• East Asian Economic Review
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• v.23 no.2
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• pp.203-223
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• 2019

This paper examines the interactions between financial conditions and business cycles in Mongolia, a small open economy, heavily depending on commodity exports. We construct two financial conditions indexes based on the reduced form IS model and the vector autoregression (VAR) model as surveillance tools to quantify the degree of the financial conditions. We find that real short-term interest rate and real effective exchange rate gap get a higher weight in the FCIs. Both business and financial cycles are often more pronounced in Mongolia, and financial condition is dependent of the financial and monetary policies in place. The analysis of the predictive power of the FCIs for business cycles shows that they have predictive information for the near-term economic activities. FCIs are also helpful in signaling inflation turning points.

• International Area Studies Review
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• v.15 no.3
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• pp.175-188
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• 2011

This study aims to examine how the U.S. economic shocks affect the Japanese economy. It is widely believed that the U.S. economy has a significant effect on the Japanese economy. Actually, the U.S. accounts for a considerable amount of Japan's exports and imports. To the economic policymakers, it is very important to know how economic disturbances generated by the U.S. are transmitted to the Japanese economy. A vector autoregression(VAR) model is employed to investigate the international transmission channel of economic disturbances. The interactions of the U.S.-Japansese economy are investigated by using variance decompositions(VDCs). The results of this study provided the evidence that the U.S. economic shocks were important for the Japanese economy during the sample period. This study supports the notion of economic dependence of smaller open economy such as Japan as compared with larger economy such as the U.S.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.127-135
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• 2020

This study aims to measure the effects of real interest rate (RIR), gross domestic savings (GDS), and net exports (EN) shocks on Indonesia's economic growth (EG). The focus on Indonesia is unique due to the abundant resources available in the nation, but they are unsuccessful in boosting economic growth. This study applied a quantitative method to comprehensively analyze the correlation between variables by employing Vector Autoregression Model (VAR) combined with Vector Error Correction Model (VECM). Various procedures are preformed: Augmented Dickey-Fuller test (ADF), Optimum Lag Test, Johansen Cointegration Test, Granger Causality Test, as well as Impulse Response Function (IRF) and Error Variance Decomposition Analysis (FEVD). The data were collected from the World Bank and the Asian Development Bank from 1986 to 2017. The findings of the study indicated that economic growth responded positively to real interest rate shocks, which implies that when the real interest rate experiences a shock (increase), the economy will be inclined to growth. While, economic growth responded negatively to gross domestic savings and net export shocks. Policymakers are expected to consider several matters, particularly the economic conditions at the time of formulating policy, so that the prediction effectiveness of a policy can be appropriately assessed.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.543-553
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• 2020

This paper examines the effect of COVID-19 pandemic on the Philippine stock exchange, peso-dollar rate and retail price of diesel using robust least squares regression and vector autoregression (VAR). The robust least squares regression using MM-estimation method concluded that COVID-19 daily infection has negative and statistically significant effect on the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. This is consistent with the results of correlation diagnostics. As for the VAR model, the lag values of the independent variable disclose significance in explaining the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. Moreover, in the short run, the impulse response function confirmed relative effect of COVID-19 daily infections and the variance decomposition divulge that COVID-19 daily infections have accounted for only minor portion in explaining fluctuations of the Philippine stock exchange index, peso-dollar exchange and retail pump price of diesel. In the long term, the influence levels off. The Granger causality test suggests that COVID-19 daily infections cause changes in the Philippine stock exchange index and peso-dollar exchange rate in the short run. However, COVID-19 infection has no causal link with retail pump price of diesel.

• Korea Trade Review
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• v.48 no.3
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• pp.69-88
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• 2023

This study analyzes the dynamic characteristics of cargo volume (demand), ship fleet (supply), and freight rate (price) of container, dry bulk, and tanker shipping markets by using the VAR and VECM models. This analysis is expected to enhance the statistical understanding of market dynamics, which is perceived by the actual experiences of market participants. The common statistical patterns, which are all shown in the three shipping markets, are as follows: 1) The Granger-causality test reveals that the past increase of fleet variable induces the present decrease of freight rate variable. 2) The impulse-response analysis shows that cargo shock increases the freight rate but fleet shock decreases the freight rate. 3) Among the three cargo, fleet, and freight rate shocks, the freight rate shock is overwhelmingly largest. 4) The comparison of adjR² reveals that the fleet variable is most explained by the endogenous variables, i.e., cargo, fleet, and freight rate in each of shipping markets. 5) The estimation of co-integrating vectors shows that the increase of cargo increases the freight rate but the increase of fleet decreases the freight rate. 6) The estimation of adjustment speed demonstrates that the past-period positive deviation from the long-run equilibrium freight rate induces the decrease of present freight rate.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.111-118
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• 2021

The purpose of this paper is to study the impact of trade openness on foreign direct investment (FDI) inflows into Vietnam, an emerging country with relatively high trade openness in recent years. The study used the vector autoregression (VAR) model to examine the impact of trade openness on FDI in Vietnam, in the period from 2005 to 2019. The research data are time-series data, with quarterly frequency, from 2005:Q4 to 2019:Q3. The FDI data were collected by International Financial Statistics. The data of trade openness were calculated based on Vietnam's export, import, and GDP data collected by the General Statistics Office of Vietnam. The estimated result shows that the trade openness has a positive effect on FDI. The current FDI is heavily influenced by FDI in the past with an average explanation of 74%. The main findings indicate that trade openness has a positive effect on FDI inflows into Vietnam. The findings also show that FDI in Vietnam is significantly affected by the shocks of the FDI itself in the past. The findings of the study suggest the Vietnamese Government improves the quality of trade openness and FDI, continues and maintains economic relations with other countries to increase trade openness.

• Knowledge Management Research
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• v.19 no.2
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• pp.1-19
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• 2018

This study aims to identify the causal relationship among public technology transfer, technological performance, and research and development (R&D) productivity. Using the impulse-response function(IRF) of a panel vector autoregressive model (panel VAR), this study suggests the results of how long the factors such as technological performance (patent), public technology transfer, and R&D productivity takes and lasts if a one-unit shock of standard deviation occurs. As a result, first, the increase of public technology transfer activities has no power to increase the technology performance but improve the R&D productivity. If the public institute increases its technology transfer activities by one unit, the R&D productivity will increase within five years. Second, the impact of increasing technological performance on improvement of public technology transfer and R&D productivity is an insignificant. Third, the effect of R&D productivity on the public technology transfer creates a substantial reaction after a current time. Considering the structural relationships among public technology transfer, technological performance, and R&D productivity, if policy makers intend to construct the active R&D circumstance, technology suppliers should be motivated to run the active R&D mechanism because they achieve gains.

• Journal of the Korean Data Analysis Society
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• v.20 no.6
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• pp.2953-2966
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• 2018

Housing prices are closely related to various variables that indicate macroeconomic conditions. In this paper, empirical analysis based on data is performed referring to previous studies. Focusing on the policy interest rate among the factors affecting the housing price, the non-linear impulse responses of other variables to the interest rate shock are analyzed. Using the random forest algorithm, the variable importance scores of the macroeconomic variables presented in the previous studies are calculated. After selecting the variables through this process, the impulse responses are calculated using a model that can capture non-linearity. According to the model, the responses of housing prices to the policy rate is only significant when the rate is raised. Especially, the impulse response is amplified when the shock increases due to the non-linear characteristics that can not be captured by the traditional VAR methodology. The analysis results suggest that the interest rate as a policy instrument should be approached from a more cautious perspective.

• Journal of Mushroom
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• v.21 no.4
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• pp.200-208
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• 2023

This study was conducted to investigate the reasons for the decreased importation of fresh Shiitake mushrooms into Korea after implementation of the Korea-China Free Trade Agreement (FTA). Monthly time-series data from January 2009 to December 2022 were analyzed using regression analysis and vector autoregression (VAR) models to determine the relationship between the amounts of fresh and spawn Shiitake mushrooms imported. The analysis revealed that a major reason for the decreased importation of fresh Shiitake mushrooms was an increase in mushroom spawn imports after Korea-China FTA implementation. The same results were obtained from the VAR model analysis. However, in terms of the dynamic changes in amount of fresh shiitake mushrooms imported, it was confirmed that the impact of the change in mushroom spawn imports could increase the amount of Shiitake mushrooms imported.

• Information Systems Review
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• v.16 no.2
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• pp.77-95
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• 2014

From the success of TDX and CDMA to today's social media boom, Korea's ICT has achieved an amazing growth for the last couple of decades. However, in spite of ICT's role as an engine of growth in Korea, there have been concerns that ICT growth would negatively affect national employment due to the labor substitution effect. While some scholars insist that ICT would positively affect employment because it will enlarge the size of industry itself, many people blame ICT as a main culprit of rising unemployment rates. In this study, we try to empirically find the true effect of ICT growth on employment in Korea. We use the data of ICT productions, ICT investments, and various industries employments from 1995 to 2011. The methodologies we adopted for this study is Granger causality tests and impulse response functions based on vector autoregression (VAR) model. We find that ICT has negative impact on service industries, while it has positive impact on manufacturing industries. Meanwhile, ICT has no statistically significant impact on ICT industry itself. Since the impacts of ICT on employment are mixed, we can argue that ICT should not be blamed for the main cause of low employment. We suggest a direction of future policies to utilize ICT for vitalizing employments in Korea.