| 제목 | 42권 1호 The industrial production index of Japan and South Korea: a dynamic relationship | ||||
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| 작성자 | 성희 전 | 조회수 | 78 | 날짜 | 2018/07/16 |
| 첨부파일 |
40483_2015_23_OnlinePDF_13_23.pdf |
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Abstract In this paper, a dynamic relationship between the industrial production index (IPI) of Japan and the IPI of South Korea is presented. With the help of a VAR(2) model, and using the terminology of Granger causality, it is shown that the IPI of Japan Granger causes the IPI of South Korea, but the IPI of South Korea Granger does not cause the IPI of Japan. Other aspects of this dynamic relationship between these two indices are presented as well.
Keywords Industrial production index (IPI), VAR models, Granger causality, Impulse response functions, Forecast error variance decomposition, Software: R, MTS, RATS, vars Introduction |
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