• The Korean Journal of Applied Statistics
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• v.16 no.1
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• pp.87-100
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• 2003

Most of statistical data are generated by a set of dynamic, stochastic, and simultaneous relations. An important question is how to specify statistical models so that they are consistent with the dynamic feature of those data. A general hypothesis is that the lagged effect of a change in an explanatory variable is not felt all at once at a single point in time, but The impact is distributed over a number of future points in time. In other words, current control variables are determined by a function that can be reduced to a distributed lag function of past observations. It is possible to explain the relationship between variables in different points of time and to estimate the long-run impacts of a change in a variable on another if time lag series of explanatory variables are incorporated in the model specification. In this study, distributed lag structure is applied to the domestic stock market model to capture the dynamic response of the market by exogenous shocks. The Domestic market is found more responsive to the changes in foreign market factors both in the short and the long run.

• Korean Journal of Agricultural Science
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• v.38 no.2
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• pp.393-404
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• 2011

The international grain price shows dramatic change, which results in the price change of Korean processed food. Recently, Korean government and consumers started discussing about the effects of change of international grain price on the processed food. However, few studies have analyzed this effects. The goal of this paper is to analyze the effects of price change of international grain, especially wheat, soybean, and sugarcane, on the processed food price in Korea. As the results of analysis, three findings are presented: First, the size and timelag of the effects of change of international grain price on the processed food price is different due to products, Second, there is the possibility that processed food price in Korea will increase, Third, Korean government has some methods to manage the price change of processed food, even though government cannot totally control the price.