• The Korean Journal of Applied Statistics
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• v.29 no.3
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• pp.449-462
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• 2016

This paper considers a long-run variance estimation using a block bootstrap method under strong dependence also known as long range dependence. We extend currently available methods in two ways. First, it extends bootstrap methods under short range dependence to long range dependence. Second, to accommodate the observation that strong dependence may come from deterministic trend plus noise models, we propose to utilize residuals obtained from the nonparametric kernel estimation with the bimodal kernel. The simulation study shows that our method works well; in addition, a data illustration is presented for practitioners.

• KDI Journal of Economic Policy
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• v.35 no.2
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• pp.107-131
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• 2013

In this paper, we test and estimate the stochastic non-fundamental trend in Korean stock market. For this, following Kim (2011), we exploit that the long-run equilibrium stock price may be decomposed into fundamental and stochastic non-fundamental trends (i.e., the sum of dividend innovations and a part that are orthogonal with the dividend innovations) by using the Beveridge-Nelson decomposition and projections. In this VAR construction, there is an error correction mechanism through which stock prices converge to their long-run equilibrium, which also contain the stated stochastic non-fundamental trend as well as fundamental trend. The estimation and test results using yearly data from the Korea (1976-2012) indicated that fluctuations in stock prices during that period can be explained mainly not by the stochastic non-fundamental trend but by the dividend trend. However, during some periods like after Seoul Olympic Games, we may observe the non-fundamental trend affected to the stock price variation.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.137-145
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• 2020

The aim of this study is to find out the time-series nexus of public debt and economic growth in Malaysia. For an upper-middle income country, Malaysia had experienced over 50% ratio of debt to GDP since 2009 until now. The question arises is whether this trend is healthy to the economy. With a focus into the debt-to-GDP ratio from 1970-2015, this study investigates the short-run and long-run relationship between public debt and economic growth in Malaysia. This study used secondary data by collecting time-series data (1970-2015) from the World Bank Data and Bank Negara Malaysia. Autoregressive Distributed Lag (ARDL) model is applied in this study to examine the relationship between debt and economic growth. Based on ARDL framework, it shows that there is a long-run effect between the debt and economic growth in Malaysia. While the significance value of Error Correction Term shows that there is a long-run adjustment in the short run. Generally, this study found government expenditures, in the long run, strongly influence the GDP per capita. Through the findings, the government expenditures could increase the GDP per capita. The study also reveals that any increment of the debt ratio will result in reduction of the GDP per capita.

• International Commerce and Information Review
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• v.16 no.5
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• pp.409-433
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• 2014

In this paper, I estimate long-run elasticities of US real GDP and real exchange rate between Korean Won and US Dollar on export of Korean goods to US and analyze changes in their trend by using VECM and rolling regression with a fixed window. For the purposes I use the year data from 1990 to 2013 which are selected from UNCTAD, Korea Trade Association(KTA), and Bank of Korea(BOK). The results are that the long-run elasticities of US real GDP vary from 2.849 to 2.938 for the period from 1990 to 2013 depending on the models in VECM and all of them are significant statistically. The elasticities of real exchange rate between Korean WON and US Dollar vary from 0.962 to 0.967 for the same period depending on the models in VECM and all of them are significant statistically. In case of the results through the OLS and the rolling regression, the long-run elasticities of US. real GDP are 3.015 for Basic Model, 2.949 for the modified Model 1, and 2.125 for the modified Model 2 for the period from 1990 to 2013 depending on the models and all of them are significant statistically. The average of long-run elasticities of real US GDP before the global financial crisis of 2008 is greater than that after the global financial crisis of 2008. On the other hand, the long-run elasticities of real exchange rate between Korean WON and US $ are 0.347 for Basic Model, 0.566 for the modified Model 1, and -0.217 for the modified Model 2 for the same period and all of them are significant statistically except for the modified Model 2. The average of long-run elasticities of real exchange rate before the global financial crisis of 2008 is greater than that after the global financial crisis of 2008.

• Atmosphere
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• v.25 no.2
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• pp.249-260
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• 2015

The changes in thermodynamic and dynamic aspects on near (2025~2049) and long-term (2075~2099) future climate changes between the historical run (1979~2005) and the Representative Concentration Pathway (RCP) 4.5 run with 20 coupled models which employed in the phase five of Coupled Model Inter-comparison Project (CMIP5) over East Asia (EA) and the Korean Peninsula are investigated as an extended study for Moon et al. (2014) study noted that the 20 models' multi-model ensemble (MME) and best five models' multi-model ensemble (B5MME) have a different increasing trend of precipitation during the boreal winter and summer, in spite of a similar increasing trend of surface air temperature, especially over the Korean Peninsula. Comparing the MME and B5MME, the dynamic factor (the convergence of mean moisture by anomalous wind) and the thermodynamic factor (the convergence of anomalous moisture by mean wind) in terms of moisture flux convergence are analyzed. As a result, the dynamic factor causes the lower increasing trend of precipitation in B5MME than the MME during the boreal winter and summer over EA. However, over the Korean Peninsula, the dynamic factor causes the lower increasing trend of precipitation in B5MME than the MME during the boreal winter, whereas the thermodynamic factor causes the higher increasing trend of precipitation in B5MME than the MME during the boreal summer. Therefore, it can be noted that the difference between MME and B5MME on the change in precipitation is affected by dynamic (thermodynamic) factor during the boreal winter (summer) over the Korean Peninsula.

• East Asian Economic Review
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• v.21 no.2
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• pp.123-146
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• 2017

This paper examines the persistence of relative consumer price indices for 15 regions in Korea including 6 metropolitan cities and 9 provinces over the period of 1990-2016. In particular, we ask if relative regional price indices contain a common stochastic trend and find that they are not. We then investigate how quickly these relative prices converge to their long run value and find that a half-life of a deviation from the long run value is in the range of 13 to 22 months for the aggregate consumer price indices and in the range of 7 to 13 months for the tradable goods price indices, which is much quicker than the estimates of previous studies. These estimates suggest that existing monetary models with the realistic duration of price rigidities can generate the persistence in relative price indices.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.21-27
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• 2021

The financial sector is one of the most important building blocks of the economy. When this sector efficiently implemented a well-crafted program on banking and financial system to translate financial activities to income-generating activity, economic growth will be realized. Hence, this study analyzed the effect of financial intermediation on economic growth and the existence of cointegrating relationship using time-series data from 1986 to 2015. The influence of financial intermediation in terms of bank credit to bank deposit ratio, private credit, and stock market capitalization and time trend to economic growth was estimated using ordinary least squares (OLS) multiple regression. The results showed that all the financial intermediation indicators and time trend exert significant effect on Gross Domestic Product (GDP) per capita. The positive sign of the time trend indicates that there is an upward trend in GDP per capita averaging approximately 0.06 percent annually. Furthermore, the cointegration test using the Johansen procedure revealed that there is a presence of long-term equilibrium relationship between financial intermediation and time trend and economic growth, and rules out spurious regression results. This study established the idea that financial intermediation in the Philippines has a significant and vital role in stimulating growth in the economy.

• Asia Marketing Journal
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• v.6 no.3
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• pp.123-141
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• 2004

As a pioneering company who entered new era of brand marketing in the domestic housing development market, Construction Division of Samsung Corporation achieved enormous business performance with the brand asset at the short time period. For the great success, they tried to apply customer's value into marketing mix strategy thoroughly, and created new trend of brand marketing strategy in the field. This case deals with the Samsung Corporation's efforts mainly focused on Raemian's brand marketing strategy to build the best powerful brand, and shows which are the key success factors, and suggest strategic implications to succeed in the long run.

• Atmosphere
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• v.34 no.2
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• pp.107-121
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• 2024

In this study, we empirically analyzed the impact of physical risks due to climate change on the soundness and operational performance of the financial industry by combining economics and climatology. Particularly, unlike previous studies, we employed the Seasonal-Trend decomposition using LOESS (STL) method to extract trends of climate-related risk variables and economic-financial variables, conducting a two-stage empirical analysis. In the first stage estimation, we found that the delinquency rate and the Bank for International Settlement (BIS) ratio of commercial banks have significant negative effects on the damage caused by natural disasters, frequency of heavy rainfall, average temperature, and number of typhoons. On the other hand, for insurance companies, the damage from natural disasters, frequency of heavy rainfall, frequency of heavy snowfall, and annual average temperature have significant negative effects on return on assets (ROA) and the risk-based capital ratio (RBC). In the second stage estimation, based on the first stage results, we predicted the soundness and operational performance indicators of commercial banks and insurance companies until 2035. According to the forecast results, the delinquency rate of commercial banks is expected to increase steadily until 2035 under assumption that recent years' trend continues until 2035. It indicates that banks' managerial risk can be seriously worsened from climate change. Also the BIS ratio is expected to decrease which also indicates weakening safety buffer against climate risks over time. Additionally, the ROA of insurance companies is expected to decrease, followed by an increase in the RBC, and then a subsequent decrease.

• Proceedings of the Korea Water Resources Association Conference
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• 2023.05a
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• pp.163-163
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• 2023

Flooding has become an increasing event which is one of the major natural disasters responsible for direct economic damage in South Korea. Driven by climate change, precipitation extremes play significant role on the flood damage and its further increase is expected to exacerbate the socioeconomic impact in the country. However, the empirical evidence associating changes in precipitation extremes to the historical flood damage is limited. Thus, there is a need to assess the causal relationship between changes in precipitation extremes and flood damage, especially in agricultural region like Chungcheong region in South Korea. The spatial and temporal changes of precipitation extremes from 10 synoptic stations based on daily precipitation data were analyzed using the ClimPACT2 tool and Mann-Kendall test. The four precipitation extreme indices consisting of consecutive wet days (CWD), number of very heavy precipitation wet days (R30 mm), maximum 1-day precipitation amount (Rx1day), and simple daily precipitation intensity (SDII), which represent changes in intensity, frequency, and duration, respectively, and the time series data on flooded area and flood damage from 1985 to 2020 were used to investigate the causal relationship in the ARDL-ECM framework and pairwise Granger causality analysis. The trend results showed that majority of the precipitation indices indicated positive trends, however, CWD showed no significant changes. ARDL-ECM framework showed that there was a long-run relationship among the variables. Further analysis on the empirical results showed that flooded area and Rx1day have significant positive impacts on the flood damage in both short and long-runs while R30 mm only indicated significant positive impact in the short-run, both in the current period, which implies that an increase in flooded area, Rx1day, and R30 mm will cause an increase in the flood damage. The pairwise Granger analysis showed unidirectional causality from the flooded area, R30 mm, Rx1day, and SDII to flood damage. Thus, these precipitation indices could be useful as indicators of pluvial flood damage in Chungcheong region of South Korea.