• 아태비즈니스연구
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• 제7권1호
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• pp.1-10
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• 2016

This study attempts to investigate the effects of different types of debts on economic growth in Bangladesh using time series data spanning from 2000 to 2015. In this study, the RDL model has been applied to determine the long run relationship among the selected variables. The result of the ARDL model shows that there exists a long term relationship between economic growth and the debt variables. It was evident from the findings that there exists bidirectional causality between public sector external debt and economic growth. Causality between private external debt and economic growth has been found to be insignificant. However, causality between domestic debt and economic growth showed a unidirectional causality from domestic debt to economic growth and not vice versa. Causality tests suggest that impact of domestic debt on economic growth is more effective compared to external debts.

• 경제분석
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• 제27권4호
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• pp.1-42
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• 2021

우리나라 소비자물가상승률에 대한 예측은 한국은행의 물가안정목표제 운용, 채권시장 참가자의 만기 포트폴리오 최적화, 부동산 시장 및 민간의 소비와 투자 등 경제 전반에 지대한 영향을 미친다. 본 연구는 향후 3년간 우리나라 소비자물가상승률 예측결과를 제시한다. 이를 위해 우선 자기회귀시차(Autoregressive Distributed Lag, ADL) 모형, AR 모형, 소규모 벡터자기회귀(VAR) 모형, 대규모 VAR 모형의 표본외 예측력을 기준으로 모형선택을 실시한다. 물가상승률에는 다수의 잠재적인 예측변수가 존재하기 때문에 12개의 거시변수를 대상으로 ADL 모형에 베이지안 변수선택기법을 도입하고, 예측력 향상을 위한 정밀한 튜닝과정을 고안하고 적용하였다. VAR 모형에는 미네소타 사전분포를 설정하여 차원의 저주 문제를 극복하고자 하였다. 최근 5년을 대상으로 한 장단기 표본외 예측결과, ADL 모형이 점예측과 분포예측 모두에서 여타 경쟁모형에 비해 전반적으로 우월하였다. 예측조합을 통한 예측결과, 우리나라 소비자물가상승률이 2022년 하반기까지는 현재 비슷한 2% 내외의 수준을 유지할 것으로 보이며, 2023년 상반기부터는 1% 내외로 하락할 것으로 전망된다. 80% 신용구간은 예측치의 대략 ±1%p이다.

• The Journal of Asian Finance, Economics and Business
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• 제9권10호
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• pp.49-59
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• 2022

This paper examined the impact of real exchange rate volatility on trade balance in Malaysia by using quarterly data from year 2000 until 2019. Generalized Autoregressive Heteroscedasticity (GARCH) model was used to extract the volatility component of real exchange rate before examining its impact on trade balance. Furthermore, Autoregressive Distributed Lag (ARDL) model was used to investigate the long-run relationship and short-run dynamic between trade balance, money supply, national income and volatility of exchange rate. Empirical results show the existence of co-movement between variables under study in the long-run. However, the results also suggest that volatility of real exchange rate does not significantly affect trade balance neither in the long-run nor short-run. The risk which is associated in the movement of exchange rate do not influence trader's behaviour toward Malaysia exports and imports. Thus, it should be note that any depreciation or appreciation in Malaysian Ringgit do not have an impact towards trade balance either it is being further improved or deteriorates. Hence, exchange rate volatility may not be too concern for policymakers. This may be partially due to manage floating exchange rate regime that has been adopted by Malaysia eventually eliminated the element of risk in the currency market.

• The Journal of Asian Finance, Economics and Business
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• 제3권2호
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• pp.5-11
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• 2016

This study investigates the impact of Malaysia's capital market and other key determinants on Economic Growth from the period of 1988 to 2012. The key determinants studied are foreign direct investment and real interest rate. This study also examines the long run and short run relationship between the economic growth and capital market, foreign direct investment, and real interest rate by using bound testing cointegration of Autoregressive Distributed Lag (ARDL) and Error Correction Model (ECM) version of ARDL model. The empirical results of the study suggest that there is long- run cointegration among the capital market, foreign direct investment, real Interest rate and economic growth. The result also suggests that capital market and real interest rate have positive impact on economic growth in the short run and long run. Foreign direct investment does not show positive impact on economic growth in the short run but it does in the long run.

• Journal of Information Processing Systems
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• 제17권6호
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• pp.1044-1056
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• 2021

Globalization has integrated the world through interaction among countries and people with the help of information and telecommunication technology (ICT). The rapid mode of globalization has put a new life in ICT and economic sector. The key focus of this study is to examine the nexus among the globalization, ICT and economic growth. This study uses autoregressive distributed lag model (ARDL), vector error correction model (VECM) and econometric method spanning from 1990 to 2015. The empirical result highlights that the globalization stimulates economic growth of a country. In addition, both the internet penetration and the mobile phone usage contribute to the economic growth. Lastly, this article contributes important policy lessons on strengthening the economy by utilizing ICT with the rapid globalization.

• 국제지역연구
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• 제20권2호
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• pp.47-62
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• 2016

본 논문은 마크업방정식을 설정하여 8개 제조산업의 산업별 마크업을 추정한 다음, 자기회귀시차모형을 추정하여 마크업의 요소가격탄력도를 산업별로 추정하였다. 또한 산업의 특성을 반영하는 산업의 자본집약도와 수입중간재비중을 고려하여 생산요소가격이 마크업을 결정하는 중요 변수임을 밝히고 있다. 분석결과 수입중간재비중이 높은 기계 전자 운송, 화학제품 그리고 금속제품산업에 있어서 마크업의 수입물가지수탄력도는 각각 -1.025, -0.176, -0.260으로 추정되었으며 자본집약적인 산업인 화학제품, 금속제품 그리고 기계 전자 운송의 경우, 이자율탄력도는 각각 -0.165, -0.147 그리고 -0.210으로 나타났다. 따라서 마크업의 주요 결정요소는 생산요소가격 그리고 산업의 특성을 반영하는 자본집약도와 해외중간재 비중이라 할 수 있다. 분석결과는 산업의 자본집약도가 클수록 그리고 해외중간재 비중이 큰 산업일수록 이자율과 수입물가지수의 변동은 산업별 마크업을 결정하는데 있어서 더욱 큰 영향을 주었음을 밝히고 있다.

• 유통과학연구
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• 제20권4호
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• pp.77-83
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• 2022

Purpose: This study aims to find the impact of international trade cooperation and distribution on foreign direct investment (FDI). The study also tests the impact of lag variables of trade cooperation and distribution on FDI in the future. Research design, data, and methodology: Autoregressive Distributed Lag model is applied to analyze the impact of chosen variables such as total trade (TRADE), trade openness (OPEN), the exchange rate (EXR), inflation (INF), and gross domestic growth (GDP) on FDI. Quarterly data is collected from Vietnam General Statistic Office, Vietnam General Department of Customs, International Monetary Fund, and The World Bank from 2006 to 2020. Stata 14 software is used to analyze the regression and test variables. Results: The findings indicate that TRADE, OPEN, INF, GDP, and their lags affect both positively and negatively on FDI in different periods. While OPEN still expresses an unclear impact on FDI. Moreover, this study proves that the FDI of a nation is influenced by international cooperation. Conclusions: This study indicates the importance of international trade cooperation and distribution in not only attracting foreign investment sources but also developing the economy. Findings are necessary bases for governments or authorities in signing international trade agreements in the future.

• Journal of Information Technology Applications and Management
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• 제29권4호
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• pp.17-33
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• 2022

This study measures the internal and external competitiveness of 35 OECD countries in the insurance industry. We analyze whether variables related to the Fourth Industrial Revolution affect international competitiveness by applying a nonlinear autoregressive distributed lag model. As a result, the competitiveness of life insurance foreign companies in internal is showing positive responses in high income inequality countries. In addition, insurance companies in countries with low income inequality have shown high performance in external. The non-life insurance industry is less sensitive to shocks than life insurance. This is because non-life insurance is a more dangerous industry than life insurance and there are many restrictions on policies and regulations. The reason is that non-life insurance is a more dangerous industry than life insurance and there are many restrictions on policies and regulations.

• 유통과학연구
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• 제11권4호
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• pp.81-88
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• 2013

Purpose - This paper analyzes the influence of the RMB internationalization on the KRW/dollar exchange rate using an autoregressive distributed lag model. Comparing the parameter estimators from the sample period before and after the global financial crisis, we found that the RMB/dollar exchange rate has increasingly become more influential on the KRW/dollar exchange rate. Moreover, for the past several years, the Chinese government has actively utilized the financial service FTA negotiation as a measure for the RMB internationalization. This paper simultaneously considers RMB internationalization and financial service negotiations in the Korean-Chinese FTA. The purpose of this paper is to explicitly suggest a direction for the financial service negotiations in the Korean-Chinese FTA considering the effects of RMB internationalization. Research design, data, and methodology - The research plan of this paper has two parts. First, for an empirical study, this paper uses the daily exchange rate of the U.S. dollar against the currencies of the ASEAN5, Taiwan,and Korea. By using an autoregressive distributed lag model, this paper studies the influence of the change in the RMB/dollar exchange rate on changes in the local currency/dollar exchange rate in seven economies neighboring China. Our sample periods are 06/2005 - 07/2008 and 06/2010 -02/2013. During these periods, China was under the multi-currency basket system. We exempted the period of 08/2008 - 05/2010 from the analysis because there was nearly no RMB/dollar exchange rate fluctuation during those months. Second, after analyzing the recent financial service liberalizations and deregulations in China, we recommend a direction for the financial service negotiations in the Korean-Chinese FTA. In the past several years,the main Chinese financial policy agenda has surrounded the RMB internationalization. Therefore, it is crucial to understand this in the search for strategies for the financial service negotiations in the Korean-Chinese FTA. This paper employs an existing literature survey and examines the FTA protocols in its research methodology. Results and Conclusions - After the global financial crisis, the Chinese government wanted to break away from the dollar influence and pursued independent RMB internationalization in order to continue the growth and stability of its economy. Hence, every neighboring economy of China has been strategically impacted by RMB internationalization. Nevertheless, there is little empirical study on the influence of RMB internationalization on the KRW/dollar exchange rate. This paper is one of the few studies to analyze this problem comprehensively. By using a relatively simple estimation model, we can confirm that the coefficient of the RMB/dollar exchange rate has become more significant, except in the case of Indonesia. Although Korea is not under the multi-currency basket system but under the weakly controlled floating exchange rate system, its coefficient appears as large as that of the ASEAN5. This is the basis of the currency cooperation that has grown from the expansion of trade between the two countries. These empirical results suggest that the Korean government should specifically consider the RMB internationalization in the Korean-Chinese FTA negotiations.

• The Journal of Asian Finance, Economics and Business
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• 제8권10호
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• pp.229-238
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• 2021

The article applies the ECM - ARDL model to examine the relationship between economic indicators and the existence of the disease in the long run of 10 ASEAN countries from 2000 to 2019. There are two models: The first model investigates the impact of GDP per capita, net inflow FDI, unemployment rate, and inflation rate on the proportion of export to GDP of ASEAN countries, the second model is similar to the first one but adds one more variable to the independent variable list - 'the variable for disease'. The results prove the long-run effect of GDP per capita, FDI, unemployment and inflation rate on export of the selected countries, though individual country shows differences in the sign and magnitude of these impacts. Surprisingly, the number of people suffering from disease does not affect the export of all selected countries as expected. The results of the two models also indicate that the disequilibrium in the short run converges to the equilibrium in the long run with a high proportion, especially in the case of Cambodia and the Philippines, with the rate of 95.65% and 151.94%, respectively. The findings can be useful for policymakers in promulgating efficient policies to enhance the trading activities of the selected countries.