JOURNAL BROWSE
Search
Advanced SearchSearch Tips
Study on Interrelation between the Service Industrial Production Index and the Service Industrial Wholesale and Retail Index
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Study on Interrelation between the Service Industrial Production Index and the Service Industrial Wholesale and Retail Index
Kim, Joo Il;
  PDF(new window)
 Abstract
We examine the information transmission between the Service Industrial Production Index and the Service Industrial Wholesale and Retail Index, based on the returns data offered by the Korea Bank. The data includes daily return data from January 2000 to September 2015. Utilizing a dynamic analytical tool-the VAR model, Granger Causality test, Impulse Response Function and Variance Decomposition have been implemented. The results of the analysis are as follows. Firstly, results of Granger Causality test suggests the existence of mutual causality the Service Industrial Production Index precede and have explanatory power the Service Industrial Wholesale and Retail Index However the results also identified a greater causality and explanatory power of the Service Industrial Wholesale and Retail Index over the Service Industrial Production Index. Secondly, the results of impulse response function suggest that the Service Industrial Production Index show immediate response to the Service Industrial Wholesale and Retail Index and are influenced by till time 5 From time 2, the impact gradually disappears. Also the Service Industrial Wholesale and Retail Index show immediate response to the Service Industrial Production Index and are influenced by till time 2.5, the impact gradually disappears. Lastly, the variance decomposition analysis shows that the changes of return of Service Industrial Production Index are dependent on those of the Service Industrial Wholesale and Retail Index. This implies that returns on the Service Industrial Production Index have a significant influence over returns on the Service Industrial Wholesale and Retail Index. It contributes to the understanding of market price formation function through analysis of detached the Service Industrial Production Index and Service Industrial Wholesale and Retail Index. Finally, our results can be used as a guide by the Korea Bank and Republic of Korea and as well as Statistics Korea.
 Keywords
Service Industrial Production Index;Service Industrial Wholesale and Retail Index;VAR;Granger Causality test;Impulse Response Function;Variance Decomposition;
 Language
Korean
 Cited by
 References
1.
Baillie, R. T. (1989), Commodity prices and aggregate inflation: Would a commodity price rule be worthwhile?, Carnegie-Rochester Series on Public Policy, 31, 185-240. crossref(new window)

2.
Boughton, J. M. and Branson, W. (1988), Commodity prices as a leading indicator of inflation, IMF Working paper.

3.
Clark, Todd E. (1995), Do Producer Prices lead Consumer Prices?, The Federal Reserve Bank of Kansas City Economic Review, Third Quarter, 25-39.

4.
Dickey, David and Wayne, A. Fuller (1979), Distribution of the Estimators for Autoregressive Time Series With Unit Root, Journal of American Statistical Association. Vol 74.

5.
Hwang, Sung S. (2004), "The Relationship between Stock Index and Option Markets: An Empirical Analysis Using Put-Call Parity", Journal of CEO and Management Studie, 7(2), 167-184.

6.
Johansen, Soren (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59(6) 1551-1580. crossref(new window)

7.
Kim, Jae I. and Kim, J. I. (2014), Study on interrelation between Stock Price and Macroeconomic Variables, Journal of CEO and Management Studie, 17(3), 163-186.

8.
Kim, Joo I. and Moon, G. H. (2013), Study on Interrelation between PPI and CPI Using Rice Index in Korea, Journal of CEO and Management Studie, 16(1), 1-16.

9.
Kim, Min S. and Kang, K. H. (2005), The Long-term Relation Analysis between PPI and CPI in Korea, Korea Financial Research, 19(2), 165-199.

10.
Kim, Sung W. (2010), The Effect of China on Korean Consumer Prices, Journal of CEO and Management Studies, 13(2), 227-247.

11.
Lee, Chung Y. (1996), A Study on the relationship between consumer prices and producer prices and Consumer Price Changes in factors, Korea Financial Research, 6(4), 1-22.

12.
Lee, Tae H. (1996), Transmission of producer prices through stages of processing, University of California Working paper

13.
Nam, Joo H. (1993), Analysing Causal Relationships between the interest rates and inflation, The Korean Journal of Financial Management, 10(2), 161-179.

14.
Oh, Seung G. (2006), Comparison between Stochastic Binomial Model of interest rate and Term Structure of Forward rate, Journal of CEO and Management Studie, 9(2), 105-117.

15.
Pecchenino, R. A. (1992), Commodity prices and the CPI : Cointegration, information, and signal extraction, International Journal of Forecasting 7, 493-500. crossref(new window)

16.
Phillips, Peter and Pierre Perrons (1988), Testing for a Unit Roots in Time Series Regression, Biometrica, 75, 335-346. crossref(new window)