• The Korean Journal of Applied Statistics
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• v.18 no.3
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• pp.503-519
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• 2005

Cointegration test is usually performed under the assumption that the cointegrating vector is constant for the whole sample period. Most previous studies have used conventional cointegration methods in testing for a stable long-run equilibrium relation among related variables. However they have overlooked that the long-run equilibrium may not the unique and the stable relation may not be guaranteed. This study develops the additional statistical tests for the stability of the estimated cointegrating vector. Three tests for the parameter stability of a cointegrated regression model are utilized and applied to identify the types of variations in the long-run relation between the domestic unemployment and the rotated macroeconomic variables of interest. The present paper finds that, there exists a stable but, time-varying long-run relation between those. The observed variation in cointegrating relations is generally characterized by a discrete one-time shift, rather than a gradually evolving random walk process which is attributable to the IMF financial and economic crisis.

• Journal of Korea Trade
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• v.25 no.1
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• pp.1-17
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• 2021

Purpose - The global trend of protectionism has expanded since the onset of US President Donald Trump's administration in 2017. This global phenomenon has led to a significant reduction in world trade volume and a negative impact on economic development in some countries where the external sector accounts for a large proportion of GDP. Although Korea is a country vulnerable to this deteriorating trade environment, few studies have examined the relationship between protectionism and its business cycles based on Korean data. Thus, this paper investigates the impact of protectionism on Korea's business cycle. Design/methodology - To identify future implications, we conduct a structural vector autoregression (VAR) analysis using monthly Korean data from 1994 to 2015. Macroeconomic variables in the model include the industrial production index, inflation rates, exports (or net exports), interest rates, and exchange rates. For the identification of the shock reflecting the expansion of protectionism, we use an antidumping investigation (ADI) data. Since ADIs are followed generally by the imposition of antidumping tariffs, they have no contemporaneous impact on tariffs and are also contemporaneously exogenous to other endogenous variables in the VAR model. We examine two kinds of ADI shocks i) shocks on Korean exports imposed by Korea's trading partners (ADI-imposed shocks) and ii) shocks on imports imposed by the Korean government (ADI-imposing shocks). Findings - We find that Korea's exports decline sharply due to ADI-imposed shocks; the lowest point at the third month after the initial shock; and do not recover until 24 months later. Simultaneously, the inflation rate decreases. Therefore, the ADI-imposed shock can be regarded as a negative shock on the demand curve where both production and price decrease. In contrast, the ADI-imposing shock generates a different response. The net exports decline, but the inflation rate increases. These can be seen as standard responses with respect to the negative shock on the supply curve. Originality/value - We shed light on the relationship between protectionism and Korea's economic fluctuations, which is rarely addressed in previous studies. We also consider the effects of both protective policy measures on imports to Korea imposed by the Korean government and on policy measures imposed by Korea's trading partner countries on its exports.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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• pp.55-66
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• 2021

The purpose of this study is to analyze the relationship and effects of variables both directly and indirectly (e.g., investment (INV), government expenditure (GE), unemployment rate (UR), economic growth (EG), and income inequality). The analytical phases consist, first, to transform the data using the Log Natural (Ln) method. Second, to check normality and multicollinearity of data. Third, to test direct effects of variables (government expenditure and investment effect on the unemployment rate and economic growth; investment on government expenditure; economic growth on unemployment rate; economic growth and unemployment rate on income inequality). Fourth, to test indirect effects using Sobel test, which involves UR and EG as intervening variable. Fifth, to test hypotheses with p-value < 0.05. The results of the study reveal that, of the 12 relationships, statistics show that 11 variations of the association have significant positive and negative effects. Theoretically, the different characters and goals of GE and INV in each country will have a different impact on EG and UR goals. The study provides an input, especially for the government. To create optimal EG through GE and INV, it is necessary to allocate budgets to industrial sectors that can absorb a massive labor force and to new economic growth sectors.

• The Journal of the Convergence on Culture Technology
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• v.7 no.1
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• pp.511-517
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• 2021

In this paper, we analyzed the impact of capital adequacy requirements on the profitability of Korean banks using DOLS model. As a result of the analysis, the impact of BIS capital ratios on commercial and regional banks was different. Demand for capital adequacy has a greater and more significant negative impact on regional banks than on commercial banks. It was shown that bank characteristic variables rather than macroeconomic variables have a more significant effect on bank profitability. In addition, a rise in the BIS capital ratio reduces the profitability of commercial and regional banks, and the higher the ratio of loan-loss provisions, the stronger the relationship. In the case of commercial banks, it is estimated that the demand for capital adequacy did not have a significant impact as they are relatively large and faithful in capital compared to regional banks. However, in the case of regional banks, safer assets need to be selected to meet the BIS capital ratio, and the increasing propotion of these safe assets seems to have a relatively greater negative impact on profitability. Consequency, the financial authorities should consider this results and implement the bank's capital regulation policy.

• Economic and Environmental Geology
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• v.47 no.3
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• pp.237-246
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• 2014

In this study, it is estimated how many changes of macroeconomic variables are happened under the proposition of import substitution of mining products 1% using macroeconometric input-output model. For this, used macroeconometric input-output model is composed of 141 behavioral equations representing the macroeconomy structure. In general, macroeconometrics models are constructed mainly on the side of the expenditure then it is not easy to estimate the effects of the shocks occurred from industry level. To mitigate that, this study tries to construct a macroeconometric input-output model. Macroeconometrics model which is useful to estimate the effects of macroeconomic shocks, economic policy and more, in this study, is linked with input-output table through the NDI(national disposable income) derived from compensation of employee. And this paper presents the estimation results of import substitution effects of mining products on Korean economy. As a results, GDP is increased 0.00073%, gross labor employed 0.00029%, current balanace 0.00010% and unemployment rate is mitigated 0.00233%.

• International Area Studies Review
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• v.15 no.2
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• pp.247-273
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• 2011

This study analyzes the impacts on the M&A and greenfield of macroeconomic variables of home and host countries, after identifying current status and characteristics of the M&A and greenfield related to the entering way of Korean firms in China. Main empirical results are summarize as follows. First, as for foreign exchange variable, the decreased value of Korea won shows the negative correlations with both of the greenfield and M&A. Second, the real interest rate of Korea to measure the cost of capital is not significant statistically. Third, while the host country's stock market index, Shanghai Comprehensive Index, shows the expected negative correlations with the investment in the case of small & medium firm and light industry, it shows the positive correlations which is not consistent with general expectation in the case of large firm and heavy industry. Fourth, the openness of host country shows the positive correlations with both of the greenfield and M&A. Finally, in regard to the M&A, China's GDP to measure the market size of host country is not significant statistically while it shows the strong positive relationship with the greenfield investment.

• Economic and Environmental Geology
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• v.42 no.2
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• pp.143-152
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• 2009

Recent raw material prices fluctuation has been unexpectedly high and that made Korean economic activities to be depressed. Because most raw material supply in Korea depends upon oversea imports, unexpected raw material price fluctuation affects Korean industrial economies through macroeconomic variables. So Korean government enforces some political measures such as demand management and the supply-security assurance as long-range policies, and reservation and general early warning system as short-range policies. In short-range policies, it is necessary to be expected short term fluctuation. Up to recently, there have been many researches and most of those researches use parametric methods or time series analyses. Because those methods and analyses often generate inadequate relations among variables, it is possible that some consistent variables are left out or the results are misunderstood. This study, therefore, is aim to mitigate those methodological problems and find the relatively appropriate model for economic explanation. So that, in this paper, by using non-parametric signal approach method mitigating some shortages of previous researches and forecasting properly short-range prices fluctuation of non-ferrous materials are presented empirically.

• Journal of Korea Port Economic Association
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• v.31 no.4
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• pp.189-207
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• 2015

The purpose of this study is to examine the relationship between the network characteristics of ports and their performance that is represented by port competitiveness for the port operators. The study employs Social Network Analysis (SNA) to evaluate network characteristics comprising four centrality indices. For this research, data from Containerization International Yearbooks for 2006-2011 is used to analyze the service networks of 20 major liner shipping companies. In SNA, nodes (vertices) in the network are the ports and links (edges) in the network are connections realized by vessel movements, such that the liner shipping network determines the port network. In addition, panel regression analysis has been employed to investigate the relationship between port network characteristics and their performance. The results suggest that the four centrality indices identify the roles of the world's major ports from 2006 to 2011 and that port performance is determined not only by macroeconomic variables and service capabilities but also by the eigenvector centrality of ports in networks.

• Environmental and Resource Economics Review
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• v.25 no.4
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• pp.471-494
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• 2016

This study investigates the effect of remittance and agricultural aid inflows on GDP growth rate volatility in response to climate change shocks in twenty-eight African countries by using system generalized method of moments from 1996 to 2013 with three years grouped data. The climate change shocks are indicated by four variables; natural disasters, rainfall variability, fluctuation in temperature and the weighted anomaly standardized precipitation (WASP) index. Consequently, natural disasters and temperature variability have a significant effect on GDP volatility, while rainfall variability and WASP index have no adverse consequence on stabilization of the economy. On the other hand, in general, remittances and agricultural aid are helpful to stabilize the economy and especially remittances inflows can play a crucial role as insurance when natural disasters occur.

• KDI Journal of Economic Policy
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• v.28 no.1
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• pp.193-218
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• 2006

This paper examines the macroeconomic structural differences of the free floating exchange rate regime and the managed float exchange rate regime focusing on the Korean economy, and compares it to the two benchmark economies, Japan and Australia. Korea's shift to the free floating exchange rate regime from the managed float exchange rate regime came after the 1997 economic crisis. Korea's exchange rate policy provides a unique opportunity to study the different behaviors or roles, if any, of managed float and free floating exchange rate regimes. Based on a simple monetary model, we find that the exchange rates of Korea are more sensitive to the economic fundamentals under the free floating regime than under the managed float regime. Impulse response analysis shows that exchange rate pass-through into domestic variables, especially inflation rate, has a bigger short-term impact under the floating regime than under the managed regime. This finding is consistent with the view that the managed (or fixed) regime provides the domestic price stability necessary for the economic growth for the developing countries.