• Title/Summary/Keyword: Panel VAR model

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Analysis of the Influence of Foreign Direct Investment on Carbon Emissions: Analysis Using Panel VAR Model (외국인투자가 탄소배출량에 미치는 영향분석: 패널 VAR 모형을 이용한 분석)

  • Ryoo, Sung-Woo;Lee, Yang-Kee;Kim, Neung-Woo
    • Korea Trade Review
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    • v.44 no.1
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    • pp.45-56
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    • 2019
  • The purpose of this study is to investigate the relationship between foreign investment and carbon emissions in the Korean electricity sector, the causal relationship between the foreign investment invested in the electric power sector in the 16 regional regions and the carbon emissions in the region, The purpose of this study is to analyze the effects of foreign investment on these sectors and the carbon footprint of these sectors using Panel Random Effect Analysis, Panel VAR and OLS models. A panel analysis of foreign investment and regional carbon emissions showed that there was a causal relationship. Based on this analysis, OLS analysis showed that 7 out of 16 metropolitan areas were foreign investment And carbon emissions were significant. In the remaining six regions except Gwangju, there was a causal relationship between foreign investment in the local power sector and the reduction of carbon emissions. After categorizing the electric power industry by device, process, purpose and number of employees, causality also appeared in relation to foreign investment in these sectors and their carbon emissions. Through this study, the authors suggest that foreign investment can be a way to solve not only the financial burden of carbon emission problem, but also the development of national economy and industry through the inflow of capital and advanced new technology.

Monetary Policy Independence and Bond Yield in Developing Countries

  • ANWAR, Cep Jandi;SUHENDRA, Indra
    • The Journal of Asian Finance, Economics and Business
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    • v.7 no.11
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    • pp.23-31
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    • 2020
  • This paper investigates the impact of monetary policy independence shock on bond yield by allowing for heterogeneous coefficients in the model based on panel data for 19 developing countries using quarterly data from 1991 to 2016. First, we estimate the model using conventional panel VAR estimation with the assumption of homogeneous coefficients across countries. Second, by performing Chow and Roy-Zellner tests to check the homogeneity assumption, we find that the assumption does not hold in the model. Third, we apply a mean-group estimation for panel VAR as a solution for heterogeneity panel model. The results reveal that central bank independence is effective in reducing bond yield with the maximum at period 6 after the shock. Shock one standard deviation bond yield has a negative effect on consumption and investment. We determine that central bank independence has a contradictory effect on real activity; a negative effect on consumption but a positive influence on investment for the first two years after the shock. Additionally, we split our sample into three groups to make the subgroups pool. Our empirical result shows that monetary policy independence shock reduces bond yield. Meanwhile, the response of economic activity to bond yield varies for all three groups.

A Dynamic Causality Analysis of Oliver Flounder Producer Price by Region using the Panel VAR Model (패널 VAR 모형을 이용한 지역별 양식넙치 산지가격의 동태적 인과관계 분석)

  • Jeon, Yong-Han;Nam, Jong-Oh
    • The Journal of Fisheries Business Administration
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    • v.52 no.1
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    • pp.47-63
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    • 2021
  • The purpose of this study is to identify the leading price between Jeju and Wando's oliver flounder producer price and to analyze the dynamic effect of the regional producer price using the panel VAR model. In the process of analysis, it was confirmed that there are unit roots in the monthly data of Jeju and Wando's oliver flounder producer price. So, in order to avoid spurious regression, the rate change of producer price which carries out log difference was used in the analysis. As a result of the analysis, first, the panel Granger causality test showed that the influence of the change rate of producer price in oliver flounder in Jeju was slightly larger than that in Wando, but it was found that each region all leads the change rate of the producer price in oliver flounder. Second, the panel VAR estimation showed that the rate change of producer price in Jeju and Wando a month ago had a statistically significant effect on the change rate of producer price of each region. Third, the impulse response analysis indicated that other regions are affected a little more than the same region in case of the occurrence of the impact on the error terms of the change rate of produce price in Jeju and Wando oliver flounder. Fourth, the variance decomposition analysis showed that the change rate of producer price in the two regions was higher explained by Jeju compared to Wando. In conclusion, it is expected that the above results can not only be useful as basic data for the stabilization of oliver flounder producer price and the establishment of policies for easing volatility but can also help the oliver flounder industry operate its business.

A Study on the Macroeconomic Effects of Trade Insurance Using Dynamic Panel Models (동태적 패널모형을 통한 무역보험의 거시경제효과 연구)

  • Nam, Sang Wook
    • THE INTERNATIONAL COMMERCE & LAW REVIEW
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    • v.61
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    • pp.165-190
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    • 2014
  • The purpose of this study is to measure the trade insurance's macroeconomic effects by analyzing the causality between major economic variables(GDP per capita, market interest rate, inflation, unemployment rate, exchange rate) and trade insurance variable. I conducted empirical analyses using First-difference GMM(Generalized Method of Moments), System GMM and Panel-VAR Model, with panel data from 11 countries(Korea, United States, Japan, BRICs, Indonesia, Singapore, Hong Kong, Vietnam) between 1992 and 2011. There are several important findings. Above all, Trade insurance is positively and significantly related to GDP. This results show that trade insurance serves to increase economic growth. In other words, trade insurance leads to economic growth by helping increase GDP per capita. Especially, trade insurance negatively related to unemployment rate, it is for sure that trade insurance contribute to decrease unemployment rate. And trade insurance helps control of inflation. It is also confirmed that trade insurance contributes to price stability, which in turn serves to stabilize the overall economy. And this research finds as uncertainty in the market increases, seen it as increase of exchange rate, increasing trade insurance supply is stabilize the exchange rate.

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Analysis of the Relationship between House Price, Income Inequality and Macroeconomic Variables (주택가격, 소득불평등 및 거시경제변수간의 관계분석)

  • Kwon, Sun-Hee;Hyun, Seong-Min
    • Journal of Digital Convergence
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    • v.17 no.1
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    • pp.55-62
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    • 2019
  • This study analyzed the relationship between housing price, purchase price, Gini coefficient, interest rate, and the employment, considering that the change in housing price was an important factor influencing macroeconomic variables and income inequality. The panel VAR model was constructed considering the panel data, and the Granger causality, Impulse response and Variance dispersion analysis were performed. As a result, when compared to before and after the global financial crisis, it was shown that the rent price had an effect on income inequality, but in the following period, both the rent price and the selling price affected the income inequality. And that it has a large impact on inequality. In addition, the causality between income inequality and employment rate, interest rate, and tax rate was confirmed. Therefore, it is expected that it will be a desirable policy to mitigate income inequality considering the influence of policy variables for economic activation including government real estate policy.

Empirical Study of Dynamic Chinese Corporate Governance Based on Chinese-listed Firms with A Panel VAR Approach

  • Shao, Lin;Zhang, Li;Yu, Xiaohong
    • The Journal of Industrial Distribution & Business
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    • v.8 no.1
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    • pp.5-13
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    • 2017
  • Purpose - In this article, a dynamic model like a VAR is an appropriate choice for estimating the possible interrelationship between ownership structure and firm performance as a dynamic process. Research design, data, and methodology - Data of this work are collected from Chinese stock exchange including 350 Chinese-listed firms during the period of 1999-2012. We hypothesize that this interrelationship dynamically exists between ownership structure and firm performance. To examine the correlation, a panel Vector Auto-regression (PVAR) approach generated by GMM method is utilized to test the possible dynamic relation embedded in corporate governance. Another two dynamic analysis solutions such as orthogonalized impulse-response function and variance decomposition are also used simultaneously. Results - Findings of this study indicate the evidence that dynamically endogenous relationship exists between ownership structure and firm performance. Further, there is a dynamical correlation between investment and performance. Impulse response and variance decomposition illustrate that impact of a shock to variables themselves is the main source for their variability. Conclusions - The conclusion in this study is that there is a bidirectional and inter-temporal effect between proportion of ownership and corporate performance for a long run in accordance with impulse response function. Overall, our results suggest that corporate governance in China is more market oriented.

R&D and Environmental Kuznets Curve Hypothesis: CO2 Case (R&D 투자와 환경쿠즈네츠 곡선 가설: CO2 사례 분석)

  • Kang, Heechan;Hwang, Sangyeon
    • Environmental and Resource Economics Review
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    • v.25 no.1
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    • pp.89-112
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    • 2016
  • In this paper, as a determining factor of the Environment Kuznets Curve hypothesis, we analyzed the impact of technological innovation. In this paper, in order to empirically validate the role of technological innovation to an inverted U-shaped Environments Kuznets Curve hypothesis, we utilize the 2SLS considering relationship between R&D and the GDP per capita. Also, using the Panel VAR (Panel Vector Auto Regression) model to analyze with what time lag R&D per capita has impact on the emissions of greenhouse gases per capita. Empirical results show that R&D per capita(proxy of innovation) is a important factor to explain Environmental Kuznets Curve hypothesis, and that the external shock such as R&D per capita reduces greenhouse gas emissions per capita with about 3 time lag.

An Dynamic Analysis on the Relationship among Prices, Trading Volumes, Import Volumes and Demand Using VAR - Focused on Cabbage, Onions, and Garlic - (VAR을 이용한 도매가격, 반입량, 수입량 및 수요량의 동태적 상관분석 -배추, 양파, 마늘을 중심으로-)

  • Nam, Kuk-Hyun;Choe, Young-Chan
    • Journal of Agricultural Extension & Community Development
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    • v.24 no.1
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    • pp.9-19
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    • 2017
  • This paper analyses the interrelationship among wholesale price, trading volumes, import volumes and demand for three agricultural products (cabbage, onions, and garlic) by using the consumer panel and the data from the Korea Rural Economic Institute and the Korea Customs Service with a VAR model. The results are summarized as below. (1) The prices of three agricultural products decrease when trading volumes increase while the price of cabbage and onions decreases when import volumes increase. But the prices of three agricultural products have little effects on trading volumes. (2) The demand of three agricultural products increases when trading volumes increase while the demand of cabbage and onions increases when import volumes increase. (3) when demand of garlic and cabbage increases by 10%, their price increases by 2.5% and 1.3% respectively. And the demand of garlic has positive effects on import volumes of garlic.

The Relationship Between Oil Price Fluctuations, Power Sector Returns, and COVID-19: Evidence from Pakistan

  • AHMED, Sajjad;MOHAMMAD, Khalil Ullah
    • The Journal of Asian Finance, Economics and Business
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    • v.9 no.3
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    • pp.33-42
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    • 2022
  • Oil prices have become more volatile as a result of global economic contraction and control measures. Before and during the COVID-19 crisis, this study examines the relationship between oil price swings and daily stock returns in the power sector. The impact is investigated using a panel Vector Autoregressive (VAR) model. Granger causality tests are used to see if oil prices are effective in predicting returns. The dynamic impact of supply shocks is studied using Impulse Response Functions (IRFs). From January 2011 to May 2021, the study used daily data from all listed power sector enterprises on the Pakistan stock exchange. To investigate the differences in reactions between the Pre-COVID and COVID eras, the sample was separated into two groups. Oil shocks are inversely associated with daily firm stock returns. The conclusions are further supported by the lack of impact of stock prices on oil prices. The relationship, however, deteriorates during the COVID pandemic. We could not uncover any evidence of a significant relationship. In developing countries that rely on oil imports, the study sheds light on the utility of oil price shocks in daily stock return predictions.

Analysis of the Relationships among Energy, Economic Growth and Greenhouse Gas Emissions Using Metropolitan City/Province Level Data (광역시·도별 자료를 이용한 에너지, 경제성장, 온실가스 배출 간의 관계 분석)

  • Lee, Jaeseok;Lee, Keun-Dae;Yu, Bok-Keun
    • Environmental and Resource Economics Review
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    • v.30 no.3
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    • pp.503-533
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    • 2021
  • This paper analyzes the relationships among the energy consumption, renewable energy production, real gross regional domestic product(GRDP), and greenhouse gas(GHG) emissions. It uses the metropolitan city and province level data for Korea from 2010 to 2018, employing a panal vector autoregressive(VAR) model. We find that an increase in energy consumption has a limited impact on boosting renewable energy production or gross regional domestic product, while it leads to an increase in greenhouse gas emissions. A rise in renewable energy production can increase gross regional domestic product, but it has no meaningful effects on energy consumption and the reduction of green house gas emissions. Our finding indicates that it is crucial to expand the supply of renewable energy as well as to decrease energy consumption in order to achieve the goal of reducing greenhouse gas emissions and reaching economic growth.