• The Korean Journal of Applied Statistics
• /
• v.17 no.2
• /
• pp.239-252
• /
• 2004

It is known that the domestic and the U.S. stock prices tend to move together as those markets are closely interrelated. In this study, cointegration and causal relationships among the four stock price indexes of KOSPI, KOSDAQ, DOWJONES and NASDAQ are carefully investigated for the period of declining stock prices in the long run. When all indexes move in a similar fashion, cointegration does not exist and the causal linkages between the domestic and the U.S. stock prices appear relatively complex. On the other hand, when the domestic and the V.S. stock prices move in a different manner, cointegration exists and the causal relationships appear relatively simple. NASDAQ is apparently found to lead the domestic stock market in both periods, which is consistent with the actual market situation when the If industry is under recession.

• International Commerce and Information Review
• /
• v.12 no.4
• /
• pp.171-192
• /
• 2010

In general, a stock index and its individual stocks are assumed to follow a random walk. A stock index is an important source of information and one that is seen by people everyday, regardless of their investment intentions. This paper examines the correlation between the KOSPI-the index that best reflects the Korean stock market and the macro - economic variables that have been found to influence the index by previous studies. The sample period considers the years after 2000 when the Korean stock market matured as restrictions on foreign investors were removed. For this purpose, a Vector Error Correction Model (VECM) and KOSPI equation with a general pacific approach were used. This paper aims at verifying the factors that determined the KOSPI after 2000 and at examining whether there was structural change in the investment environment. It also investigates changes in the factors determining the KOSPI's performance as a result of structural changes in the investment environment. The V AR (Vector Autoregressive) model including the nine variables was selected as a baseline model whose stability was tested using the unit root test. The results from the VECM and the structural changes in the investment environment can be summarized by the following Inner story points.

• Journal of KIISE
• /
• v.42 no.11
• /
• pp.1452-1458
• /
• 2015

Korean Morphological Analysis is a difficult process. Because Korean is an agglutinative language, one of the most important processes in Morphological Analysis is Morpheme Recovery. There are some methods using Heuristic rules and Pre-Analyzed Partial Words that were examined for this process. These methods have performance limits as a result of not using contextual information. In this study, we built a Korean morpheme recovery system using deep learning, and this system used word embedding for the utilization of contextual information. In '들/VV' and '듣/VV' morpheme recovery, the system showed 97.97% accuracy, a better performance than with SVM(Support Vector Machine) which showed 96.22% accuracy.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.1
• /
• pp.113-122
• /
• 2021

This study aims to investigate the effects of fiscal policy instruments on economic growth in Jordan using annual data from 1970 to 2019, by applying the VAR model (Vector Auto regression) and the Vector Error Correction Model (VECM). The study also examines the dynamic relationship among economic variables over time using the Granger casualty test, Impulse Response Function, and Variance Decomposition. The results show that not only the public expenditures have a positive effect on economic growth in Jordan, but also the tax revenues positively affect the economic growth in the short-run, and this is because of using the tax revenues to finance the government activities in Jordan. This effect becomes negative in the long run, and this is explained because the tax seems a source of distortions in the economy, The extreme taxes may cause huge distortions in the economy, and these distortions destroys the purchasing power, the aggregate demand, and supply. More governmental dependence on tax revenues is the main source of tax evasion and less efficiency. The effect of taxation will curb any prosperity in the economy. Therefore, the government should estimate the fair tax rates to generate sufficient revenues to finance the public expenditure required to enhance economic prosperity.

• Journal of Korea Trade
• /
• v.25 no.1
• /
• pp.18-33
• /
• 2021

Purpose - This paper investigates the causal relationship between logistics infrastructure development and the economic growth of Korea. Considering the industrial and economic structure of Korea, it is likely that logistics infrastructure is positively associated with the economic growth of the country. Design/methodology - The causal relationship between logistics infrastructure and economic development is estimated using Vector Autoregressive (VAR) and Vector Error Correction Model (VECM) considering long-run equilibrium between the two factors. To this end, a dataset consisting of 7 logistics infrastructure proxies and 5 economic growth indicators covering the period of 1990-2017 is used. Findings - It was found that causality, in general, runs from logistics infrastructure development to economic growth. Specifically, the results indicate that maritime transport is positively associated with the economic growth of Korea in terms of GDP and international trade. In addition, other modes of transport also have a positive impact on either the GDP or international trade of Korea. Originality/value - While existing studies in this area are based on either regional observations or a specific mode of transport, this study presents empirical evidence on causality between logistics infrastructure and the economic growth of Korea using a more comprehensive dataset. In addition, the findings in this paper can provide valuable implications for transport infrastructure development policies.

• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.1
• /
• pp.189-201
• /
• 2022

The study empirically examines the impact of monetary fundamentals along with global oil prices on the Pak-rupee exchange rate using the monthly data over 2001-2020. Employing the cointegrating vector autoregressive with exogenous variables (VARX) and vector error correction model with exogenous variables (VECMX), the study analyzes the impact of domestic monetary fundamentals while considering the foreign variables as weakly exogenous. In order to account for the structural breaks in the data, the Lagrange multiplier (LM) unit root test with two structural breaks has been used (Lee & Strazicich, 2003). The empirical results reveal that the domestic and foreign monetary variables significantly explain the exchange rate movements in Pakistan both in the long run and in the short run. The dynamic properties of the monetary model of exchange rate have been analyzed using the persistence profile analysis and generalized impulse response functions (GIRFs). The results reveal that the responses of shocks to domestic monetary fundamentals are consistent with the predictions of the monetary model of the exchange rate. Furthermore, being a net oil importer, a rise in global oil prices significantly depreciated the Pak-rupee exchange rate over the period of study. The global financial crisis (GFC) and pandemic (COVID-19) were also found to cause the Pak-rupee exchange rate depreciation.

• The Journal of Korean Institute of Communications and Information Sciences
• /
• v.32 no.3C
• /
• pp.338-347
• /
• 2007

In this paper, a weighted block adaptive channel estimation (WBA-CE) for a space-time block-coded (STBC) single-carrier transmission with a cyclic-prefix is proposed. In operation of the WBA-CE, a STBC matrix-wise block for filter input symbols is first formulated. Applying a weighted a posteriori error vector-based least-square (LS) criterion for this block, the coefficient correction terms of the WBA-CE are then computed. An approximate steady-state excess mean-square error (EMSE) of the WBA-CE for the stationary optimal coefficient is also analyzed. Simulation results show in a time-varying typical urban (TU) channel that the proposed channel estimator provides better bit-error-rate (BER) performances than conventional algorithms such as the NLMS and RLS channel estimators.

• Culinary science and hospitality research
• /
• v.23 no.2
• /
• pp.126-134
• /
• 2017

The purpose of this paper was to examine the dynamics of the price discovery function between lean hog futures and spot markets using the vector error correction model (VECM). The researcher also investigated the existence of the long-run equilibrium relationship between the lean hog futures and spot markets. Daily time series data of lean hog futures and spot observed in the Korean market during the period from 5 Jan. 2011 to 28 Dec. 2012 were analyzed. To examine the price discovery, this study employed the Gonzalo and Granger's (1995) information ratio and Hasbrock's (1995) information ratio measurement method. The significant findings of the study are summarized as follows. First, lean hog futures and spot market are significantly correlated. Secondly, the lean hog future market plays a more dominant role in price discovery than the spot market. Finally, price discovery measures based on the VECM suggested that the lean hog future market plays a more dominant role in price discovery than the lean hog spot market. This is the important systematic empirical work to find the relationship between the lean hog future and spot market.

• Journal of Korea Multimedia Society
• /
• v.5 no.1
• /
• pp.68-76
• /
• 2002

Multicast in mobile host has the problem of hast mobility, multicast decision, triangle routing, tunnel convergence, implosion of retransmission, and bandwidth waste. In particular, the bandwidth waste in radio is a definite factor that decreases transmission rate. To solve the problems, this paper proposes a new multicast transmission protocol called FIM(Forward Error Correction Integrated Multicast), which supports reliable packet recovery mechanism by integrating If Mobility Support for the host mobility, IGMP(Interned Group Management Protocol) for the group management, and DVMRP(Distance Vector Multicast Routing Protocol) for the multicast routing, and it also uses FEC and the local recovery method based on receiver. The performance measurement is performed by dividing the losses into the homogeneous independent loss, the heterogeneous independent loss, and the shared source link loss model.. The result shows that the performances improves in proportion to the size of local areal group when the size of transmission group exceeds designated size. This indicates FIM is effective in the environment where there are much of data and many receivers in the mobile host.

• Communications for Statistical Applications and Methods
• /
• v.22 no.6
• /
• pp.615-624
• /
• 2015

We consider the estimation of seasonal cointegration in the presence of conditional heteroskedasticity (CH) using a feasible generalized least squares method. We capture cointegrating relationships and time-varying volatility for long-run and short-run dynamics in the same model. This procedure can be easily implemented using common methods such as ordinary least squares and generalized least squares. The maximum likelihood (ML) estimation method is computationally difficult and may not be feasible for larger models. The simulation results indicate that the proposed method is superior to the ML method when CH exists. In order to illustrate the proposed method, an empirical example is presented to model a seasonally cointegrated times series under CH.