A Study on Determinants of Asset Price : Focused on USA (자산가격의 결정요인에 대한 실증분석 : 미국사례를 중심으로)
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- The Journal of Industrial Distribution & Business
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- v.9 no.5
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- pp.63-72
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- 2018
Purpose - This work analyzes, in detail, the specification of vector error correction model (VECM) and thus examines the relationships and impact among seven economic variables for USA - balance on current account (BCA), index of stock (STOCK), gross domestic product (GDP), housing price indices (HOUSING), a measure of the money supply that includes total currency as well as large time deposits, institutional money market funds, short-term repurchase agreements and other larger liquid assets (M3), real rate of interest (IR_REAL) and household credits (LOAN). In particular, we search for the main explanatory variables that have an effect on stock and real estate market, respectively and investigate the causal and dynamic associations between them. Research design, data, and methodology - We perform the time series vector error correction model to infer the dynamic relationships among seven variables above. This work employs the conventional augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root techniques to test for stationarity among seven variables under consideration, and Johansen cointegration test to specify the order or the number of cointegration relationship. Granger causality test is exploited to inspect for causal relationship and, at the same time, impulse response function and variance decomposition analysis are checked for both short-run and long-run association among the seven variables by EViews 9.0. The underlying model was analyzed by using 108 realizations from Q1 1990 to Q4 2016 for USA. Results - The results show that all the seven variables for USA have one unit root and they are cointegrated with at most five and three cointegrating equation for USA. The vector error correction model expresses a long-run relationship among variables. Both IR_REAL and M3 may influence real estate market, and GDP does stock market in USA. On the other hand, GDP, IR_REAL, M3, STOCK and LOAN may be considered as causal factors to affect real estate market. Conclusions - The findings indicate that both stock market and real estate market can be modelled as vector error correction specification for USA. In addition, we can detect causal relationships among variables and compare dynamic differences between countries in terms of stock market and real estate market.
This article examines the distributional characteristics of the return of Chinese stock market indices. The majority of previous empirical researches have tended to focus upon the simple stock market index. However, this study focuses on the four indices which represent the characteristics of each stock market index. The empirical findings indicate that the returns of the four chinese indices are not normally distributed at conventional levels. The Ljimg-Box -statistics indicate the returns of the index of A shares are not serially autocorrelated. However, the returns of the index of B shares are serially autocorrelated. The empirical findings also indicate returns of the four chinese indices are not serially autocorrelated. The statistics of Regression Specification Error Test and ARCH indicate the returns of all four indices are not serially linear. The findings also indicate that E- GARCH model is the most fittest model for the returns of the four chinese indices and the forecast error can be reduced by using student t distribution rather normal distribution.
Overview of Research: Product availability is one of important competences of store to fulfill consumer needs. If stock-outs which means a product what consumer wants to buy is not available occurs, consumer will face decision-making uncertainty that leads to consumer's negative responses such as consumer dissatisfaction on store. Stockouts was much studied in the field of academia as well as practice in other countries. However, stock-outs has not been researched at all in Marketing and/or Distribution area in Korea. The main objectives of this study are to find out determinants of consumer responses such as Substitute, Delay, and Leave(SDL) when consumer encounters out-of-stock situation and then to examine the effects of these factors on consumer responses. Specifically, this study focuses on situational characteristics(e.g., purchase urgency and surprise), store characteristics (e.g., product assortment and store convenience), and consumer characteristics (e.g., brand loyalty and store loyalty). Then, this study empirically investigates relationships these factors with consumers behaviors such as product substitution, purchase delay, and store switching.
A stochastic model for an inventory system in which depletion of stock takes place due to random demand as well as random loss of items is studied under the assumption that the intervals between successive unit demands, as well as those between successive unit losses are independently and identically distributed random variables having negative exponential distribution with respective parameters. We have derived the steady state probability distribution of the stock level assuming instantaneous delivery of order under (s, S) inventory policy. Also we have derived total expected cost expression and the necessary conditions to be satisfied for an optimal solution.
This paper employs dynamic conditional correlation (DCC) model to examine time-varying comovement in the Korean stock market with a focus on the financial industry. Analyzing the daily returns of KOSPI 200 eight sector indices from January 2008 to December 2013, we find that stock market correlations significantly increased during the GFC period. The Financial Sector had the highest correlation between the Constructions-Machinery Sector; however, the Consumer Discretionary and Consumer Staples sectors indicated a relatively lower correlation between the Financial Sector. In terms of model fitting, the DCC with t distribution model concludes as the best among the four alternatives based on BIC, and the estimated shape parameter of t distribution is less than 10, implicating a strong tail dependence between the sectors. We report little asymmetric effect in correlation dynamics between sectors; however, we find strong asymmetric effect in volatility dynamics for each sector return.
At this research, author discusses about ROK Army military supplies distribution system and suggests a direction of development as follows in order to achieve maximum efficiency. First, Develope a scientific technique to estimate quantity of repair part for futher demanding at the budgetting and procurement planning stage. Second, Introduce an Logistic Revolving Fund in other to reduce the procurement lead time & assure flexible procurement all year round. Third, Reestabilish supply step stages and reduce stock level which is authorized stock amount in logistic support unit. Fourth, Estabilish civilian - military integrated military supplies distribution system to improve the efficiency of logistics.
Various inventory control theories have tried to modelling and analyzing supply chains by using quantitative methods and characterization of optimal control policies. However, despite of various efforts in this research filed, the existing models cannot afford to be applied to the realistic problems. The most unrealistic assumption for these models is customer demand. Most of previous researches assume that the customer demand is stationary with a known distribution, whereas, in reality, the customer demand is not known a priori and changes over time. In this paper, we propose a reinforcement learning based adaptive echelon base-stock inventory control policy for a multi-stage, serial supply chain with non-stationary customer demand under the service level constraint. Using various simulation experiments, we prove that the proposed inventory control policy can meet the target service level quite well under various experimental environments.
Through the model presented in this paper, we study on the depletion of stock taking place due to random loss of items as well as random demand, under the assumption that the distributions of demand are independent of those of loss, and both of them are identical, and that life time distribution of each item is negative exponential. The steady state probability distribution of the stock level assuming instantaneous delivery of order under (s, S) inventory policy. Also we have derived total expected cost expression with loss cost. The results of sensitive analysis show that the effect of loss rate is substantial on the total cost and optimal value of inventory level.
Although much attention has been paid to customer satisfaction (CS) as a leading indicator of firm performance, few studies have investigated the role of CS distribution across individual customers. With 10 years of National Customer Satisfaction Index (NCSI) data in Korea, we examine the relationship between the variance of CS and key corporate performance measures such as revenue, profit, Tobin's q, and stock return. There are three main findings. First, we confirm the findings of previous studies that the average CS for a firm is related to the firm's economic performance. Second, we find a moderating effect of CS variance such that the relationship between the level of CS and firm performance is attenuated by the variance of CS. Finally, the variance of CS is found to directly affect firm performance over and above the CS level effect. More specifically, the variance decreases sales and stock return.
The linkages between asset prices and macroeconomic outcomes are long-standing issue to both economists and monetary authorities. This paper explores the impact of asset prices on output and price in China. It focuses on the impacts of asset prices on the low quantiles of GDP gap and high quantiles of price gaprespectively. The main findings are the following: the influence of stock price gap, stock returns, and money growth on the different quantile of GDP gap and price gap are noticeable different, and there are significant impacts on the left tail of GDP gap distribution and on the right tail of price gap distribution. This implies that the results coming from simple regression will underestimate the economic risk imposed by asset price volatility. Moreover, these results also provide the caveat that one should cautiously distinguish the meaning of asset price gap and asset price growth rate and use them, through their contents are similar in some sense. One implication for monetarypolicy is that authority should interpret the relationship between asset prices and macro-economy in wider perspectives, and make the policy decision taking the impacts of asset prices on the tails of economy.
shows the research model of this study. To accomplish above-mentioned research objectives, the following ten hypotheses were proposed and verified : is the estimation results of l\1NL model, and
shows the marginal effects for each determinant to consumer's responses(SDL). Significant statistical results were as follows. Purchase urgency, purchase quantities, pre-purchase plan, product assortment, store price image, brand loyalty, and store loyalty were turned out to be significant determinants to influence consumer alternative behaviors in case of out-of-stock situation. Specifically, first, product substitution behavior was triggered by purchase urgency, surprise, purchase quantities, pre-purchase plan, product assortment, store price image, brand loyalty, and store loyalty. Second, purchase delay behavior was led by purchase urgency, purchase quantities, and brand loyalty. Third, store switching behavior was influenced by purchase urgency, purchase quantities, pre-purchase plan, product assortment, store price image, brand loyalty, and store loyalty. Finally, when out-of-stock situation occurs, store convenience and salesperson service did not have significant effects on consumer alternative responses.
A Continuous Review(s, S) Inventory Model in which Depletion is Due to Demand and Loss of Units
Time-Varying Comovement of KOSPI 200 Sector Indices Returns
A Study on Development Direction of ROK Army Logistic System
(군(軍) 물류체계(物流體系) 발전방향(發展方向) 제언(提言) - 육군(陸軍)을 중심(中心)으로 -)
Reinforcement leaning based multi-echelon supply chain distribution planning
(강화학습 기반의 다단계 공급망 분배계획)
On the Optimality of (s, S) Inventory Policy with Loss Cost
(손실비용을 고려한 (s, S) 재고정책)
Does the Variance of Customer Satisfaction Matter for Firm Performance?
Asset Price Volatility and Macroeconomic Risk in China
(资产价格波动对中国宏观经济风险的影响)
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