• Proceedings of the Korean Institute of Navigation and Port Research Conference
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• 2023.05a
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• pp.126-128
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• 2023

선박 체선 및 화물 적체로 인한 문제로 정박지 내 선박 이용빈도가 높아져 인근 도시의 대기오염에 영향을 미칠 수 있다. 이에 본 연구에서는 부산 북항 O-2 정박지와 인근 도시의 대기오염물질 간 인과관계를 분석하였다.

• Journal of the Economic Geographical Society of Korea
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• v.13 no.3
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• pp.297-311
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• 2010

The purpose of this study is to analyze the causality among GRDP, patent, investment of R &D, and researcher among 16 Metropolitan cities and provinces in Korea. Using the annual data ranged from 1998 to 2008, the causality test for time-series data such as unit roots test and Granger causality test were performed. We estimate the Panel-Var of the four variables to find out the various Granger causal relations for two groups which are classified by the patent productivity. The panel data causality results reveal that there are bidirectional causality relations among four variables for the more patent-productivity group. The patent has bi-directional effects on GRDP and R&D. The patent cause GRDP and vice versa, patent cause R&D and vice versa. Patent not only has strong direct impact on GRDP and R&D but also has affected by the increase of GRDP and R&D through the interactive feedback mechanism. However, the causality patterns are somewhat different between the more patent-productive region and the less patent-productive region. There exists one directional causality between the R&D and GRDP for the less patent-productivity group. Such result may imply that the type of regional innovation policy should be differentiated between two groups. Regional economic policy efforts should be placed on increasing the knowledge productivity and on strengthening the regional competitiveness through the regional innovative infrastructure.

• Environmental and Resource Economics Review
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• v.15 no.3
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• pp.479-504
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• 2006

This paper analyzes a price discovery process for international crude oils including the WTI, Brent and Dubai. Error correction model is employed considering non-stationarity property of crude oil price and the contemporaneous causality is constructed by graph theory to analyze the short-term causality. The empirical analysis for January 4., 1999 to July 15., 2005 reveals that the Brent price interconnects between the WTI price and the Dubai price. This result implies the substantial influence of the Brent price as a marker oil.

• Proceedings of the Korea Information Processing Society Conference
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• 2022.05a
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• pp.370-373
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• 2022

본 연구에서는 전이 엔트로피 개념을 활용하여 주요 상품 선물의 하방 리스크 지수의 정보 흐름을 바탕으로 한 인과관계 네트워크를 구성하였다. 그리고 구성된 네트워크를 활용하여 금융 시장을 분석하였으며, 또한 정보 흐름의 존재 여부를 바탕으로 상품 선물의 하방 리스크 지수의 예측력이 개선될 수 있는지 확인하고자 하였다. 이를 위하여 정보 불확실성의 감소량을 측정하는 전이 엔트로피를 인과관계의 측정 지표로 상정하였으며, 전이 엔트로피 측정 시 발생할 수 있는 유한크기효과(finite size effect)를 조정하는 데 있어서 효과적인 지표인 효율적 전이 엔트로피를 활용하여 정보 흐름 네트워크를 구성하였으며 이를 이용하여 금융 지수 간의 인과관계를 분석하고 EDaR 의 등락 예측에 활용하였다. 그 결과, 금융 시장 지수를 효율적 전이 엔트로피를 이용한 인과관계 네트워크를 활용하여 금융 시장의 복잡계 네트워크 분석이 가능함을 확인하였고, 구성된 네트워크를 활용하여 국내 금융 시장 등락 예측에 있어 더 적은 데이터 열을 활용하여 거의 유사한 예측 결과를 냄으로써 상품 선물 시장 관련 예측의 데이터 열 선택에 활용할 수 있음을 확인하였다.

• Environmental and Resource Economics Review
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• v.16 no.2
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• pp.213-237
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• 2007

Discussions on regionalization of the world crude oil markets have provided important implications for the establishment of national energy policies. In particular, due to arbitrage trading, if these markets are regionalized, Korea who imports approximately 80% of the annual oil consumption from a single region may be faced with a crucial problem. Therefore, in this study, we analyzed regionalization of the world crude oil markets using causality analysis as well as cointegration method to consider temporal relationship and time lags. To analyze regionalization, we chose Dubai price for the Middle East market, Brent for the European, WTI for the U.S., and Tapis for the East Asian. For the case that long-run equilibrium existed between market prices, we used vector error correction model to analyze causal relationship, and for the case that equilibrium did not exist, we used Hsiao (1981)'s framework that can consider asymmetric time lags in the model for causality analysis. By the results of cointegration analysis, there did not exist long-run equilibrium among Dubai price and the other prices. However, we found the causal relationship among Dubai price and the other prices with one to four weeks time lags. Therefore, in effect, we could conclude that the world crude oil markets are unified supporting Adelman (1984)'s hypothesis.

• The Korean Journal of Applied Statistics
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• v.17 no.2
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• pp.239-252
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• 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 Area Studies Review
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• v.12 no.3
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• pp.449-465
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• 2008

This paper aims to analyze the causal relationship between exports and regional economic growth based on the provincial data over the period from 1952 to 2004. To reflect the regional and chronical characteristics, this paper divides China into three regions; Eastern, Central and Western regions, and also the whole period into two sub-periods; before and after 1979 when the Open-door policy(ODP) was initiated and applies Granger causality analysis. The Granger causality tests showed that exports Granger cause economic growth in the Eastern region, but not in the Central and Western regions, as a whole. When the period is divided, in the Eastern region, causal relation between the two variables was not found before the Open-door policy. For the second period, however it turns out that exports cause the region's economic growth. This result is consent with the fact that the region has been a main beneficiary of the policy. For the Central region, the tests showed no causality in the pre-ODP period, but significant bidirectional causality in the post-ODP period. Meanwhile, in the Western region, exports turned out causing economic growth significantly before the ODP, while economic growth appeared to causing trade after the ODP.

• Korean Journal of Logic
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• v.22 no.1
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• pp.183-209
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• 2019

In this paper, I first examine Reiss'(2005) arguments for the causal instrumental variable. Second, I argue that the conditions for causal transitivity I consider meet what the causal instrumental variables and the interveners of the manipulation theory of causation are intended to hold. Reiss shows that two conditions for instrumental variables are not sufficient for causal significance of independent variables for dependent variables. Reiss articulates and reformulates the conditions for instrumental variables in terms of the conditions on causality, while naming his instrumental variables as causal instrumental variables. Reiss argues that the causal instrumental variables are similar to the interveners of the manipulation, or intervention theory of causation. He further argues that the causal instrumental variables do a better job the interveners do. I argue that the conditions for causal transitivity I consider meet the goal the conditions for the causal instrumental variables and the conditions for the interveners both are intended to achieve.

• Journal of Korea Port Economic Association
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• v.38 no.3
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• pp.87-104
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• 2022

Considering the complex structure and high volatility in the shipping market, it is important to investigate the connectedness amongst influencing factors. This study explores the dynamic relationship between supply-demand factors and shipping freight indices. We choose Capesize and Panamax in the bulk carrier market and use quarterly data of GDP, world fleet, BCI, and BPI from 1999 to 2021. Applying the wavelet analysis and wavelet Granger causality test, the simultaneous examination of co-movement and causality between two factors and the shipping market in both the time and frequency domains is achieved. We find that co-movement and causality vary across time and frequencies, thereby existing dynamic relationships between variables. Second, compared to multiple coherencies using demand and supply factors together, partial coherencies indicate noticeable causalities. It implies that analyzing demand and supply factors separately is essential. Finally, shipping freight indices show a high correlation with the demand factor in a good market and with the supply factor in a bad market. Generally, GDP positively leads shipping freights in the recovery phase while the world fleet negatively leads shipping freights in the downturn. The research is meaningful in that the rarely-applied wavelet analysis is adopted in the shipping market and that it gives a reasonable ground to explain the role of supply and/or demand factors in different phases of the market cycle.

• The Korean Journal of Financial Management
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• v.27 no.1
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• pp.1-30
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• 2010

This paper tested the lead-lag relationship as well as the symmetric and asymmetric volatility spillover effects between international currency futures markets and cash markets. We use five kinds of currency spot and futures markets such as British pound, Australian and Canadian dollar, Brasilian Real and won/dollar spot and futures markets. daily closing prices covering from September 15, 2003 to July 30, 2009. For this purpose we employed dynamic time series models such as the Granger causality based on VAR and time-varying MA(1)-GJR-GARCH(1, 1)-M. The main empirical results are as follows; First, according to Granger causality test, we find that the bilateral lead-lag relationship between the five countries' currency spot and futures market. The price discover effect from currency futures markets to spot market is relatively stronger than that from currency spot to futures markets. Second, based on the time varying GARCH model, we find that there is a bilateral conditional mean spillover effects between the five currency spot and futures markets. Third, we also find that there is a bilateral asymmetric volatility spillover effects between British pound, Canadian dollar, Brasilian Real and won/dollar spot and futures market. However there is a unilateral asymmetric volatility spillover effect from Australian dollar futures to cash market, not vice versa. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.