• 토지주택연구
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• 제11권3호
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• pp.33-37
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• 2020

The aim of this paper is to scrutinize the relation between Business Survey Index and Industrial Production Index in construction industry, stated in another way, the relation between CEO's expectations of future business status and real business activity in construction industry. Previous papers on this research area have been examined the relation between released BSI and released IPI. However, this paper focuses 'the relation between released BSI and the long-run component of IPI' and 'the relation between released BSI and the short-run component of IPI'. The first step is to decompose released IPI by unobserved component model. The long-run component of IPI is set up as a random walk process. And short-run component is set up as a stationary AR(1) process. The findings are as follows. First, released BSI Granger causes unidirectionally released IPI. Second, there exists one-way Granger causality from released BSI to long-run component of IPI. Third, Granger causality does not exist between released BSI and 'short-run component of IPI'. BSI increases IPI in the second or third month. These findings of this paper mean that CEO's expectations may influence industrial production in construction industry.

• 산업경영시스템학회지
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• 제44권4호
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• pp.98-105
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• 2021

Using the frequency-based decomposition, I decompose the consumption growth to explain well-known patterns of stock returns in the Korean market. To be more specific, the consumption growth is decomposed by its half-life of shocks. The component over four years of half-life is called the business-cycle consumption component, and the components with half-lives under four years are short-run components. I compute the long-run and short-run components of stock excess returns as well and use component-by-component sensitivities to price stock portfolios. As a result, the business-cycle consumption risk with half-life of over four years is useful in explaining the cross-section of size-book-to-market portfolios and size-momentum portfolios in the Korean stock market. The short-run components have their own pricing abilities with mixed direction, so that the restricted one short-term factor model is rejected. The explanatory power with short- and long-run components is comparable to that of the Fama-French three-factor model. The components with one- to four-year half-lives are also helpful in explaining the returns. The results about the long-run components emphasize the importance of long-run component in consumption growth to explain the asset returns.

• East Asian Economic Review
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• 제17권3호
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• pp.311-332
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• 2013

This paper examines the effect of initial margin requirements on long-run and short-run volatilities in the Japanese stock market using the Component GARCH model. Our empirical results show that when we do not divide the margin requirement into positive and negative changes, increasing margin requirement is effective for reducing long-run volatility, while not effective in short-run volatility. However, separating the positive and negative changes in margin requirements reveals the fact that the negative changes in margin requirements decrease long-run volatilities, while the higher margin requirements increase short-run volatilities in the Japanese stock market. This suggests that if the Japanese financial authorities intend to increase margin level to reduce volatility, unexpectedly, short-run volatility would be even higher.

• 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.

• 보건행정학회지
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• 제9권3호
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• pp.53-69
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• 1999

In this study. we present a modified rational addiction model which incorporates social-psychological factors. This is done through a utility function which includes social-psychological factors as its component. We apply this model to a cigarette consumption function in Korea using the data from the Korean Household Panel Study(KHPS). The results provide relatively strong support for the rational addiction model. However. the impact of social-psychological factors and the short-run and long-run price elasticities are statistically insignificant.

• The Journal of Asian Finance, Economics and Business
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• 제9권2호
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• pp.61-69
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• 2022

The study intends to investigate a short-run and a long-run causality among money, income, and prices in the Keynesian and Monetarists framework. This study emphasizes the importance of unrecorded money, which exists alongside legal monetary assets and plays a dual function in determining economic prosperity. The underground economy, which is a hidden component of aggregate economic activity, is determined using Tanzi's monetary approach (Tanzi, 1980). This research uses a time series of annual data from 1990 to 2019 for this purpose. The data is extracted from the World Bank database for the monetary and development indicators. The study keeping in view the trending nature in data follows a unit root testing followed by the Autoregressive Distributive Lag Model (ARDL) to assess the long and short-run dynamics of causality among the variables. In both the pricing and income equations, the study finds a significant level link among the variables; however, there is no evidence of the presence of a level association in the money equation. The short-run causal relationship provides evidence of bi-directional causation between the supply of money and national income. The outcome of this study advise that though the view point of both the Monetarist and Keynesian school holds in both short and long run, however, in Pakistan only the Monetarists' role of money supply and income holds in Pakistan. This evidence would be of precise interest to the policy-makers.

• 자원ㆍ환경경제연구
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• 제28권3호
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• pp.437-465
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• 2019

본 연구에서는 장기 전력 수요와 GDP 사이의 소득계수를 시간과 GDP의 값에 따라 변화하도록 모형화한 Chang et al.(2016)에 기반을 두어 장기 에너지 수요의 예측에 관련된 새로운 방법을 제안한다. 본 논문에서는 장기 에너지와 GDP 사이의 소득계수를 함수로 표현하고, 함수 주성분 분석(Functional Principal Component Analysis)을 통하여 함수계수(Functional Coefficient)를 예측하고 이를 장기 에너지 수요 예측에 적용한다. 또한 함수계수를 비모수적으로 추정할 때 너비띠 모수를 예측 실험 오차를 최소화하도록 설정하는 방식을 제안하였고 개별 국가의 함수계수 변화 패턴을 반영하여 개별 국가의 특수성을 반영하는 예측 방법도 제시한다. 실증분석에서는 전 세계 에너지 데이터를 이용하여 한국의 장기 에너지 수요 예측을 본 논문에서 제시한 방법으로 예측하고, 기존의 방법들 보다 안정적인 장기 에너지 수요 예측이 가능함을 보였다.

• 대한산업공학회지
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• 제26권2호
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• pp.128-135
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• 2000

This paper considers a consecutive k-out-of-n:F system when the failure of a component in the system induces higher failure rate of the preceding survivor. The reliability, mean time to failure(MTTF), and average failure number of a consecutive k-out-of-n:F system are obtained, when the failure of a component increases the failure rate of the survivor which is working just before the failed component. Then the optimal number of consecutive failed components to minimize this long run average cost rate can be obtained. An example is considered to calculate the reliability, MTTF and average failure number of the system. And two procedures that find the optimal number of consecutive failed components are studied. Then, various cases of system parameters are also studied.

• 응용통계연구
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• 제8권2호
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• pp.121-132
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• 1995

정상조건에서 수명이 상당히 긴 다수의 부품으로 구성된 직렬형 시스템의 수명검사를 현실적으로 수행하기 위해 부분적 단계충격 수명검사의 최적 검사계획에 관하여 고찰하였다. 시스템을 구성하고 있는 부품의 수명이 서로 독립인 지수분포를 따르는 것으로 가정하여 각 부품의 고장률과 가속인자의 최우추정량을 구하였다. 또한 각 부품의 고장률과 가속인자에 관한 최우추정량의 일반화 점근분산의 합과 각 부품의 가속인자에 관한 최우추정량의 점근분산의 합을 구하여 이를 최소가 되게 하는 최적변환시점의 결정방법을 제안하였다.

• Journal of the Korean Data and Information Science Society
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• 제13권2호
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• pp.87-95
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• 2002

In this paper we consider optimal designs of partially accelerated life testing which is devised for multi-component mixed systems with the considerably long lifetime. Test items are run at both use condition and accelerated condition until a specified censoring time. The optimal criterion for the sample-proportion allocated to accelerated condition is to minimize asymptotic variance of the maximum likelihood estimators of the acceleration factor and hazard rates.