뉴스충격과 주식시장 변동성의 비대칭성

모수원(Mo Su Won),김창범(Kim Chang Beom) 한국경영학회 2003 經營學硏究 Vol.32 No.3

The standard GARCH model fails in capturing some important features of the data. The estimated news impact curve for the GARCH model, which imposes symmetry on the conditional variances, suggests that the conditional variance is underestimated for negative shocks and overestimated for positive shocks. Hence, this paper introduces the asymmetric or leverage volatility models, in which good news and bad news have different impact on volatility. They include the EGARCH. AGARCH, and GJR models. The empirical results showed that negative shocks introduced more volatility than positive shocks. Overall, the AGARCH and GJR were the best at capturing this asymmetric effect. Furthermore, the GJR model successfully revealed the shape of the news impact curve and was a useful approach to modeling conditional heteroscedasticity. since the GJR outperforms the other three volatility models.

담배소비 행태

모수원(Soo-Won MO) 조선대학교 지식경영연구원 2009 기업과 혁신연구 Vol.2 No.3

재화가격이 상승하면 그 재화에 대한 수요가 감소한다는 것이 경제학의 기본 법칙이다. 담배에 관한 과거의 많은 연구들은 니코틴의 강한 중독성 때문에 담배수요는 여기에 예외가 되는 것으로 간주하였다. 니코틴에 깊게 중독된 흡연자들은 흡연을 위해서는 어떠한 가격도 지불하며, 흡연욕구를 충족시키기 위해서 담배가격 인상에도 동일한 양의 담배를 구매한다는 것이다. 이에 비해 근래의 연구들은 담배수요가 가격에 비탄력적이긴 하나 가격에 영향을 받는 것으로 판단하는 경향이 있다. 따라서 조세부과와 가격인상을 통해 기존의 흡연자들로 하여금 흡연을 포기하게 하고, 예비 흡연자들의 새롭게 흡연시도를 억제할 수 있다는 것이다. 그러나 담배가격인상이 담배소비를 효율적으로 줄일 수 있는가에 대해서는 여전히 이슈(issue) 이다. 본고는 담배가격, 경기, 맥주와 소주소비로 담배수요함수를 구성하여 맥주와 소주의 소비증가가 담배소비증가를 유발하며, 특히 맥주소비가 담배소비에 미치는 영향이 크고 오래 지속된다는 것을 보인다. 또한 경기가 나쁠수록 담배소비가 크게 증가하며, 담배가격의 인상은 인상된 기간에는 상당한 크기의 소비억제효과를 가지나, 감소된 소비가 곧바로 회복되어 가격인상의 효과는 단기에 그쳐 사실상 무의미하다는 것도 보인다. 이러한 점은 담배수요가 불균형을 이룰 경우 조정속도가 '1'을 초과하고 있다는 사실로 확인할 수 있다. 이러한 결과는 흡연자를 줄이기 위해서는 가격인상으로 가난한 사람에게 부담을 주어서 담배소비를 줄이려는 '비도덕적'인 가격정책은 효과가 거의 없기 때문에 경제정의에 부합하는 '인간적'인 비가격 정책을 실시하여 흡연을 유도하여야 한다는 것을 밝힌다. The main purpose of this paper is to determine the reduced form impact of the economic variables on the demand for tobacco products. This is accomplished by modelling the demand for tobacco as cigarette price, industrial production, beer consumption and soju consumption. All series span the period January 1995 to August 2009. I first examine the univariate time-series properties of the series by testing whether the series are stationary or not. The number of lags is determined on the performance of the Lagrange multiplier test for serial correlation. I cannot reject the null hypothesis of a unit root in each of the level variables at the 5 percent significance level. Based on this result, I test whether there is an equilibrium relationship between them using Engle-Granger cointegration procedure. The results show that the null hypothesis of a unit root for the residuals from the cointegration cannot be rejected at the 5 percent level. This paper hitherto makes use of historical decompositions and impulse response functions, both of which have now been widely used to examine how much movement in one variable can be explained by innovations in different variables and how rapidly these fluctuations in one variable can be transmitted to another. The former shows that three variables move close to the actual consumption path, indicating the model used here be appropriate in explaining and forecasting the cigarette consumption. The impulse response function shows that the demand responds positively to the shock in the consumption of both beer and soju and decays slowly, while the response to the shock in the tobacco price increase is not only very small relative to the price coefficient but changes from negative to positive.

MRI 정기용선료지수의 상호인과성

모수원 ( Soo Won Mo ) 韓國海運物流學會 2009 해운물류연구 Vol.25 No.1

해상물동량의 추정과 예측

모수원 ( Soo Won Mo ),김창범 ( Chang Beom Kim ) 한국해운물류학회 2003 해운물류연구 Vol.37 No.-

The purpose of this study is to estimate and forecast the marine trading volumes based on the structural model. We employ Engle and Granger two-step cointegration technique. Johansen`s multivariate cointegration methodology and GPH test, since the model must be stationary to get the accurate predicted values. The empirical results show that out model is stationary as well as mean-reverting. This paper also applies variance decompositions and impulse-response functions to the structural model composed of the real effective exchange rate, domestic industrial activity, and world business. The results indicate that while both loading and unloading volumes respond positively to the shocks in income and then decay very slowly, their responses are different to the shocks in exchange rate. This study also compares the forecasting accuracy of the structural model with that of the nonstructural model, ARIMA model, showing that the former outperforms the latter.

환율의 변동성과 신조선 수주

모수원 ( Soo Won Mo ) 한국해운물류학회 2004 해운물류연구 Vol.41 No.-

There are a few research papers to estimate and predict the change of shipbuilding order. However, they failed to accurately predict the change because they employed only limited number of variables which are observable. Unobservable variables, which have been overlooked so far, are likely to affect the demand for shipbuilding considerably. This paper, hence, investigated whether exchange rate volatility affects shipbuilding orders. The GARCH model as well as asymmetric or leverage volatility models, where good news and bad news have different impact on volatility, was introduced in this paper. Namely, such models as EGARCH, AGARCH, and GJR are examined in this paper. The empirical results showed that the GARCH model was the best at capturing the exchange rate volatility. The exchange rate volatility estimated by GARCH model has a negative effect on the shipbuilding demand, but the effect decays quickly.

발틱운임의 불편성(不偏性)과 인과성

모수원 ( Soo Won Mo ) 한국해운물류학회 2007 해운물류연구 Vol.54 No.-

대산항 수출변동의 요인별 분해

모수원(Mo, Soo-Won),박정환(Park, Jeong-Hwan),이광배(Lee, Kwang-Bae) 한국항만경제학회 2018 韓國港灣經濟學會誌 Vol.34 No.4

대산항 수출은 석유제품, 석유화학중간원료, 기초유분, 합성수지 4개 품목이 92%를 차지하고 있다. 그런데 이와 같은 대산항의 주요 품목의 수출실적은 경쟁항만에 따라서 다르게 나타나고 있다. 본고는 이러한 현상을 규명할 수 있는 공간변이할당모형의 새로운 버전을 개발하여 대산항의 수출 변동요인을 밝힌다. 먼저 표준변이할당분석을 통해 석유제품과 기초유분에서는 지역-국가 전부문 변이효과와 지역산업구조효과가, 석유화학중간원료와 합성수지에서는 지역-국가 전부문 변이효과가 주요 수출변동요인임을 밝힌다. 석유제품을 포함한 4개 품목 모두 지역-국가 전부문 변이효과가 양의 부호를 가져 대산항의 수출이 다른 항만들에 비해 원활함을 보인다. 또한 석유제품과 기초유분의 지역산업구조효과가 양의 부호로 빠르게 수출이 증가하는 품목인데 비해, 석유화학중간원료와 합성수지는 음의 부호로 수출활동이 활발하지 못함을 보인다. 공간변이할당분석에서 대산항은 석유제품에서 경쟁력이 약한 울산항은 물론 경쟁력이 강한 온산항과 인천항에 대해서도 경쟁우위를 가지나, 경쟁력이 높은 여수항에 대해서는 열위상태에 있다. 기초유분에 있어서는 높은 경쟁력을 갖는 인천항과 온산항에 대해 그리고 경쟁력이 약해진 여수항에 대해 우위를 가지나, 경쟁력을 회복한 울산항에 대해서는 경쟁력 우위를 상실하고 있다. 석유화학중간원료에 있어서 수출경쟁력이 높은 울산항, 온산항, 여수항에 대해 경쟁력을 상실한 반면에 경쟁력이 약해진 인천항에 대해 경쟁력을 회복하고 있다. 그리고 합성수지에 있어서는 경쟁력을 가진 울산항, 부산항, 인천항에 대해 경쟁력을 잃고 있으며, 경쟁력이 약한 광양항에 대해서는 경쟁력을 유지하고 있음을 밝힌다. The standard shift-share analysis decomposes a region’s sectoral growth into three components: national, industry-mix, and regional-shift effects. Nevertheless, the three components of the traditional shift-share are not related to the behavior of the regional economies that are neighbors of the region under analysis. We incorporate a spatial structure within this basic formulation, and consider spatial interaction in the decomposition analysis. Daesan Port’s export grew steadily at an annualized average rate of 4.0% during 2011-2017, and its rank, in terms of export performance, was 13 in 2010; this rose to 6 in 2016, then declined slightly to 7 in 2017 before reaching 6 as of June, 2018. However, not all ports have a similar growth path. The Onsan Port’s share declined from 27.4% in 2011 to 21.0% to 2017, whereas the share of petroleum product exports of Daesan Port increased rapidly, from approximately 8.5% in 2011 to 16.0% in 2017. The standard shift-share analysis shows that petroleum products and basic petrochemicals have a positive regional industry-mix effect, but petrochemistry materials and synthetic resins have a negative sign, indicating that the former’s exports grow faster than national export, while the increase of the latter’s export is slower than national one. The spatial shift-share model indicates that for both petroleum products and basic petrochemicals, Incheon and Ulsan Ports have a positive value for the neighbor-nation regional shift effect and a positive value for the region-neighbor regional shift effect. This paper also shows that Yeosu Port for petroleum products; Ulsan Port for basic petrochemicals; Ulsan, Onsan and Yeosu Ports for petrochemistry materials; and Ulsan, Busan, and Incheon Ports for synthetic resins have a positive value for the neighbor-nation regional shift effect but a negative value for the region-neighbor regional shift effect.

부산과 경남의 산업경쟁력

모수원(Soo-Won Mo),최동오(Dong-Oh Choi),이광배(Kwang-Bae Lee) 한국무역연구원 2016 무역연구 Vol.12 No.5

In this study, we compare the performance of two regions for the period 2005 and 2014. Two methods are employed in this study: the location quotient and the shift share techniques. The data used in the location quotient analysis are the same as those used for the shift-share analysis. The results suggest that over the period 2005-2014, both regions performed poorly and were below the national average. Only eight sectors have positive industrial mix effects. For the competitive share, on the other hand, it raises the more serious question as to whether the industries of two regions are growing faster or slower than similar industries at the national level. Fifteen sectors in Busan and nine in Gyungnam show negative competitive share component results. This implies that the sectors in the regions are less competitive compared to the those at the national level. Many sectors at the regional level are growing slower than those of similar nature at the national level regardless of whether the industries of two provinces are complementary with each other.

변이할당분석을 이용한 광양항과 인천항의 수출구조 분석

모수원 ( Soo Won Mo ),정홍영 ( Hong Young Chung ),이광배 ( Kwang Bae Lee ) 한국해운물류학회(구 한국해운학회) 2015 해운물류연구 Vol.31 No.3

물동량과 무역규모에서 인천항에 대한 광양항의 비교우위는 빠르게 약해지고, 광양항의 교역조건이 악화되는 추세여서 물동량 증가와 수익성 악화가 함께 이루어지는 빈곤화성장 가능성마저도 우려되고 있다. 이에 변이할당분석(shift-share analysis)을 통해 광양항과 인천항의 수출구조를 분석하였다. 연구 결과, 인천항의 주요 수출인 평판디스플레이는 지역할당효과로 수출증가에 상당한 기여를 한다는 것과, 수출비중이 높은 플라스틱제품, 건설광산기계, 자동차부품, 건전지 등은 산업구조효과와 지역할당효과가 모두 양(+)으로 인천항의 성장 전망이 밝게 나타났다. 광양항의 변이할당분석에서 산업구조효과는 합성고무, 기타석유화학제품, 정밀화학원료, 자동차부품에서 양의 값을 가지나, 정밀화학원료와 자동차부품 2개 품목에서만 지역할당효과가 양의 부호라는 것과, 종이제품과 고무제품은 두 효과가 모두 음이어서 사양산업임을 보인다. Shift-share analysis is a traditional tool for the measurement, comparison, and evaluation of interregional and sectoral performance. Its widespread use is explained by its simplicity and modest data requirements; it does not require primary data collection and its results are also relatively easy to assess and interpret. Since exports are a vital factor in the overall development of a port, some means of quantitatively assessing export changes must be developed. If shifts in exports can be isolated, they can be used to explain partially structural transformations in ports and to provide insight into possible future direction for port development. This study, therefore, uses a shift-share technique to isolate the various factors associated with export changes. The traditional shift-share model partitions the change of exports in a port into three effects: the national growth effect, the industrial mix effect and the regional share effect. The national growth effect attempts measure the change in exports in a port that would have occurred if its exports had grown at precisely the same rate as the national average. Hence, if a port grows at the same rate as the national average, it does not possess any comparative advantage in terms of resource endowments or human capital. The industrial mix effect associates the differential growth rate in exports between the region in question and the nation as a whole with the overall strengths or weaknesses of the relevant export sectors. Ideally, it is expected that a large proportion of a port’s exports should be concentrated in faster-growing industries. The regional share effect accounts for the differential change between a port and the nation. The regional share effect portrays the competitive position of a port in relation to the rest of the port. For instance, an export component that is growing faster in a port than its counterparts in the nation as a whole will add to the port’s overall growth relative to that of the nation, while a slower-growing component will bring forth an opposite effect. The export data used in this study are obtained from the Korea International Trade Association and consist of exports by two ports of 20 individual products. The particular product categories studied are at three-digit MTI (Ministry of Trade and Industry) level of disaggregation. The national growth effect for synthetic resin and steel plate-rolled products accounted for about 96 percent and 102 percent respectively of the increase in exports of Gwangyang Port or 3,685 and 4,226 million dollars respectively during the period under analysis. The fact that the industrial mix effects of the two products were negative-at 486 and 1,191 million dollars, respectively-can be interpreted to mean that Gwangyang Port’s main export products were growing slowly rather than rapidly. The regional share effects of the two products did not explain a large proportion of the change-at about 16 percent and 27 percent, respectively. The greatest regional share impact was in the steel plate-rolled product sector. The national growth effect of the automobile industry accounted for about 99 percent of the increase in export of Incheon Port or 3,378 million dollars, while that for the flat panel display only explained 1 percent or 100 million dollars. The regional share effect of flat panel display, however, explained a very large percentage of the change-88 percent or 12,238 million dollars-compared with automobiles, at 46 percent or 1,585 million dollars. The industrial mix effect of the two products was negative or explained only a small portion of the change.

환율변동이 물가와 무역수지에 미치는 효과

모수원(Mo Soo-won) 조선대학교 지식경영연구원 2002 지역개발연구 Vol.7 No.2

The purpose of this paper is to develop in mathematical form the partial equilibrium model of the exchange rate changes. This paper deals with formal relationships between demand for and supply of foreign exchange, assuming that there are two countries. home country(Korea) and foreign country(USA), with national currencies the won and the dollar. The results show that the export prices and terms of trade depend on the supply elasticity of exports and the demand elasticity of imports.