국가 경제(정책) 불확실성의 충격-반응 효과 분석: 러시아-한국 관계를 중심으

양오석,황성우 중앙대학교 외국학연구소 2021 외국학연구 Vol.- No.55

The main purpose of this article is to identify the impulse and response relationship between Russia and Korea derived from economic(policy) uncertainty. For the empirical analysis corresponding to this purpose, this article used the economic(policy) uncertainty index measured by Baker, Bloom and Davis as empirical data. As for the research timeframe concerned, empirical data has been collected for the period January 2003-2021 to cover the period of the global financial crisis. Through the Impulse Response Function(IRF) and Forecast Error Variance Decomposition(FEVD) based on the vector autoregressive model are employed in exploring the relationship between countries' economic uncertainty. The main findings of the analysis are as follows: 1) The impulse of Russian economic uncertainty varies from continent to continent, and shows high explanatory power for emerging countries in Latin America, while its impulse is low for Europe and Asia, 2) The impulse-response of the economic uncertainty between Russia and Korea showed that Korea's influence on Russia was about twice that of Russia's influence on Korea, and the magnitude of mutual influence (explanatory power) was not significant.

Causality between Port Traffic Volume and Regional Economy

Soo-Won Mo,Dong-Oh Choi 한국무역연구원 2014 무역연구 Vol.10 No.2

Local governments with port facilities have made a great effort to attract port traffic volume in consideration that port has the close relation with their regional economy. Unfortunately, they do not have any particular interest in investigating how much correlation there is between port traffic volume and regional economy. Port traffic volume enables accelerating growth of regional economy as expected. However, there is a possibility that port traffic volume may not be conducive to growth of regional economy contrary to expectation. Rather, regional economy may have influence on port traffic volume. In addition, the two variables are likely to have mutual influence on each other or no causality between them. They are also likely to have a significantly different level of influence on each other. There is a limit to examine such causality with use of Granger causality test that is frequently conducted in many researches. For this reason, vector autoregression (VAR) models such as forecast error variance decomposition, historical decomposition and impulse response are used to analyze direction and degree of causality between port traffic volume and regional economy. This paper demonstrates that port traffic volume accelerates growth of regional economy in Busan, Incheon and Gangwon, whereas it is not almost conducive to growth of regional economy in Gyeonggi, Gyeongnam and Gyeongbuk. In this paper, impulse response function is used to show that impulse of increase in traffic volume induces growth of regional economy and such impulse decays at a very low speed and to demonstrate that Busan economy has a very strong response to traffic volume shock, whereas the regional economies of Gyeonggi, Cbungnam and Gyeongbuk have a relatively weak response.

Estimation of Nonlinear Impulse Responses of Stock Indices by Asset Class

Young Jae Chang 한국통계학회 2012 응용통계연구 Vol.25 No.2

We estimate nonlinear impulse responses of stock indices by asset class by the Local Projection method as suggested by Jorda (2005) to compute impulse responses. The method estimates impulse responses without the specification and estimation of the underlying multivariate dynamic system unlike the usual way of vector autoregression(VAR). It estimates Local Projections at each period of interest rather than extrapolating into increasingly distant horizons with the advantages of easy estimation and non-linear fiexible specification. The Local Projection method adequately captures the nonlinearity and asymmetry of the impulse responses of the stock indices compared to those from VARs.

비강 구조에 대한 임펄스 응답 추정 방법에 관한 연구

양진원,최민주,이용학 濟州大學校 情報通信硏究所 2000 情報通信硏究所論文集 Vol.3 No.-

In this paper. the new method of estimating impulse response by modified Wiener filter is presented. The modified Wiener filter is composed of the noise-to-signal power ratio so that the bias in modified Wiener filter depends on the power spectrum of input signal and noise. Hence. in estimating impulse response. noise is effectively suppressed at the band where the frequency content of input signal is becoming less and less. Simulation shows that error is less in the presented method than in the conventional method. In experiments using the Acoustic Rhinometry. the presented method can acquire the more exact geometry from the estimated impulse response.

Estimation of Nonlinear Impulse Responses of Stock Indices by Asset Class

장영재 한국통계학회 2012 응용통계연구 Vol.25 No.2

We estimate nonlinear impulse responses of stock indices by asset class by the Local Projection method as suggested by Jorda (2005) to compute impulse responses. The method estimates impulse responses without the specification and estimation of the underlying multivariate dynamic system unlike the usual way of vector autoregression(VAR). It estimates Local Projections at each period of interest rather than extrapolating into increasingly distant horizons with the advantages of easy estimation and non-linear flexible specification. The Local Projection method adequately captures the nonlinearity and asymmetry of the impulse responses of the stock indices compared to those from VARs.

Estimation of Nonlinear Impulse Responses of Stock Indices by Asset Class

Chang, Young-Jae The Korean Statistical Society 2012 응용통계연구 Vol.25 No.2

We estimate nonlinear impulse responses of stock indices by asset class by the Local Projection method as suggested by Jorda (2005) to compute impulse responses. The method estimates impulse responses without the specification and estimation of the underlying multivariate dynamic system unlike the usual way of vector autoregression(VAR). It estimates Local Projections at each period of interest rather than extrapolating into increasingly distant horizons with the advantages of easy estimation and non-linear flexible specification. The Local Projection method adequately captures the nonlinearity and asymmetry of the impulse responses of the stock indices compared to those from VARs.

Reinvestigating the Delayed Overshooting Puzzle Using Simultaneous Confidence Regions

김윤정 한국자료분석학회 2015 Journal of the Korean Data Analysis Society Vol.17 No.6

Impulse response functions estimated by vector autoregressive (VAR) models with conventional standard-error marginal confidence intervals show gradual appreciation of local currency following a contractionary monetary shock. This empirical finding documented by Eichenbaum, Evans (1995) is termed the “delayed overshooting puzzle” since it contradicts the Dornbusch’s overshooting model (1976) based on rational expectations. This paper examines the delayed overshooting puzzle and show that the impulse responses of exchange rates and to monetary policy shocks have high serial correlation. In the presence of serial correlation in the coefficients of impulse response functions, conventional marginal confidence intervals that ignore serial correlation can be misleading measures of statistical inference about the impulse response. Jorda (2009) constructs two useful measures of simultaneous confidence intervals that account for serial correlation. This paper applies these simultaneous confidence intervals to the delayed overshooting puzzle and shows that these intervals give very different results from traditional marginal confidence intervals.

Transient response of vibration systems with viscous-hysteretic mixed damping using Hilbert transform and effective eigenvalues

S.H. Bae,정의봉,조진래,J.H. Lee 국제구조공학회 2017 Smart Structures and Systems, An International Jou Vol.20 No.3

This paper presents the time response of a mixed vibration system with the viscous damping and the hysteretic damping. There are two ways to derive the time response of such a vibration system. One is an analytical method, using the contour integral of complex functions to compute the inverse Fourier transforms. The other is an approximate method in which the analytic functions derived by Hilbert transform are expressed in the state space representation, and only the effective eigenvalues are used to efficiently compute the transient response. The unit impulse responses of the two methods are compared and the change in the damping properties which depend on the viscous and hysteretic damping values is investigated. The results showed that the damping properties of a mixed damping vibration system do not present themselves as a linear combination of damping properties.

거시경제변수가 공매시장에 미치는 영향 연구

백석기(Baeck, Sug-kee),정재호(Chung, Jae-ho) 韓國不動産學會 2015 不動産學報 Vol.62 No.-

공매낙찰가율은 공매절차의 이해관계자들에게 매우 중요하게 작용한다. 본 연구에서는 거시경제 변수가 공매낙찰가율에 미치는 영향을 시계열로 실증분석 하였다. 거시경제변수에는 체납압류부동산 공매낙찰가율과 소비자물가지수, CD금리, 주택매매가격지수, 지가지수, 경제심리지수로 한다. 실증분석 결과를 보면, 그랜저인과관계검정 결과에서 소비자물가지수, 지가지수, 경제심리지수가 공매낙찰가율에 직접적인 영향을 미치는 변수인 것으로 나타났다. 충격반응 분석에서는 공매낙찰가율은 소비자물가지수 충격에 정(+)의 반응, 경제심리지수 충격에 3개월 후부터 정(+)의 반응, 주택매매 가격지수의 충격에 꾸준한 정(+)의 반응, 금리충격에 2개월 후부터 부(-)의 반응, 지가지수(LPI)의 충격에 정(+)의 반응을 보였다. 분산분해 분석에서는 초기에는 공매낙찰가율 자기자신에 의해 88% 이상 설명되다가 차츰 지가지수와 소비자물가지수의 설명력이 높아지는 것으로 나타났다. 1. CONTENTS (1) RESEARCH OBJECTIVES This research tries to delve into the impact of macro economic variables over the bid rate of public auction from the perspective of the time series analysis. (2) RESEARCH METHOD This study limits its contents to macro economic variables as well as the bid rate of public auction(BP) of the seized property. The Consumer price index(CPI), The CD rate, The Housing sales price index(HPI) and Land price index(LPI) and Economic sentiment index(ESI). (3) RESEARCH FINDINGS The CPI, LP, ESI directly affect the BP in Granger Casuality Test. In the Impulse-response analysis, the BP rose in direct proportion to the CPI by one unit increase of its standard deviation. The positive response was also shown in the ESI 3 months later. As far as the impulse on the housing sales price index, the positive response has been steadily observed. Regarding the impulse on the interest rate and the LPI, the negative and positive correlations have been seen respectively. In the analysis of the forecast error variance decomposition, more than 88% of the phenomena can be explained by the SB itself in the initial stage. 2. RESULTS We find the CPI, LPI, ESI have directly affect the BP.

Rainfall-Runoff Analysis Utilizing Multiple Impulse Responses

유철상(Chulsang Yoo),박주영(Jooyoung Park) 한국지능시스템학회 2006 한국지능시스템학회논문지 Vol.16 No.5

최근들어 강우-유출 현상에 관한 비선형 모델링에 관하여 많은 연구가 있어 왔는데, 그 중에서도 신경망을 이용한 결과는 매우 성공적인 것으로 보고되어 왔다. 선형 구조가 갖는 근본적인 한계성으로 인하여, 이 분야에 선형 모델을 활용하는 것은 신경망을 사용하는 경우에 비하여 불리할 것으로 여겨지곤 한다. 하지만 우리는, 선형 모델의 경우 주어진 문제가 갖는 근본적 동특성의 원리를 보다 잘 이해할 수 있도록 해주므로, 적절한 확장 과정을 거치면 선형 임펄스 응답의 개념은 매우 경쟁력 있는 도구가 될 수 있을 것으로 생각한다. 이러한 생각에 따라, 본 논문에서 우리는 복수의 임펄스 응답의 이용을 강우 유출 해석의 문제에 적용하는 방안을 제안한다. 제안된 방법은 복수의 임펄스 응답 모델 사이에 적용되는 단순하고 고정된 스위칭 전략에 기반을 두고 있으며, 각 임펄스 응답은 음이 아닌 성분을 갖도록 하고, 동시에 한개의 봉우리만 갖는 형태를 만족하도록 한다. 우리나라의 특정한 지역의 수문가상학 자료를 대상으로 하여 적용해 본 결과, 제안된 방법은 매우 의미 있는 결과를 제공함을 보여주었다. There have been many recent studies on the nonlinear rainfall-runoff modeling, where the use of neural networks is shown to be quite successful. Due to fundamental limitation of linear structures, employing linear models has often been considered inferior to the neural network approaches in this area. However, we believe that with an appropriate extension, the concept of linear impulse responses can be a viable tool since it enables us to understand underlying dynamics principles better. In this paper, we propose the use of multiple impulse responses for the problem of rainfall-runoff analysis. The proposed method is based on a simple and fixed strategy for switching among multiple linear impulse-response models, each of which satisfies the constraints of non-negativity and uni-modality. The computational analysis performed for a certain Korean hydrometeorologic data set showed that the proposed method can yield very meaningful results.