• International Commerce and Information Review
• /
• v.14 no.3
• /
• pp.307-322
• /
• 2012

The purpose of this paper is to examine determinants of export to the East Asia region, using panel unit root, panel cointegration framework, panel VECM (vector error correction model), panel FMOLS (fully modified OLS). Different panel unit root tests confirm that the data series are integrated processes with unit roots. When applying cointegration tests to long-run effect for aggregate panel data, a primary concern is to construct the estimators in a way that does not constrain the transitional dynamics to be similar among different countries of the panel. The regression equations are estimated by various panel cointegration estimators. The panel data causality results reveal that exchange rates has unidirectional effects on export and GDP, and there exists bidirectional causality between export and GDP. Also, the results from the panel FMOLS tests overwhelmingly reject the null hypothesis of zero coefficient. The panel cointegrating vectors show that the export has positive relationship with the GDP and ODI (overseas direct investment).

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.11
• /
• pp.41-46
• /
• 2021

The purpose of this study is to investigate the relationship between unemployment and shadow economy for 7 selected ASEAN countries using panel data from 2000-2017. This study uses a sample of 7 ASEAN countries including Cambodia, Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam covering the 2000-2017 period. The stationarity of the variables is determined by Pesaran panel unit-root tests. The Westerlund panel co-integration technique is used to examine the long-run relationship among the variables. In addition, dynamic ordinary least squares (DOLS) and fully modified ordinary least squares (FMOLS) methods are also employed. The DOLS and FMOLS results indicate that unemployment acts as an important driver for the increase in the shadow economy. In addition, the study results also reveal that GDP per capita has a negative impact on the shadow economy. Moreover, government expenditure, bank credit, and inflation are positively related to the shadow economy. The empirical results indicate that the size of the shadow economy is boosted by unemployment in the selected ASEAN economies. In addition, it is also evident that an increase of GDP per capita in the sample countries results in a lower shadow economy. Besides, government expenditure, bank credit, and inflation play a crucial role in the shadow economy.

• Journal of Korea Technology Innovation Society
• /
• v.8 no.3
• /
• pp.1225-1249
• /
• 2005

This study aims at investigating whether foreign direct investment plays a role as a channel of international technology diffusion. We used the annual panel data from 1980 to 2002. The nonstationary panel techniques, in particular group mean panel FMOLS(fully modified OLS) was exploited as an empirical methodology in order to tackle the heterogeneity between members and low frequency. The empirical results show that inflow direct investments lead to an increase in total factor productivity and economic growth. Also outflow direct investments contribute to an higher total factor productivity and economic growth. These results confirms that both inflow and outflow direct investments are important channels for international technology diffusion or spillover.

• Korea Trade Review
• /
• v.45 no.4
• /
• pp.95-105
• /
• 2020

Vietnam has experienced a high economic growth since early 2000s. One of the reasons for this successful economic growth is foreign direct investment that has been invested mainly in manufacturer sector in Vietnam. In this paper, we examine the impacts of foreign direct investment to Vietnam on its exports using quarterly data from 2000:1 to 2017:4. Since all the variables in our model is subject to I(1), we apply Fully Modified OLS(FMOLS) to estimate a cointegration vectors. Our results show that there exists a long-run relationship among Export, FDI, Exchange rate and G20 countries' GDP. Also, we find that FDI has a positive effect on Vietnam's export, which was statistically significant. Our results support the hypothesis that the FDI to Vietnam since 2000 has an export-oriented feature.

• The Journal of Industrial Distribution & Business
• /
• v.9 no.8
• /
• pp.41-50
• /
• 2018

Purpose - As an important participant in the financial markets, the commercial bank will be impacted by the interest rate marketization. Owing to the special condition of China, this paper tries to explore the impact of operating mechanisms between interest rate marketization and the profitability of the commercial Bank. Research design, data and methodology - This paper applies time series data from 2005 to 2016. Due to the short period of time series, autocorrelation often occurs. Therefore, the fully modified least squares(FMOLS) will be used to conduct an empirical analysis. The reason is that it can move off the autocorrelation between variables and disturbance term. And FMOLS also can make estimated cointegrating parameters closed to normal distribution. More importantly, in order to avoid spurious regressions, the Augmented Dickey-Fuller Test will be used to verify the stationarity of all variables. The total return of asset is treated as the profitability of commercial bank. The net interest spread is treated as a measurement of interest rate marketization. Both are regarded as dependent variables. The non-interest income or gross revenues and impaired loans or gross loans are treated as independent variables. The sixteen representative listed commercial banks are divided into three categories (state-owned, share-holding and city-owned) to conduct an estimation. Results - Via empirical analysis, the findings show that the net interest spread has a positive effect on the profitability of the commercial bank. More specifically, 1% increase in the net interest spread will lead 0.157% increase in the profitability of state-owned commercial bank, 0.269% increase in the profitability of share-holding commercial bank and 0.263% increase in the profitability of city-owned commercial bank. If regarding the sixteen listed commercial city as a whole, 1% increase in the net interest spread will lead 0.267% increase in the profitability of the commercial bank. Conclusions - As the interest rate marketization, the importance of interest rate on the profitability of commercial bank has become more and more significant. The empirical evidences also prove that the net interest spread can bring about the change of the commercial bank's profitability. Therefore, policy-makers of commercial banks should fully understand the operating mechanism between them.

• The Journal of Asian Finance, Economics and Business
• /
• v.5 no.2
• /
• pp.15-24
• /
• 2018

The study examines the magnitude of economic spillover and the impact of foreign direct investment (FDI) inflows on the efficiency of the bank industry in China. This study employs unit root tests, cointegration tests and cointegrating regression analysis, including fully modified ordinary least squares (FMOLS), canonical cointegrating regression (CCR) and dynamic OLS (DOLS) to test the proposed hypotheses. The sample is restricted to the period of time in which monthly data is available and comparable among variables for the period from January 2002 to October 2013 (142 observations). All of the time series data was collected and retrieved from the People's Bank of China, China Monthly Statistics from the National Bureau of Statistics of China, and International Financial Statistics database from International Monetary Fund. The results of the Johansen cointegration test suggest that there is a long-run equilibrium relationship between FDI inflows, foreign exchange rate and banks performance in China. The results of cointegrating regression analysis using FMOLS, CCR and DOLS suggest that M2 supply and FDI inflows are significant at the 0.01 level. The results confirm that FDI inflows in the banking sector are positively related to the increase of banks productivity and performance and short-term loans in China. However, the results suggest that Chinese Yuan currency exchange rate to U.S. dollar is not significant in the banking and financial industry of China.

• The Southeast Asian review
• /
• v.27 no.4
• /
• pp.41-76
• /
• 2017

This paper analyses the market shares and the export similarity indexes (ESI) of Korea, Japan and China in ASEAN, and then identifies the determinants of Korea's exports to ASEAN countries using single equation cointegration approaches, such as fully modified OLS (FMOLS), dynamic OLS (DOLS), and canonical cointegration regression (CCR). Various regression results are as follows: As expected, Korea's real exports tend to increase as importing country's GDP grows. The competing third country's currency depreciation affects Korea's exports differently from country to country. Most notably, it doesn't significantly affect Korean exports in Malaysia, Indonesia and Thailand. These results suggest that bilateral or third country exchange rates are not that important or decisive factors to determine Korea's exports to ASEAN countries in the long-run while economic growth in ASEAN countries matters most.

• International Commerce and Information Review
• /
• v.13 no.3
• /
• pp.77-95
• /
• 2011

This paper investigates the relationship between export and economic variables such as trade insurance, world economy activity, relative price, unemployment rate, exchange rate volatility, using monthly data. I employ Johansen cointegration methodology since the model must be stationary to avoid the spurious results. The results indicate that there is a long-run relationship between export and variables. Also, the empirical analysis of cointegrating vector using the CCR, DOLS, FMOLS reveals that the increases of trade insurance has positive relations and the increases of exchange rate volatility have negative relations with export. Especially, DOLS based on Monte Carlo simulations, of this estimator being superior in small samples compared to a number of alternative estimators, as well as being able not only to accommodate higher orders of integration but also to account for possible simultaneity within regressors of a potential system. This paper also applies impulse-response functions to get the additional information regarding the responses of the export to the shocks of the variables. The result indicates that export positively to trade insurance and then decay fast compare with exchange rate volatility. Consequently, trade insurance plays the role of trade policy for export promotion in Korea. Whereas, increase of exchange risk result in reduction of export. Therefore, the support of trade insurance should be expanded and the stabilization of the foreign exchange market must be done for the export promotion.

• Korea Trade Review
• /
• v.43 no.3
• /
• pp.169-198
• /
• 2018

The purpose of this paper is to investigate the impact of exchange rate volatility on the export of Korean machinery intermediate goods to East Asian countries using the export demand model. In order to secure the validity of the estimation of the exchange rate volatility for the export of machinery intermediate goods, various methods of volatility measurement are used including the GARCH model, the moving average standard deviation and the 12-month fixed average standard deviation. The long-term relationship between variables was analyzed by applying the panel cointegration tests and DOLS & FMOLS panel estimations. Analysis results found that prior to the global financial crisis in 2008, the total exports of machinery and exchange rate volatility positively affect the exports of intermediate goods such as general machinery, electronic machinery and transportation equipment, but did not affect the exports of precision machinery intermediate goods. After the global financial crisis, however, exchange rate volatility negatively affected total exports and the exports of all machinery intermediate goods. When analyzing the period before and after the global financial crisis, it had a positive impact on exports of precision machinery intermediate goods and a negative effect on total exports and the exports of other machinery intermediate goods.

• The Journal of Industrial Distribution & Business
• /
• v.9 no.7
• /
• pp.33-42
• /
• 2018

Purpose - This paper aims to verify whether the Fisher effect and the international Fisher effect are significant between China and South Korea in the long and short run, respectively. Research design, data, and methodology - The annual and monthly data, respectively, are employed to conduct an empirical estimation under the fully modified ordinary least squares(FMOLS). The nominal interest rate is treated as an independent variable. The inflation rate is treated as a dependent variable. Results - The results exhibit whenever in the long or short run, the Fisher effect exists in China and South Korea. However, the Fisher effect in South Korea is more significant than that of in China. Meanwhile, an empirical analysis is also preformed to investigate the long-run and the short-run international Fisher effect between China and South Korea. The deviation from the equilibrium relationship is that the commodity market and the Financial market have started to integrate in China. But China's integrated level proved to be relatively lower. Conclusions - To exploit that the Fisher effect and the international Fisher effect hold between China and South Korea can help both countries deal with the sufferings from integration of the commodity market and the financial market.