• Management & Information Systems Review
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• v.27
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• pp.131-147
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• 2008

The study examines common component existing in five Asian countries from 1991 to 2007. To do this, the daily stock market indices of Korea, Malaysia, Thailand, Indonesia, and the Philippines were used. Using a Vector Autoregressive Model this paper analyzes causal relations and dynamic interactions between five Asian stock markets. The findings in this study indicate that level of five Asian stock markets' stock return linkages are low. First, from the statistics for pair-wise Granger causality tests, I find Granger-causal relationship between Korea and Indonesia and between Malaysia and and Indonesia. Second, from the results of response function and the statistics of variance decomposition, I find that week shocks to Korean stock market return on Malaysia, Indonesia, Thailand, and the Philippines stock market returns. The results indicate increased Asian stock market linkages but the level is very low. This implies that the benefits of diversification within the five Asian stock markets are still existed.

• Computers and Concrete
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• v.20 no.5
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• pp.555-562
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• 2017

The accuracy and integrity of stress data acquired by bridge heath monitoring system is of significant importance for bridge safety assessment. However, the missing and abnormal data are inevitably existed in a realistic monitoring system. This paper presents a data reconstruction approach for bridge heath monitoring based on the wavelet multi-resolution analysis and support vector machine (SVM). The proposed method has been applied for data imputation based on the recorded data by the structural health monitoring (SHM) system instrumented on a prestressed concrete cable-stayed bridge. The effectiveness and accuracy of the proposed wavelet-based SVM prediction method is examined by comparing with the traditional autoregression moving average (ARMA) method and SVM prediction method without wavelet multi-resolution analysis in accordance with the prediction errors. The data reconstruction analysis based on 5-day and 1-day continuous stress history data with obvious preternatural signals is performed to examine the effect of sample size on the accuracy of data reconstruction. The results indicate that the proposed data reconstruction approach based on wavelet multi-resolution analysis and SVM is an effective tool for missing data imputation or preternatural signal replacement, which can serve as a solid foundation for the purpose of accurately evaluating the safety of bridge structures.

• 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.

• The Korean Journal of Applied Statistics
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• v.17 no.2
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• pp.239-252
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• 2004

It is known that the domestic and the U.S. stock prices tend to move together as those markets are closely interrelated. In this study, cointegration and causal relationships among the four stock price indexes of KOSPI, KOSDAQ, DOWJONES and NASDAQ are carefully investigated for the period of declining stock prices in the long run. When all indexes move in a similar fashion, cointegration does not exist and the causal linkages between the domestic and the U.S. stock prices appear relatively complex. On the other hand, when the domestic and the V.S. stock prices move in a different manner, cointegration exists and the causal relationships appear relatively simple. NASDAQ is apparently found to lead the domestic stock market in both periods, which is consistent with the actual market situation when the If industry is under recession.

• 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 Korean Journal of Applied Statistics
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• v.36 no.6
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• pp.529-545
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• 2023

This paper introduces the Banded-VHAR model suitable for high-dimensional long-memory time series with band structure. The Banded-VHAR model has nonignorable correlations only with adjacent dimensions due to data features, for example, geographical information. Row-wise estimation method is adapted for fast computation. Also, two estimation methods, namely BIC and ratio methods, are proposed to estimate the width of band. We demonstrate asymptotic consistency of our proposed estimation methods through simulation study. Real data applications to pm2.5 and apartment trading volume substantiate that our Banded-VHAR model outperforms traditional sparse VHAR model in forecasting and easy to interpret model coefficients.

• Journal of Korea Port Economic Association
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• v.20 no.1
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• pp.43-55
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• 2004

This paper investigates how Japanese economic shocks affect the Korean economy and analyzes the channels through which they are transmitted. Also, the relative importance of domestic and foreign shocks on the dynamics of certain key macro variables is investigated. The techniques of vector autoregression (VAR) are employed to investigate the international transmission of economic disturbances. The VAR methodology is a particularly useful means for characterizing the dynamic relationships among economic variables without imposing certain types of theoretical restrictions. The dynamic effects of Japanese economic shocks on the Korean economy are evaluated by estimating variance decompositions (VDCs) and impulse response functions (IRFs). This study supports the notion of economic dependence of a small open economy such as Korea to a large economy such as Japan.

• East Asian Economic Review
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• v.24 no.1
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• pp.89-124
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• 2020

Even with the sizable Foreign Exchange (FX) holdings and good credit ratings of its top assets, Asia remains vulnerable to various shocks. This paper highlights the limited cross-border asset pledgeability as a significant factor for the lingering vulnerability in Asia. The dichotomy in asset holdings between pledgeable FX and non-pledgeable domestic assets in major economies in Asia has been the source of increasing stabilization costs as well as weakened market momentum in the region. Specifically, the peculiar feature of asset holdings in Asia reflects seriously deficient cross-border asset pledgeability that is left unaddressed. Asset pledgeability contributes toward financial stability via three channels: 1) capital market development by recognizing the role of collateral, 2) increased shock absorption capacity via collateral management, 3) and the newly activated safe asset provision. Therefore, it is crucial to go beyond the usual market development strategy and expand the overall asset pledgeability in the region that has remained unduly depressed.

• The Korean Journal of Applied Statistics
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• v.24 no.5
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• pp.791-797
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• 2011

This paper considers the issue of seasonal cointegrating rank selection by information criteria as the extension of Cheng and Phillips (2009). The method does not require the specification of lag length in vector autoregression, is convenient in empirical work, and is in a semiparametric context because it allows for a general short memory error component in the model with only lags related to error correction terms. Some limit properties of usual information criteria are given for the rank selection and small Monte Carlo simulations are conducted to evaluate the performances of the criteria.

• Journal of Navigation and Port Research
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• v.45 no.2
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• pp.69-74
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• 2021

This study aims to investigate the lead-lag relationship between the agricultural produce import price in Korea and the corresponding shipping freight rate. Since the Korean economy has pursued an export-driven growth strategy, mainly based on the manufacturing sector, the country has to depend on the vast majority of its agricultural produce consumption after import from foreign countries. Moreover, compared with other high-value products, transportation cost occupies a substantial share of the agricultural commodity price, resulting in changes in the shipping freight rate being a pivotal determinant of agricultural produce import. In this respect, this study explores the possible association between agricultural produce import in Korea and shipping freight rate and the lead-lag relationship. Using a monthly dataset of agricultural produce import prices and freight rates for Handysize and Panamax dry-bulkers for the period between January 2010 and November 2020, this study determines that the shipping freight rate, in general, leads the agricultural commodity price.