• 제목/요약/키워드: macroeconomic model

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A Test for Nonlinear Causality and Its Application to Money, Production and Prices (통화(通貨)·생산(生産)·물가(物價)의 비선형인과관계(非線型因果關係) 검정(檢定))

  • Baek, Ehung-gi
    • KDI Journal of Economic Policy
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    • 제13권4호
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    • pp.117-140
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    • 1991
  • The purpose of this paper is primarily to introduce a nonparametric statistical tool developed by Baek and Brock to detect a unidirectional causal ordering between two economic variables and apply it to interesting macroeconomic relationships among money, production and prices. It can be applied to any other causal structure, for instance, defense spending and economic performance, stock market index and market interest rates etc. A key building block of the test for nonlinear Granger causality used in this paper is the correlation. The main emphasis is put on nonlinear causal structure rather than a linear one because the conventional F-test provides high power against the linear causal relationship. Based on asymptotic normality of our test statistic, the nonlinear causality test is finally derived. Size of the test is reported for some parameters. When it is applied to a money, production and prices model, some evidences of nonlinear causality are found by the corrected size of the test. For instance, nonlinear causal relationships between production and prices are demonstrated in both directions, however, these results were ignored by the conventional F-test. A similar results between money and prices are obtained at high lag variables.

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Predicting Raw Material Price Fluctuation Using Signal Approach: Application to Non-ferrous Metals (신호접근법을 이용한 비철금속 상품가격변동 예측모형 연구)

  • Kim, Ji-Whan;Lee, Sang-Ho
    • Economic and Environmental Geology
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    • 제42권2호
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    • pp.143-152
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    • 2009
  • Recent raw material prices fluctuation has been unexpectedly high and that made Korean economic activities to be depressed. Because most raw material supply in Korea depends upon oversea imports, unexpected raw material price fluctuation affects Korean industrial economies through macroeconomic variables. So Korean government enforces some political measures such as demand management and the supply-security assurance as long-range policies, and reservation and general early warning system as short-range policies. In short-range policies, it is necessary to be expected short term fluctuation. Up to recently, there have been many researches and most of those researches use parametric methods or time series analyses. Because those methods and analyses often generate inadequate relations among variables, it is possible that some consistent variables are left out or the results are misunderstood. This study, therefore, is aim to mitigate those methodological problems and find the relatively appropriate model for economic explanation. So that, in this paper, by using non-parametric signal approach method mitigating some shortages of previous researches and forecasting properly short-range prices fluctuation of non-ferrous materials are presented empirically.

Valuation of workout firms considering characteristics of the construction industry : focused on Black·Scholes Models (건설산업의 특성을 고려한 워크아웃기업의 가치평가 : Black·Scholes 모형을 중심으로)

  • Kim, Gu-Hoi;Won, You-Ho;Lee, Joo-Hyung
    • Journal of the Korea Academia-Industrial cooperation Society
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    • 제15권8호
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    • pp.4863-4873
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    • 2014
  • The Korean construction industry has played a major role among all industries despite its relative small ratio of all. The global economic crisis, however, has adversely affected the construction industry. Therefore, the Korean government implemented a corporate restructuring process to ensure the stability of the financial market. The selection standard on workout enterprises by the government is based on two perspectives: (1) external factors, including macroeconomic indices and (2) internal factors, including financial statements of private enterprises. On the other hand, if considering the characteristics of the construction industry, a certain construction company may not be evaluated only by its financial statements. In other words, a valuation process that utilizes the financial statements only can be concluded to be irrational. Accordingly, this study aims to provide the valuation model, which embraces the characteristics of workout firms, and determines their implications. To accomplish this, each enterprise valuation was measured using DCF and Black Scholes models, and by comparing such results with their market value, each enterprise was determined to be either under or over-valued. The results of this study verified that the valuations of 2 workout companies (out of 4) showed a higher value than the market value.

Analysis on Recent Changes in the Covered Interest Rate Parity Condition (글로벌 금융위기 전후 무위험 이자율 평형조건의 동태성 변화 분석)

  • Kim, Jung Sung;Kang, Kyu Ho
    • KDI Journal of Economic Policy
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    • 제36권2호
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    • pp.103-136
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    • 2014
  • The covered interest rate parity condition (CIRP) has been widely used in open macroeconomic analysis, risk management, exchange rate forecasts, and so forth. Due to the recent global financial crises, there have been remarkable changes in the financial markets of the emerging markets. These changes possibly influenced the dynamics of the covered interest rate parity condition. In this paper, we investigate whether the CIRP dynamics has changed, and what is the nature of the regime changes. To do this, we propose and estimate multiple-state Markov regime switching models using a Bayesian MCMC method. Our estimation results indicate that the default risk or the deviation from the CIRP has been decreased after the crisis. It seems to be associated with the more active interaction between the short-term bond market and the short-term foreign exchange market than before. The tightened relation of these two financial markets is caused by the arbitrage transaction of foreign investors.

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An Analysis on Determinants that Affect the Sale Price of an Office Building in Seoul after Focusing on Strata Property Sales (서울 오피스 빌딩 매매가격 결정요인 분석 : 부분매매를 중심으로)

  • Yu, Myeong Han;Lee, Chang Moo
    • Korea Real Estate Review
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    • 제28권2호
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    • pp.7-20
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    • 2018
  • This paper has statistically analyzed the determining factors that affect office building sale prices by focusing on strata property sales through the hedonic price function. In this study, 1,171 office building transaction cases were analyzed in Seoul from 2000 to 2017. To determine the influence of various factors on office building sale prices, independent variables included factors that represented macroeconomic characteristics, locational characteristics, physical characteristics, and deal characteristics. The analysis of the strata property sales, which is a major concern in this study, showed that strata property sales enjoyed a discount of about 1.56 million won per pyeong out of the entire sales. In terms of the discount rate, strata property sales were at a 12.6% discount compared to entire property sales, so it was found that strata property sales significantly influenced office building selling price. This is due to the fact that the owner of the strata property encounters more difficulties in distributing cost than the sole proprietor in terms of property rights and the exercise of management rights. The results of this study are expected to contribute in securing transparency in transactions and risk management strategies in the future.

An Analysis on the Effect of Japanese Monetary Policy in 21C (21c 일본 통화정책 효과에 대한 분석)

  • Yoon, Hyung-Mo
    • International Area Studies Review
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    • 제20권1호
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    • pp.105-125
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    • 2016
  • The expansionary monetary policy was practiced after 2001 in Japan to treat the deflation spiral, and reduced only the nominal interest rates and domestic household demand. One of the most serious factors for this failure was the change of private sector's expectancy. This paper has studied the effect of Japanese monetary policy in 21c., with empirical research based on a renewed macroeconomic model and the VAR. The empirical analysis shows that the effect of monetary policy on the national income during 2001.01-2015.03 is weaker than that of 1985.01-1994.04. Money volume has a diminutive effect on the growth of GDP within a short term after 2001. The change in the expectations of the private sectors might have been the cause of ineffectiveness of the expansive monetary policy. Economic agents learned from the past Japanese financial crisis that an expansive monetary policy increased the inflation rate and caused the 'bubbles to burst' afterwards. The VAR analysis says that the effectiveness of monetary policy on the economic depression declined over the past 20 years and the expansion of money volume has no influence on exchange rate and net export. This means that the expansive monetary policy lost its effect on net export and national income steadily. Monetary policy makers have to recognize this fact, and to consider another anti-cycle political instrument, i.e. the fiscal policy with government debt.

Optimal Asset Allocation for National Pension Considering Cohort-Specific Internal Rates of Return (코호트별 내부수익률을 고려한 국민연금 적정 자산배분)

  • Dong-Hwa Lee;Daehwan Kim
    • Journal of the Korea Society for Simulation
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    • 제32권4호
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    • pp.69-76
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    • 2023
  • To improve the financial stability of the National Pension, an appropriate target rate of return should be established based on pension liabilities, and asset allocation policies should be formulated accordingly. The purpose of this study is to calculate the target rate of return considering the contributions of subscribers and the pension benefits, and based on this, derive an asset allocation. To do this, we utilized the internal rate of return methodology to calculate the target rate of return for each cohort. And then, we employed a Monte Carlo simulation-based re-sampling mean-variance model to derive asset allocation for each cohort that satisfy the target rate of return while minimizing risks. Our result shows that the target rate of return for each cohort ranged from 6.4% to 6.85%, and it decreased as the generations advanced due to a decrease in the income replacement rate of the National Pension. Consequently, the allocation of risky assets, such as stocks, was relatively reduced in the portfolios of future generations. This study holds significance in that it departs from the macroeconomic-based asset allocation methodology and proposes investments from an asset-liability management perspective, which considers the characteristics of subscribers' liabilities.

A Study on the Prediction Model of Stock Price Index Trend based on GA-MSVM that Simultaneously Optimizes Feature and Instance Selection (입력변수 및 학습사례 선정을 동시에 최적화하는 GA-MSVM 기반 주가지수 추세 예측 모형에 관한 연구)

  • Lee, Jong-sik;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • 제23권4호
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    • pp.147-168
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    • 2017
  • There have been many studies on accurate stock market forecasting in academia for a long time, and now there are also various forecasting models using various techniques. Recently, many attempts have been made to predict the stock index using various machine learning methods including Deep Learning. Although the fundamental analysis and the technical analysis method are used for the analysis of the traditional stock investment transaction, the technical analysis method is more useful for the application of the short-term transaction prediction or statistical and mathematical techniques. Most of the studies that have been conducted using these technical indicators have studied the model of predicting stock prices by binary classification - rising or falling - of stock market fluctuations in the future market (usually next trading day). However, it is also true that this binary classification has many unfavorable aspects in predicting trends, identifying trading signals, or signaling portfolio rebalancing. In this study, we try to predict the stock index by expanding the stock index trend (upward trend, boxed, downward trend) to the multiple classification system in the existing binary index method. In order to solve this multi-classification problem, a technique such as Multinomial Logistic Regression Analysis (MLOGIT), Multiple Discriminant Analysis (MDA) or Artificial Neural Networks (ANN) we propose an optimization model using Genetic Algorithm as a wrapper for improving the performance of this model using Multi-classification Support Vector Machines (MSVM), which has proved to be superior in prediction performance. In particular, the proposed model named GA-MSVM is designed to maximize model performance by optimizing not only the kernel function parameters of MSVM, but also the optimal selection of input variables (feature selection) as well as instance selection. In order to verify the performance of the proposed model, we applied the proposed method to the real data. The results show that the proposed method is more effective than the conventional multivariate SVM, which has been known to show the best prediction performance up to now, as well as existing artificial intelligence / data mining techniques such as MDA, MLOGIT, CBR, and it is confirmed that the prediction performance is better than this. Especially, it has been confirmed that the 'instance selection' plays a very important role in predicting the stock index trend, and it is confirmed that the improvement effect of the model is more important than other factors. To verify the usefulness of GA-MSVM, we applied it to Korea's real KOSPI200 stock index trend forecast. Our research is primarily aimed at predicting trend segments to capture signal acquisition or short-term trend transition points. The experimental data set includes technical indicators such as the price and volatility index (2004 ~ 2017) and macroeconomic data (interest rate, exchange rate, S&P 500, etc.) of KOSPI200 stock index in Korea. Using a variety of statistical methods including one-way ANOVA and stepwise MDA, 15 indicators were selected as candidate independent variables. The dependent variable, trend classification, was classified into three states: 1 (upward trend), 0 (boxed), and -1 (downward trend). 70% of the total data for each class was used for training and the remaining 30% was used for verifying. To verify the performance of the proposed model, several comparative model experiments such as MDA, MLOGIT, CBR, ANN and MSVM were conducted. MSVM has adopted the One-Against-One (OAO) approach, which is known as the most accurate approach among the various MSVM approaches. Although there are some limitations, the final experimental results demonstrate that the proposed model, GA-MSVM, performs at a significantly higher level than all comparative models.

The Impact of Changes in Market Shares among Retailing Types on the Price Index (소매업태간 시장점유율 변화가 물가에 미친 영향)

  • Moon, Youn-Hee;Choi, Sung-Ho;Choi, Ji-Ho
    • Journal of Distribution Research
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    • 제17권2호
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    • pp.93-115
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    • 2012
  • This study empirically examines the impact of changes in market shares among retailing types on the price index. The retailing type is classified into 6 groups: department store, big mart, super market, convenient store, specialty merchant, and on-line store. The market shares of retailing types are calculated by the ratio of each retailing type monthly sales to total monthly retailing sales in which total retailing sales is the sum of each retailing type sales. We employed several price indices: consumer price index (CPI), CPI for living necessaries, and fresh food price index. In addition, this study used fundamental price indices based on 25 product families as well as 42 representative products. The empirical model also included several variables in order to control for the macroeconomic effects and those variables are the exchange rate, M1, an oil price, and the industrial production index. The data is monthly time-series data spanning over the period from January 2000 to December 2010. In order to test for the stability of data series, we conducted ADF test and PP test in which the model and length of lag were determined by the relevant previous literature and based on the AIC. The empirical results indicate that changes in market shares among retailing types have impacts on the price index. Table A shows that impacts differ as to which price index to use and which product families and products to use. For department store, it lowers the price of food and non-alcoholic beverages, home appliances, fresh food, fresh and vegetables, but it keeps the price high for fresh fruit. The big mart retailing type has a positive impact on the price of food, nut has a negative effect on clothing and foot wear, non-food, and fresh fruit. For super market, it has a positive impact on food and non-alcoholic beverages, fresh food, fresh shellfishes, but increases the price of CPI for living necessaries and non-food. The specialty merchant retailing type increases the price level of CPI for living necessaries and fresh fruit. For on-line store type, it keeps the price high for CPI for living necessaries and non-food as well as fresh fruit. For the analysis based on 25 product families shows that changes in market shares among retailing types also have different effects on the price index. Table B summarizes the different results. The 42 representative product level analysis is summerized in Table C and it indicates that changes in market shares among retailing types have different effects on the price index. The study offers the theoretical and practical implication to these findings and also suggests the direction for the further analysis.

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Economic Impact of the Tariff Reform : A General Equilibrium Approach (관세율(關稅率) 조정(調整) 경제적(經濟的) 효과분석(效果分析) : 일반균형적(一般均衡的) 접근(接近))

  • Lee, Won-yong
    • KDI Journal of Economic Policy
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    • 제12권1호
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    • pp.69-91
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    • 1990
  • A major change in tariff rates was made in January 1989 in Korea. The benchmark tariff rate, which applies to about two thirds of all commodity items, was lowered to 15 percent from 20 percent. In addition, the variation in tariff rates among different types of commodities was reduced. This paper examines the economic impact of the tariff reform using a multisectoral general equilibrium model of the Korean economy which was introduced by Lee and Chang(1988), and by Lee(1988). More specifically, this paper attempts to find the changes in imports, exports, domestic production, consumption, prices, and employment in 31 different sectors of the economy induced by the reform in tariff rates. The policy simulations are made according to three different methods. First, tariff changes in industries are calculated strictly according to the change in legal tariff rates, which tend to over-estimate the size of the tariff reduction given the tariff-drawback system and tariff exemption applied to various import items. Second, tariff changes in industries are obtained by dividing the estimated tariff revenues of each industry by the estimated imports for that industry, which are often called actual tariff rates. According to the first method, the import-weighted average tariff rate is lowered from 15.2% to 10.2%, while the second method changes the average tariff rate from 6.2% to 4.2%. In the third method, the tariff-drawback system is internalized in the model. This paper reports the results of the policy simulation according to all three methods, comparing them with one another. It is argued that the second method yields the most realistic estimate of the changes in macro-economic variables, while the third method is useful in delineating the differences in impact across industries. The findings, according to the second method, show that the tariff reform induces more imports in most sectors. Garments, leather products, and wood products are those industries in which imports increase by more than 5 percent. On the other hand, imports in agricultural, mining and service sectors are least affected. Domestic production increases in all sectors except the following: leather products, non-metalic products, chemicals, paper and paper products, and wood-product industries. The increase in production and employment is largest in export industries, followed by service industries. An impact on macroeconomic variables is also simulated. The tariff reform increases nominal GNP by 0.26 percent, lowers the consumer price index by 0.49 percent, increases employment by 0.24 percent, and worsens the trade balance by 480 million US dollars, through a rise in exports of 540 million US dollars and a rise in imports of 1.02 billion US dollars.

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