• Information Systems Review
• /
• v.16 no.2
• /
• pp.77-95
• /
• 2014

From the success of TDX and CDMA to today's social media boom, Korea's ICT has achieved an amazing growth for the last couple of decades. However, in spite of ICT's role as an engine of growth in Korea, there have been concerns that ICT growth would negatively affect national employment due to the labor substitution effect. While some scholars insist that ICT would positively affect employment because it will enlarge the size of industry itself, many people blame ICT as a main culprit of rising unemployment rates. In this study, we try to empirically find the true effect of ICT growth on employment in Korea. We use the data of ICT productions, ICT investments, and various industries employments from 1995 to 2011. The methodologies we adopted for this study is Granger causality tests and impulse response functions based on vector autoregression (VAR) model. We find that ICT has negative impact on service industries, while it has positive impact on manufacturing industries. Meanwhile, ICT has no statistically significant impact on ICT industry itself. Since the impacts of ICT on employment are mixed, we can argue that ICT should not be blamed for the main cause of low employment. We suggest a direction of future policies to utilize ICT for vitalizing employments in Korea.

• Journal of the Korean Regional Science Association
• /
• v.31 no.4
• /
• pp.91-105
• /
• 2015

Mortgage-Backed Securities (MBS) was introduced in 1999 in order to stabilize housing market and prevent potential speculation. However, research on MBS is limited, so this paper try to narrow the gap by focusing on the factors relating the pre-payment risk of MBS. We used Granger Causality Validation, Vector Auto Regressive, and HP-filtering with time-series data from 2004 to 2014. This paper shows that the prepayment rate of MBS increases as Mortgage rate decreases because borrowers tend to refinance existing MBS with new lower-rate MBS. In addition, it reveals that the rate increases as housing price increases. This outcome support the hypothesis that introduction of low-rate MBS invites more investment or speculation, and hence the housing price rises. The relationship between the MBS pre-payment rate and housing price is yet a peculiar characteristic of the MBS in Korea.

• Journal of IKEEE
• /
• v.21 no.1
• /
• pp.13-23
• /
• 2017

Short-term prediction of the number of passengers at the airport is very essential for the efficient and stable operation of the airport. Here, to forecast the immigration of Incheon International Airport, we perform the predictive modeling of Korean and Chinese outbound travelers comprising most of immigration. We conduct the Granger Causality test between the number of outbound travelers and related search trend data to confirm the correlation. It is found that the forecasting with both "outbound travelers" and "search term trends" data outperforms the one only with "outbound travelers" data. This is because search activities are done before doing something and this study confirms that search trend data inherently possess the potential for prediction.

• Journal of Korea Port Economic Association
• /
• v.34 no.4
• /
• pp.125-140
• /
• 2018

This study uses daily price data on three major types of crude oil (Brent, Dubai, and WTI) and BDI from January 2, 2009 to June 29, 2018, to compare the relationship between crude oil prices and BDI for rate of change and volatility. Unlike previous studies, the correlation between BDI and crude oil prices was analyzed both the rate of change and variability, VARs, Granger Causality Test, and the GARCH and DCC models were employed. The correlation analysis, indicated that the crude oil price change rate and volatility affect the BDI change rate and that BDI volatility affects the crude oil price change rate and volatility. The relationship between oil prices and BDI is identified, but their correlation is low, which is likely a result of lower dependence on crude oil as demand for natural gas increases worldwide and demand for renewable energy decreases. These trends could result in lower correlations over time. Therefore, focusing on the changing demand for raw materials in future investments in international shipping(real economy) and oil markets and macroeconomic analysis is necessary.

• Proceedings of the Korea Water Resources Association Conference
• /
• 2023.05a
• /
• pp.163-163
• /
• 2023

Flooding has become an increasing event which is one of the major natural disasters responsible for direct economic damage in South Korea. Driven by climate change, precipitation extremes play significant role on the flood damage and its further increase is expected to exacerbate the socioeconomic impact in the country. However, the empirical evidence associating changes in precipitation extremes to the historical flood damage is limited. Thus, there is a need to assess the causal relationship between changes in precipitation extremes and flood damage, especially in agricultural region like Chungcheong region in South Korea. The spatial and temporal changes of precipitation extremes from 10 synoptic stations based on daily precipitation data were analyzed using the ClimPACT2 tool and Mann-Kendall test. The four precipitation extreme indices consisting of consecutive wet days (CWD), number of very heavy precipitation wet days (R30 mm), maximum 1-day precipitation amount (Rx1day), and simple daily precipitation intensity (SDII), which represent changes in intensity, frequency, and duration, respectively, and the time series data on flooded area and flood damage from 1985 to 2020 were used to investigate the causal relationship in the ARDL-ECM framework and pairwise Granger causality analysis. The trend results showed that majority of the precipitation indices indicated positive trends, however, CWD showed no significant changes. ARDL-ECM framework showed that there was a long-run relationship among the variables. Further analysis on the empirical results showed that flooded area and Rx1day have significant positive impacts on the flood damage in both short and long-runs while R30 mm only indicated significant positive impact in the short-run, both in the current period, which implies that an increase in flooded area, Rx1day, and R30 mm will cause an increase in the flood damage. The pairwise Granger analysis showed unidirectional causality from the flooded area, R30 mm, Rx1day, and SDII to flood damage. Thus, these precipitation indices could be useful as indicators of pluvial flood damage in Chungcheong region of South Korea.

• International Area Studies Review
• /
• v.15 no.1
• /
• pp.107-133
• /
• 2011

This paper aims to analyze the causal relationships between agricultural exports and economic growth in the U.S. economy by 50 states. Using the annual data from 1973 to 2007, the theoretical methodologies based on the export-led growth (ELG) model under the static model, the impulse response function (IRF) and forecast error variation decomposition (FEVD) under the vector autoregressive (VAR) model, and the Granger causality test. The results show the causal relationship between agricultural exports and economic growth at the states' level. Especially, the ELG hypothesis is strongly supported in the case of 16 states (HI, ID, KS, MD, MI, MN, NJ, NC, ND, OK, OR, RI, SD, TX, WA, and WI) and is also weakly supported in the case of 31 states. Therefore, the agricultural exports are important factor of developing in the U.S. economy, and furthermore some states (located in coastal area and breadbasket) indicate the strong evidence for agricultural exports-led growth.

• Asia-Pacific Journal of Business
• /
• v.15 no.2
• /
• pp.143-157
• /
• 2024

Purpose - This paper aims to analyze the relationship and correlation between the stock markets of Korea, the US, China, and Japan before and after the outbreak of COVID-19. Design/methodology/approach - This study conducted an empirical analysis using the stock market data from January 2016 to June 2023 for the representative market indices of Korea, the US, China, and Japan. The analysis employed the VAR model, Granger causality test, impulse response function, and variance decomposition. Findings - Analyzing the relationships of these stock markets before and after the outbreak of COVID-19, we obtained the following results. (i) The influence of the U.S. stock market was found to be absolute regardless of the COVID-19 period, and the rise in the U.S. stock market led to rises in other stock markets. (ii) The Chinese stock market had a significant negative impact on the U.S., Korean, and Japanese stock markets before COVID-19, but this influence disappeared after COVID-19. This suggests that the Chinese market exhibited unique characteristics different from the global market after COVID-19. (iii) Analyzing the period excluding the first quarter of 2020, when global stock market volatility was extremely high due to the spread of COVID-19, we found that the results were very similar to the analysis including the first quarter of 2020. Therefore, it is difficult to argue that the increased uncertainty during this period distorted the relationships among the stock markets of these four countries. Research implications or Originality - We anticipate that these findings will offer valuable insights for both individual and institutional investors, aiding them in portfolio diversification and risk mitigation.

• Journal of Service Research and Studies
• /
• v.6 no.3
• /
• pp.41-54
• /
• 2016

We examine the information transmission between the business survey index(BSI) based on the returns data offered by Federation of Korean Industries and KOSPI Index based on the returns data offered by Korea Bank. The data includes monthly return data from January 1998 to September 2015. The results of the analysis are as follows. Firstly, results of Granger Causality test suggests the existence of mutual causality KOSPI Index precede and have explanatory power BSI. Secondly, the results of impulse response function suggest that BSI Index show immediate response to KOSPI Index and are influenced by till time 4 From time 2 the impact gradually disappears. Also KOSPI Index show immediate response to BSI and are influenced by till time 4 From time 2 the impact gradually disappears. Lastly, the variance decomposition analysis showed a high influence of the KOSPI Index on the BSI and significant influence of the BSI on the KOSPI Index. This implies that returns on the KOSPI Index have a significant influence over returns on the BSI. The study is a further extension of existing studies on information transmission mechanism between the BSI and KOSPI. Finally, our results can be used as a guide by the Korea Bank and Republic of Korea and as well as Federation of Korean Industries.

• East Asian Economic Review
• /
• v.20 no.1
• /
• pp.37-65
• /
• 2016

This research intends to investigate the progress made in East Asian bond market integration thus far. Price-based measures (AAD indicator and beta-convergence measure), quantity-based measures and econometric techniques (co-integration test, error correction model based Granger causality test) are employed in the analysis. Even though East Asian government bond markets have become more integrated since 2001, the differentials among the markets still remain significantly high. The bond market integration process seems slow. The convergence of bond markets sped up in 2003 and after the 2008 world financial crisis, implying the important role of government policies in integrating the regional bond markets. East Asian bond market integration may need more government-directed measures.

• Asian Journal of Business Environment
• /
• v.9 no.2
• /
• pp.27-34
• /
• 2019

Purpose - From the advanced path of development and current situation, the development of enterprises plays a tremendous role in promoting national economic growth and raising the overall national strength. Therefore, this paper aims at examining the mutual effect between small & medium enterprises and economic growth. Research design, data, and methodology - In order to address the operating mutual effect between the small & medium enterprises and economic growth more clearly, this paper sets Alibaba Group and Hangzhou as an example. Meanwhile, the annual data from 2000 to 2017 will be employed, and an empirical analysis will be performed under the vector error correction model. Results - The findings display that the total revenue of Alibaba Group has a positive effect on economic growth in city of Hangzhou. However, the Granger Causality test implies that there is only a unidirectional causality between total revenue of Alibaba Group and economic growth in Hangzhou. More specifically, 1% increase in total revenue of Alibaba Group can result in 0.272% in economic growth of Hangzhou in the long run. Conclusions - In summary, for the long run, the local governments should promulgate a series of policies to assist the small & medium enterprises like Alibaba Group to improve the local economic growth as seen in the city of Hangzhou.