• The Journal of Industrial Distribution & Business
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• v.9 no.5
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• pp.63-72
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• 2018

Purpose - This work analyzes, in detail, the specification of vector error correction model (VECM) and thus examines the relationships and impact among seven economic variables for USA - balance on current account (BCA), index of stock (STOCK), gross domestic product (GDP), housing price indices (HOUSING), a measure of the money supply that includes total currency as well as large time deposits, institutional money market funds, short-term repurchase agreements and other larger liquid assets (M3), real rate of interest (IR_REAL) and household credits (LOAN). In particular, we search for the main explanatory variables that have an effect on stock and real estate market, respectively and investigate the causal and dynamic associations between them. Research design, data, and methodology - We perform the time series vector error correction model to infer the dynamic relationships among seven variables above. This work employs the conventional augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root techniques to test for stationarity among seven variables under consideration, and Johansen cointegration test to specify the order or the number of cointegration relationship. Granger causality test is exploited to inspect for causal relationship and, at the same time, impulse response function and variance decomposition analysis are checked for both short-run and long-run association among the seven variables by EViews 9.0. The underlying model was analyzed by using 108 realizations from Q1 1990 to Q4 2016 for USA. Results - The results show that all the seven variables for USA have one unit root and they are cointegrated with at most five and three cointegrating equation for USA. The vector error correction model expresses a long-run relationship among variables. Both IR_REAL and M3 may influence real estate market, and GDP does stock market in USA. On the other hand, GDP, IR_REAL, M3, STOCK and LOAN may be considered as causal factors to affect real estate market. Conclusions - The findings indicate that both stock market and real estate market can be modelled as vector error correction specification for USA. In addition, we can detect causal relationships among variables and compare dynamic differences between countries in terms of stock market and real estate market.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.8
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• pp.147-156
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• 2016

This study analyzed the impact of changes in the construction business on construction company insolvency according to their size using the vector error correction model. First, this study applied EDF (Expected Default Frequency), which was calculated by KMV (Kealhofer, McQuown and Vasicek) model, as a variable to indicate the insolvency of construction companies. This study set 30 construction companies listed to KOSPI/KOSDAQ for estimating the EDF by size and construction companies were divided into two groups according to their size. To examine the construction business cycles, the amount of construction orders according to the type-residential, non-residential, and civil work- was used as a variable. The serial data was retrieved from TS2000 established by the Korea Listed Companies Association (KLCA), Statistics Korea. The analysis period was between the second quarter of 2001 and fourth quarter of 2015. As a result of calculating the EDF of construction companies by size, as it is generally known, the large-sized construction companies showed lower levels of insolvency than relatively smaller-sized construction companies. On the other hand, impulse response analysis based on VECM confirmed that the level of insolvency of large-scaled companies is more sensitive to business fluctuations than relatively smaller-sized construction companies, particularly changes in the residential construction market. Hence it is a major factor affecting the changes in insolvency of large-sized construction companies.

• Journal of Navigation and Port Research
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• v.42 no.6
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• pp.546-554
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• 2018

The Bulk market, unlike the line market, is characterized by stiff competition where certain ship or freight owners have no influence on freight rates. However, freights are subject to macroeconomic variables and economic external shock which should be considered in determining management or chartering decisions. According to the results analyzed by use of ARIMA Inventiom model, the impact of the financial crisis was found to have a very strong bearing on the BDI index. First, according to the results of the VEC model, the libor rate affects the BDI index negatively (-) while exchange rate affects the BDI index by positively (+). Secondly, according to the results of the VEC model's J ohanson test, the order ship volume affects the BDI index by negatively (-) while China's economic growth rate affects the BDI index by positively (+). This shows that the shipping company has moved away from the simple carrier and responded appropriately to changes in macroeconomic variables (economic fluctuations, interest rates and exchange rates). It is believed that the shipping companies should be more aggressive in its "trading" management strategy in order to prevent any unfortunate situation such as the Hanjin Shipping incident.

• The Journal of the Acoustical Society of Korea
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• v.39 no.3
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• pp.216-225
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• 2020

In this paper, broadband underwater propagation channel modeling based on eigenray analysis is discussed. Underwater channels are often formulated in frequency domain time-harmonic signals, which are impractical for simulating broadband signals in time domain. In this regard, time domain modeling of the underwater propagation channel is required for the simulation of broadband signals, for which the eigenray analysis based on ray tracing, resulting in multipath propagation delays in time-domain, is used in this paper. For discrete time system application, the phase, frequency-dependent loss and non-integer sample delays for each eigenray, are approximated by the finite impulse response of the broadband propagation channel.

• Journal of Electrical Engineering and Technology
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• v.11 no.2
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• pp.529-536
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• 2016

In this paper we proposed an unsupervised algorithm to estimate the reverberation time (RT) directly from the reverberant speech signal. For estimation process we use maximum likelihood estimation (MLE) which is a very well-known and state of the art method for estimation in the field of signal processing. All existing RT estimation methods are based on the decay rate distribution. The decay rate can be obtained either from the energy envelop decay curve analysis of noise source when it is switch off or from decay curve of impulse response of an enclosure. The analysis of a pre-existing method of reverberation time estimation is the foundation of the proposed method. In one of the state of the art method, the reverberation decay is modeled as a Laplacian distribution. In this paper, the proposed method models the reverberation decay as a Gamma distribution along with the unification of an effective technique for spotting free decay in reverberant speech. Maximum likelihood estimation technique is then used to estimate the RT from the free decays. The method was motivated by our observation that the RT of a reverberant signal when falls in specific range, then the decay rate of the signal follows Gamma distribution. Experiments are carried out on different reverberant speech signal to measure the accuracy of the suggested method. The experimental results reveal that the proposed method performs better and the accuracy is high in comparison to the state of the art method.

• Journal of Institute of Control, Robotics and Systems
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• v.21 no.7
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• pp.669-676
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• 2015

In this paper, we described the simulation results of the phase offset performance of a clock in holdover mode which was normally operated in GPS Disciplined Oscillator (GPSDO). In the TIE model, we included the time error term caused by environmental temperature variation because one of the most important parameters of clock phase error is the frequency offset and drift caused by the variation of temperature. For the simulation, we employed Maximum Time Interval Error (MTIE) for the performance evaluation when the frequency offset and drift are estimated by using an Unbiased Finite Impulse Response (UFIR) filter with ladder algorithm. We assumed that the noise in the GPS measurement is white Gaussian with zero mean and 1 ns standard deviation, and temperature linearly varies with a slope of $1{^{\circ}C}$ per hour. From the simulation results, the followings were observed. First, with the estimation error of temperature of less than 3 % and the temperature compensation period of less than 900 seconds, the requirement of CDMA2000 phase synchronization under 10 us could be achieved for more than 40,000 seconds holdover time if we employ an OCXO (Oven Controlled Crystal Oscillator) clock. Second, in order to achieve the requirement of LTE-TDD under 1.5 us for more than 10,000 seconds holdover time, below 3 % estimation error and 500 seconds should be retained if a Rubidium clock is adopted.

• Korean Journal of Remote Sensing
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• v.25 no.4
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• pp.375-381
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• 2009

In this paper, synthetic aperture radar (SAR) clutter images are simulated based on the extensive analyses for radar backscatter characteristics of various earth surfaces, and the simulated images are compared with measured SAR images. At first, the surface parameters including soil moisture content and surface roughness parameters and other parameters for vegetation canopies are measured for various surfaces. The backscattering coefficients for the surfaces are computed using theoretical and empirical models for surface scattering and the radiative transfer for vegetation-canopy scattering. Then, the digital elevation map (DEM) and land cover map (LCM) are used for the SAR image generation. The SAR impulse response (correlation function) is also employed to simulated reliable SAR images. Finally, the appropriate speckle and texture parameters for various earth surfaces are used for generating the SAR clutter images.

• The Korean Journal of Applied Statistics
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• v.35 no.2
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• pp.189-201
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• 2022

In this study, we propose factor augmentation to improve forecasting power of cryptocurrency return. We consider financial and economic variables as well as psychological aspect for possible factors. To be more specific, financial and economic factors are obtained by applying principal factor analysis. Psychological factor is summarized by news sentiment analysis. We also visualize such factors through impulse response analysis. In the modeling perspective, we consider ARIMAX as the classical model, and random forest and deep learning to accommodate nonlinear features. As a result, we show that factor augmentation reduces prediction error and the GRU performed the best amongst all models considered.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.50 no.2
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• pp.119-125
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• 2022

In this paper, we present design, implementation and test results of CTM (Chirp Transceiver Module) EM (Engineering Model) for C-Band SAR (Synthetic Aperture Radar) Payload. The CTM is designed to operate dual frequency scan method that simultaneously operate two frequencies in each 50MHz bandwidth to achieve 120Km swath with 10m resolution at about 500Km altitude. The CTM used radiation tolerant RTG4 FPGA for space environment, and implemented with the Parallel DDS (PDDS) method which uses a small memory capacity compared to the memory-map method. Test results show high purity chirp signal generation and excellent IRF performance from received chirp signal after direct digital conversion.

• Korea Trade Review
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• v.42 no.4
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• pp.49-68
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• 2017

This paper investigates the spillover effect of the U.S. Interest on Korea's interest rate as well as the role of exchange rate in the spillover effects, by utilizing a open macro model on the determinants of long-term interest rates. According to the cointegration estimation and the Impulse response function, it is found that, across both long-term and short-term, there exist the spillover effect of the U.S. Interest on Korea's interest rate. The fiscal deficit and expected exchange rate have significantly positive relationship with the Koreas's long-term interest rate. Further, foreign exchange market intervention in Korea did not have significant effect on the spillover effect. Thus, this study suggests that exchange rate flexibility would not be enough to restrain the spillover effects of the U.S. interest rate.