• Title/Summary/Keyword: level vector autoregression

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Causal Analysis between the Korean and the U.S. Monthly Business Conditions (한미 월간 경기동향의 선행성 분석)

  • Kim, Tae-Ho
    • The Korean Journal of Applied Statistics
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    • v.22 no.1
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    • pp.17-28
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    • 2009
  • This study attempts to perform the statistical test for the causality between the Korean and the U.S. business conditions in association with the lead-lag relationship between the domestic stock price and the business condition. Their causal relationships are clearly identified after the outbreak of the IMF financial crisis. The vector autoregression for the corresponding period appears to reflect the strong interrelationships between the market variables and the dependency of the domestic business conditions on the U.S. market. The estimation results validate the leading effect of the stock price and the U.S. business behavior.

East Asian five stock market linkages (아시아 주식수익률의 동조화에 대한 연구)

  • Jung, Heon-Yong
    • Management & Information Systems Review
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    • v.27
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    • pp.131-147
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    • 2008
  • The study examines common component existing in five Asian countries from 1991 to 2007. To do this, the daily stock market indices of Korea, Malaysia, Thailand, Indonesia, and the Philippines were used. Using a Vector Autoregressive Model this paper analyzes causal relations and dynamic interactions between five Asian stock markets. The findings in this study indicate that level of five Asian stock markets' stock return linkages are low. First, from the statistics for pair-wise Granger causality tests, I find Granger-causal relationship between Korea and Indonesia and between Malaysia and and Indonesia. Second, from the results of response function and the statistics of variance decomposition, I find that week shocks to Korean stock market return on Malaysia, Indonesia, Thailand, and the Philippines stock market returns. The results indicate increased Asian stock market linkages but the level is very low. This implies that the benefits of diversification within the five Asian stock markets are still existed.

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The Impact of the Regional Comprehensive Economic Partnership (RCEP) on Intra-Industry Trade: An Empirical Analysis Using a Panel Vector Autoregressive Model

  • Guofeng Zhao;Cheol-Ju Mun
    • Journal of Korea Trade
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    • v.27 no.3
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    • pp.103-118
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    • 2023
  • Purpose - This study aims to examine the dynamic relationship between the variables impacted by the Regional Comprehensive Economic Partnership (RCEP) and the level of intra-industry trade among member states, with the ultimate objective of deducing the short- and long-term effects of RCEP on trade. Design/methodology - This study focuses on tariffs, GDP growth rates, and the proportion of regional FDI to total FDI as research variables, and employs a panel vector autoregression model and GMM-style estimator to investigate the dynamic relationship between RCEP and intra-industry trade among member countries. Findings - The study finds that the level of intra-industry trade between member states is positively impacted by both tariffs and intra-regional FDI. The impulse response graph shows that tariffs and FDI within the region can promote intra-industry trade among member countries, with a quick response. However, the contribution rates of tariffs and intra-regional FDI are not particularly high at approximately 1.5% and 1.4%, respectively. In contrast, the contribution rate of GDP growth can reach around 8.5%. This implies that the influence of economic growth rate on intra-regional trade in industries is not only long-term but also more powerful than that of tariffs and intra-regional FDI. Originality/value - The originality of this study lies in providing a new approach to investigating the potential impact of RCEP while avoiding the limitations associated with the GTAP model. Additionally, this study addresses existing gaps within the research, further contributing to the research merit of the study.

The Relationship between Foreign Direct Investment and Local Economic Growth: A Case Study of Binh Dinh Province, Vietnam

  • LE, Bao;NGO, Thi Thanh Thuy;NGUYEN, Ngoc Tien;NGUYEN, Duy Thuc
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.4
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    • pp.33-42
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    • 2021
  • This study aims to investigate the relationship between foreign direct investment (FDI) and economic growth at the provincial level by using time-series data in Binh Dinh from 1997 to 2019. We applied the quantitative approaches Vector Autoregression (VAR) and Autoregressive Distributed Lags (ARDL) in the model, which includes economic growth, real foreign direct investment capital, ratio of trained workers, and infrastructure. The results show that all these variables are stationary at the first difference. In ARDL analysis, we found that the economic growth positively affects FDI attraction. However, there is no evidence of the effect of FDI on economic growth in the condition of low capital implemented. Moreover, findings also show that the impact of FDI on economic growth is influenced by two factors: infrastructure and human capital. The lack of human capital, which is trained personnel and infrastructure, is the main barrier hindering and inhibiting FDI's contribution to local economic growth. In order to improve the efficiency of FDI on economic growth in the future, it is suggested that the Binh Dinh government should have proper policies in terms of the infrastructure, the human capital investment. They would allow Binh Dinh to enhance the capital absorptive capacity and capital efficiency.

Exchange Rate Volatility and FDI Response during the Financial Crisis: Empirical Evidence from Vietnam

  • HUONG, Tram Thi Xuan;NGUYEN, My-Linh Thi;LIEN, Nguyen Thi Kim
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.3
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    • pp.119-126
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    • 2021
  • This study is to examine the foreign direct investment (FDI) response to real effective exchange rate volatility in Vietnam by using the vector autoregression model. The research data are quarterly frequency data in the period from 2004:Q1 to 2019:Q2. The data on real effective exchange rate were collected from the statistics of Bruegel (Europe) and FDI data were collected from the International Financial Statistics. The quantitative study was conducted with two steps: (1) measuring exchange rate volatility by the GARCH(1,1) method; and (2) examining the impact of exchange rate volatility on FDI in the context of the global financial crisis. The estimation results show that FDI responded significantly to real exchange rate volatility with the lag of 3 periods at the 5% significance level. The FDI response increased after the exchange rate volatility with the lag of 3 periods, and the impact extended to the lag of 6 periods, and then gradually stabilized. The research findings indicate that FDI in Vietnam responds positively and significantly to exchange rate volatility with the lag of 3 periods. Simultaneously, the negative impact of the global financial crisis in 2008 with the lag of 2 periods leads to a slight decrease in FDI inflows into Vietnam.

Microblogging Sentiment Investor, Return and Volatility in the COVID-19 Era: Indonesian Stock Exchange

  • FARISKA, Putri;NUGRAHA, Nugraha;PUTERA, Ika;ROHANDI, Mochamad Malik Akbar;FARISKA, Putri
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.3
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    • pp.61-67
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    • 2021
  • The covid-19 pandemic scenario caused the most extensive economic shocks the world has experienced in decades. Maintaining financial performance and economic stability is essential during the pandemic period. In these conditions, where movement is severely restricted, media consumption is considered to be increasing. The social media platform is one of the media online used by the public as a source of information and also expressing their sentiment, including individual investors in the capital market as social media users. Twitter is one of the social media microblogging platforms used by individual investors to share their opinion and get information. This study aims to determine whether microblogging sentiment investors can predict the capital market during pandemics. To analyze microblogging sentiment investors, we classified sentiment using the phyton text mining algorithm and Naïve Bayesian text classification into level positive, negative, and neutral from November 2019 to November 2020. This study was on 68 listed companies on the Indonesia stock exchange. A Vector Autoregression and Impulse Response is applied to capture short and long-term impacts along with a causal relationship. We found that microblogging sentiment investor has a significant impact on stock returns and volatility and vice-versa. Also, the response due to shocks is convergent, and microblogging investors in Indonesia are categorized as a "news-watcher" investor.

A development of stochastic simulation model based on vector autoregressive model (VAR) for groundwater and river water stages (벡터자기회귀(VAR) 모형을 이용한 지하수위와 하천수위의 추계학적 모의기법 개발)

  • Kwon, Yoon Jeong;Won, Chang-Hee;Choi, Byoung-Han;Kwon, Hyun-Han
    • Journal of Korea Water Resources Association
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    • v.55 no.12
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    • pp.1137-1147
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    • 2022
  • River and groundwater stages are the main elements in the hydrologic cycle. They are spatially correlated and can be used to evaluate hydrological and agricultural drought. Stochastic simulation is often performed independently on hydrological variables that are spatiotemporally correlated. In this setting, interdependency across mutual variables may not be maintained. This study proposes the Bayesian vector autoregression model (VAR) to capture the interdependency between multiple variables over time. VAR models systematically consider the lagged stages of each variable and the lagged values of the other variables. Further, an autoregressive model (AR) was built and compared with the VAR model. It was confirmed that the VAR model was more effective in reproducing observed interdependency (or cross-correlation) between river and ground stages, while the AR generally underestimated that of the observed.

A Study on the Effect of Chonsei Price Increase on the Index of Financial Industry (전세가격상승이 금융산업 생산지수에 미치는 영향에 관한 연구)

  • Jo, I-Un;Kim, Bo-Young
    • The Journal of the Korea Contents Association
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    • v.15 no.10
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    • pp.457-467
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    • 2015
  • Despite the recent phenomena of Chonsei price increase, low interest rate and low growth, the indexes of financial and insurance industry production showed the results contrary to the common belief that the financial industry is sensitive to such financial crises. This is because the index of financial industry has continuously maintained a certain level of increase as opposed to the index of all industry production. Thus, this study aimed to analyze the dynamic correlation between the index of financial industry production and Chonsei price increase. A vector autoregression (VAR) model, which doesn't have a cointegrating relationship, was used to define the Chonsei price index and the indexes of all industry production and financial and insurance industry, which are macro economic variables, and describe the data. The results of the analysis on the time series data of 183 months from January 2000 to May 2015 showed that Chonsei price increase was not directly derived from the index of financial industry, but the finance industrial index affected Chonsei price increase.

The Effect of Foreign Bond Yield Shock on Corporate Bond Credit Spread: Evidence form Korean Market (해외금리 충격과 회사채 신용위험의 관계: 국내시장 분석)

  • Song, HyuckJun;Lee, Jong-Ryong
    • Journal of Service Research and Studies
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    • v.7 no.4
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    • pp.139-150
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    • 2017
  • Open economy tightly works with foreign economy. This paper investigates the effect of the shock of foreign bond yield on the credit spreads of domestic corporate bonds in Korea. Foreign bond is referred to as US treasury bond. Credit spreads are defined with the difference between log yields of domestic corporate bonds and log yield of Korea treasury bond. With the data of monthly three-year AA- and BBB- corporate bond yields- ratings, monthly three-year Korean treasury bond yields, monthly US dollar foreign exchange rates, and monthly three-year US Treasury bond yields during the period from October 2000 to September 2014 including global financial crisis period, the paper documents the results as follow. First of all, the yield of Korean treasury and the credit spreads are very sensitive to the increase in the level and the volatility of the yield of the US treasury bond. Changes in the level and the volatility little affect the change of the exchange rate. Second, the change in the level and the volatility negatively affect the level of Korean treasury bond yields but lead to the increase in the level of Korean treasury bond yields at the same time. Third, there exist time lags of the increases of credit spreads by the increase in the level and the volatility. These imply that credit spreads and bond yields are very sensitive to the change in the yields of foreign bonds such as US treasury bond.