• Journal of Korea Port Economic Association
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• v.29 no.3
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• pp.95-111
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• 2013

The purpose of this study is to draw out the trade effect of the Korea ASEAN FTA by carrying out a panel analysis. For achieving such a purpose, Panel Unit Root, Panel Cointegration Test, Pooled OLS, Hausman Test, Fixed Effect, Random effect are performed. The last 15 years's data over the period of 1997 to 2011 concentrated on the ASEAN countries such as Indonesia, Malaysia, Philippine, Singapore, Thai, Vietnam is used in this study. Major implications are summarized as following. First, our government need to maximize the effect derived from conclusion of FTA(Free Trade Agreement) in order to enhance the competitive edge through obtaining a stable foreign market. Second, it necessary for our government to improve a national system by orienting a FTA conclusion complying with WTO's product and service-related regulation.

• Analyses & Alternatives
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• v.7 no.3
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• pp.181-230
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• 2023

Evaluating the empirical validity of Modern Monetary Theory, this study implements panel cointegration analysis on annual panel data (2000-2022) of OECD countries. Specifically, the sample countries are divided into groups based on the presence of their own sovereign currencies, and for each group, the long-run equilibrium relation (cointegration) between the ratio of public debt or fiscal deficit and government bond rates is tested and estimated. Main findings are as follows: applying the pooled mean-group estimation for panel cointegration, it is found that both the ratios of public debt and fiscal deficit have significantly positive long-run correlation with government bond rates in countries without sovereign currency such as the Euro-zone or fixed exchange rate regime countries. However, in countries with sovereign currency such as non-Euro-zone or floating exchange rate regime countries, the long-run correlation is either negative or not statistically significant. Particularly, in countries without sovereign currency, the ratio of public debt has significantly positive correlation with the real government bond rates in the short run as well as the long run. These results are consistent with the prediction of Modern Monetary Theory, thus providing a supporting evidence for the empirical validity of the theory.

• International Area Studies Review
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• v.16 no.1
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• pp.3-27
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• 2012

This paper adopts recently developed panel unit root test that is cross-sectionally robust. Cointegration test is also used to find whether regional house prices are in line with gross regional domestic production (GRDP) in the long run in Korea during 1989-2009. Based on the panel VECM and the panel ARDL models, we examine causal relationships among the variables and estimate the long-run elasticity. We find evidence of cointegration and bidirectional causal relationships between regional house prices and GRDP. The results of long-run estimates, using both fixed effect and ARDL models, show that house prices positively and significantly influence on the GRDP and vice versa. Together with these results, the findings of ARDL-ECM imply that there exists a long-run equilibrium relationship between house prices and regional economic variables even if there is a possibility of short-run deviation from its long-run path.

• Journal of Korea Trade
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• v.24 no.6
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• pp.157-172
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• 2020

Purpose - This research empirically proves the extent to which export insurance promotes Korean exports to research object countries among New Southern countries. The outcome of this research will present implications for the operations of export insurance for exports to these countries. Design/methodology - For the empirical analysis, the export equation was composed using a basic gravity model. Based on this, the determinants of Korea's exports to research object countries were analyzed. In this study, a panel unit root test and panel cointegration test were conducted. As a result of the panel unit root test, it was confirmed that the variables of the panel data are not belonging to I(0), but to I(1). As a result of the panel cointegration test, it was established that there are long-term stable relationships among all variables. Accordingly, the gravity model was estimated using original data in order to reduce the information loss caused by the first difference, in spite of individual data belonging to I(1). Findings - For the estimated results of panel OLS, the estimated coefficient of short-term export insurance was 0.56-0.64, with statistically significant results at the significance level of 1%. In addition, for the analysis results of the random effect model, the estimated coefficient of short-term export insurance was 0.59-0.64%, with a statistically significant result at the 1% significance level. This could indicate that Korean export insurance has positive influences on export promotion to New Southern countries. Originality/value - The research implies that export insurance has a 4.1 to 4.7 multiplier effect in expanding exports to the New Southern countries for Korea. This research has intensively analyzed the effects of export insurance on the promotion of exports to a selected area by a government foreign economic policy, which is the originality and value of this paper.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.9
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• pp.165-176
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• 2021

The paper has used the Solow-Swan growth model to analyze the long-term impact of credit market development and stock market development on economic growth in Asia from 2000 to 2019. The empirical model is performed with panel cointegration analysis by Common Correlated Effects (CCE) method with cross-sectional dependencies. The results find that there exists a cointegration relationship among stock market, credit market development, and economic growth. These results also show that financial structure improves the exact impact of financial development on economic growth, namely the opposite effect of stock market development and credit market development. Moreover, the Granger causality test reveals a bi-directional relationship between credit market development and economic growth, while only unidirectional causality from stock market development to economic growth for the whole group panel. And it is different for a specific country, according to Kónya's test. The view of the new structuralism does not apply in the Asian financial system when we estimate the Nonlinear Autoregressive Distributed Lag model (NARDL) to analyze the asymmetric relationship between financial structure and economic growth. On the whole, policymakers can draw on the findings to provide policy implications to improve their country's financial system as well as pursue the goal of sustainable economic growth.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.4
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• pp.173-183
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• 2022

The objective of this research is to examine the influence of the COVID-19 pandemic on stock markets in a few developing and developed countries. This study uses daily data from January 2020 to May 2021 and obtained from World Health Organization and Thomson Reuters. The secondary data was evaluated through panel econometric methodology that includes different unit root tests, and to analyze the long-run relationship between variables, panel cointegration techniques were applied. The long-run causality among variables was examined through Panel Vector Error Correction Model. The overall findings of this study suggest a long-run association exists between several cases and death with the stock returns of the GCC and other stock markets. Furthermore, the VECM model also identified a long-run causality running from COVID cases and death towards the stock rerun of both sets of stock markets. However, a subsequent Wald test yielded mixed results, indicating no short-run causality between cases and deaths and stock returns in both groups; however, in the case of GCC, several COVID-19 cases are having a causal impact on stock markets, which is notable in light of the fact that the death rate in GCC is significantly lower than in many developed and developing countries.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.2
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• pp.77-88
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• 2021

The stock markets in the BRICS (Brazil, Russia, India, China and South Africa) countries are the leading emerging markets globally. Therefore, it is pertinent to ascertain the critical drivers of stock market development in these economies. The currrent study empirically investigates to identify the linkages between stock market development, key macro-economic factors and institutional factors in the BRICS economies. The study covers the time period from 2000 to 2017. The dependent variable is the country's stock market development and the independent variables consist of six macroeconomic variables and five institutional variables. The study employs a panel cointegration test, Fully Modified OLS (FMOLS), a Pooled Mean Group (PMG) approach and a heterogeneous panel non-causality test.The findings of the study indicate co-integration among the selected variables across the BRICS stock markets. Long-run estimations reveal that five macroeconomic variables and four variables related to institutional quality are positive and statistically significant. Further, short-run causalities between stock market capitalization and selected variables are detected through the test of non-causality in a heterogeneous panel setting. The findings suggest that policymakers in the BRICS countries should enhance robust macroeconomic conditions to support their financial markets and should strengthen the institutional quality drivers to stimulate the pace of stock market development in their countries.

• Journal of Korea Port Economic Association
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• v.27 no.3
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• pp.135-146
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• 2011

A voluminous research on efficiency employs the DEA(Data Envelope Analysis) models. There are, however, only very few that have an interest in the factors influencing such efficiencies. We, furthermore, do not see any studies which analyze the long-term efficiency of the logistics providers using the panel cointegration techniques. The purpose of this paper, hence, is to evaluate the efficiency, analyse its determinants and show a long-term relationship between turnover and the other variables employing the SBM(Slack Based Measure) model, Tobit model, the panel procedure and the FMOLS(Fully Modified OLS). The panel data are composed of 9 individuals and 6 years. The panel cointegrating vectors show that the group coefficient of asset and employees is not only significant but has expected signs, while some of the individual coefficients are insignificant or/and exhibit wrong signs. The panel cointegrating vectors from fully modified OLS also indicate that the estimated coefficients of the panel analysis tend to be overvalued and the asset influences the turnover far greater than the employee does.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.12
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• pp.85-94
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• 2021

Infrastructure capacities are essential elements and one of the sustainable lines to drive economic growth. Infrastructure development, both physical and social, is vital to sector-wise economic development. However, there is limited evidence of how infrastructure development in certain sectors benefits the economy as a whole. This study explains the relationships between infrastructure and economic growth in selected middle-income Asian countries, highlighting the essential criteria to benefit from both physical and social infrastructure, as well as sectoral (agriculture, industry, and services) economic output. The research uses the data from 1990 to 2020 for empirical estimations. The study used Levin, Lin, & Chu test, ADF- Fischer chi- Square, and PP- Fischer Chi-Square to test unit root and to observe the stationary nature of the panel. Padroni and Kao cointegration is applied to check the cointegration among different panes. A Fully Modified OLS was employed for checking the association between physical and social infrastructure and economic growth. Results show that physical and social infrastructure negatively impact sectoral output in Asia's middle-income countries. Apart from infrastructure the per capita GDP growth, tax to GDP ratio, and population growth shows a simultaneous relation between infrastructure and sectoral economic growth.

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