index and the SK Telecom Futures Index precede and have explanatory power the KT Spot and the SK Telecom Spot However the results also identified a greater causality and explanatory power of the KT Spot and the SK Telecom Spot over the KT Futures Index and the SK Telecom Futures Index. Secondly, the results of impulse response function suggest that the KT Futures Index show immediate response to the KT Spot and are influenced by till time 4. From time 2, the impact gradually disappears. Also the SKT Futures Index show immediate response to the SKT Spot and are influenced by till time 4. From time 2, the impact gradually disappears. Lastly, the variance decomposition analysis shows that the changes of return of the KT Spot and SKT Spot are dependent on those of the KT Futures Index and the SK Telecom Futures Index. This implies that returns on the KT Spot and SKT Spot have a significant influence over returns on the KT Futures Index and the SK Telecom Futures Index. It contributes to the understanding of market price formation function through analysis of detached the KT Spot and the KT Futures Index, the SK Telecom Spot and the SK Telecom Futures Index.

• Journal of Power Electronics
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• v.17 no.2
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• pp.501-513
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• 2017

The fundamental small-signal modeling of lithium-ion (Li-ion) batteries and a parameter evaluation approach are investigated in this study to describe the dynamic behaviors of small signals accurately. The main contributions of the study are as follows. 1) The operational principle of the small signals of Li-ion batteries is revealed to prove that the sinusoidal voltage response of a Li-ion battery is a result of a sinusoidal current stimulation of an AC small signals. 2) Three small-signal measurement conditions, namely stability, causality, and linearity, are proved mathematically proven to ensure the validity of the frequency response of the experimental data. 3) Based on the internal structure and electrochemical operational mechanism of the battery, an AC small-signal model is established to depict its dynamic behaviors. 4) A classical least-squares curve fitting for experimental data, referred as Levy's method, are introduced and developed to identify small-signal model parameters. Experimental and simulation results show that the measured frequency response data fit well within reading accuracy of the simulated results; moreover, the small-signal parameters identified by Levy's method are remarkably close to the measured parameters. Although the fundamental and parameter evaluation approaches are discussed for Li-ion batteries, they are expected to be applicable for other batteries.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.4
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• pp.139-145
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• 2019

This study examines the dynamic linkages between food price inflation and its volatility in the context of Sri Lanka. The empirical evidence derived from the monthly data for the period from 2003M1 to 2017M12 for Sri Lanka. The relationship between inflation rate and inflation volatility has attracted more attention by theoretical and empirical macroeconomists. Empirical studies on the relationship between food inflation and food inflation variability is scarce in the literature. Food price inflation is defined as log difference of food price series. The volatility of a food price inflation is measured by conditional variance generated by the FIGARCH model. Preliminary analysis showed that food inflation is stationary series. Granger causality test reveals that food inflation seems to exert positive impact on inflation variability. We find no evidence for inflation uncertainty affecting food inflation rates. Hence, the findings of the study supports the Friedman-Ball hypothesis in both cases of consumer food price inflation and wholesale food price inflation. This implies that past information on food inflation can help improve the one-step-ahead prediction of food inflation variability but not vice versa. Our results have some important policy implications for the design of monetary policy, food policy thereby promoting macroeconomic stability.

• The Transactions of the Korea Information Processing Society
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• v.6 no.1
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• pp.57-65
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• 1999

The simulation which is larger scale, complex and interactive with clients treat a lot of messages. It can be thinking more efficient distributed simulation than sequential one. The training simulation with multi-users is geographically distributed, and required high cost to operate and maintain system as increasing user requirements. The adaptation of web technology to the simulation can be a way to solves it without cost added. But dynamic web environment can causes causality error of events. This paper is concerned with client-server model, which supports interaction between distributed simulation server and web browser, and it is implemented by Java distributed object model. the result have shown that the distributed simulation is performed correctly on dynamic environment.

• The Journal of Asian Finance, Economics and Business
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• v.1 no.3
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• pp.5-16
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• 2014

This study aims to examine the dynamics of price changes and trading volume of Kuala Lumpur Options and Financial Futures Exchange (KLOFFE) from 2000 to 2008. With augmented analysis, our results support two hypotheses. First, under information spillover, our findings support noise traders' hypothesis as the time span for variance of past trading volume to cause variance of current return is found to be asymmetric under bull and bear markets. Second, looking at the dynamic relation between volume and volatility of price changes, our findings support Liquidity-Driven Trade hypothesis as past trading volume and subsequent volatility of return exhibit positive correlation. In terms of investors' behavior in response to the news, we find that investors are more risk taking in bull market and more risk reverse in bear market. Our study suggests that investors should adjust their strategy in the futures market in a dynamic manner as the time span of new information arrival is not consistent. Also, uninformed investors with information asymmetry should expect noninformational trading from informed investors to establish their desired positions for better liquid position.

• Journal of Korea Port Economic Association
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• v.30 no.2
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• pp.77-92
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• 2014

The focus of this study is to analyse dynamic relationship among BDI(Baltic Dry-bulk Index, hereafter BDI), forex market and industrial production using monthly data from 2003-2013. Specifically, we have focused on the investigations how monetary and real variable affect shipping industry during recession period. To compare performance between general VAR and Bayesian VAR we first examine DAG(Directed Acyclic Graph) to clarify causality among the variables and then employ MSFE(mean squared forecast error). The overall estimated results from impulse-response analysis imply that BDI has been strongly affected by other shock, such as forex market and industrial production in Bayesian VAR. In particular, Bayesian VAR show better performance than general VAR in forecasting.

• 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.