Jungho Baek

Dynamic relationship between air transport demand and economic growth in the United States: A new look

Abstract This paper examines the short- and long-run effects of economic growth and market shocks (e.g., 9/11 terrorist attacks, Iraq war, SARS epidemic, and 2008 financial crisis) on air passenger and freight services using an autoregressive distributed lag (ARDL) approach to cointegration. Results show that, in the long-run, both air passenger and freight services tend to increase with economic growth. In the short-run, however, only air passenger service is responsive to economic growth. Finally, only the 9/11 terrorist attacks and the SARS have detrimental effects on air passenger demand both in the short- and long-run, and in the long-run, respectively. However, these market shocks are found to have little impact on air freight demand.

A Dynamic Approach to the FDI-Environment Nexus: The Case of China and India

The cointegration analysis and a vector error-correction (VEC) model are applied to examine the short- and long-run relationships among foreign direct investment (FDI), economic growth, and the environment in China and India. The results show that FDI inflow plays a pivotal role in determining the short- and long-run movement of economic growth through capital accumulation and technical spillovers in the two countries. However, FDI inflow in both countries is found to have a detrimental effect on environmental quality in both the short- and long-run, supporting pollution haven hypothesis. Finally, it is found that, in the short-run, there exists a unidirectional causality from FDI inflow to economic growth and the environment in China and India - a change in FDI inflow causes a consequence change in environmental quality and economic growth, but the reverse does not hold.

The US-Canada softwood lumber trade dispute: what we know and what we need to know

Abstract The softwood lumber trade dispute between the US and Canada is the largest and longest lasting dispute between the two countries. This paper reviews both this dispute and the published studies that examine its effects. We first summarize the recent history of the dispute and the arguments of different parties to facilitate an understanding of its complicated context. We then review the literature, focusing on empirical assessments of the US trade restriction impacts and pointing out some of the weaknesses in previous studies. We argue that there remains a strong need for improved analysis of the issue, and suggest that it is constructive for future work to use an expanded list of variables, to take not only the structural econometric approach but also the nonstructural time-series one, and to examine short-term and long-term policy alternatives.

Exchange Rate Dynamics and the Bilateral Trade Balance: The Case of U.S. Agriculture

This study examines the dynamic effects of changes in exchange rates on bilateral trade of agricultural products between the United States and its 15 major trading partners. Special attention is paid to investigate whether or not the J-curve hypothesis holds for U.S. agricultural trade. For this purpose, an autoregressive distributed lag (ARDL) approach to cointegration is applied to quarterly time-series data from 1989 and 2007. Results show that the exchange rate plays a crucial role in determining the short- and long-run behavior of U.S. agricultural trade. However, we find little evidence of the J-curve phenomenon for U.S. agricultural products with the United States’ major trading partners.

Dynamic Interrelationships between the U.S. Agricultural Trade Balance and the Macroeconomy

The effects of the exchange rate and the income and money supply of the United States and its major trading partners on the U.S. agricultural trade balance are examined using an autoregressive distributed lag (ARDL) model. Results suggest that the exchange rate is the key determinant of the short-and long-run behavior of the trade balance. It is also found that the income and money supply in both the United States and the trading partners have significant impacts on U.S. agricultural trade in both the short and long run.

A Study on Unobserved Structural Innovations of Oil Price: Evidence from Global Stock, Bond, Foreign Exchange, and Energy Markets

This study examines the effects of oil shocks by their respective causes and of volatility spillover including leverage effects. Previous studies did not analyze oil factor by categorizing it into three components (supply shock, demand shock, and market shock) as determinants of rate of return in stock markets, a key issue in finance. Results show that oil shocks determine returns in the global stock market, bond market, foreign exchange market, and energy market, and that their effects vary by types of markets, levels of oil prices, and types of oil shocks. Second, the leverage effect of oil shocks and the spillover effect of volatility in demand shock and market shock are mostly statistically significant during periods characterized by high oil prices.

The U.S. Agricultural Sector and the Macroeconomy

The effects of the exchange rate, the U.S. agricultural price, the domestic income, and the interest rate on the U.S. net farm income are investigated in a cointegration framework. For this purpose, the Phillips-Hansen fully-modified cointegration (FM-OLS) procedure is applied to annual data for the period 1957–2008. Results suggest that there exists the long-run equilibrium relationship between the U.S. net farm income and the selected macroeconomic variables. We also find that the exchange rate and U.S. agricultural price are more important than other variables in determining the U.S. net farm income.

On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-run behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

Do oil prices really matter to US shale oil production

ABSTRACT The main contribution of this paper is to provide the answer to the question of whether changes in crude oil prices really matter to US shale oil production over the past decades. This study takes specific account of the asymmetric effects of oil prices, using an autoregressive distributed lag (ARDL) cointegration approach. It was found that oil price indeed has an asymmetric effect on shale production in the short run, i.e., US shale production is more responsive to an increase in oil price than to its decrease. However, it is found that the asymmetric short-run effects do not seem to be persistent in the long run.

Economic uncertainty, monetary uncertainty and the Korean demand for money

Economic uncertainty and monetary uncertainty are said to affect public’s holding of money in either direction. In this paper, we consider the Korean demand for money, and after including two GARCH-based measures of output uncertainty and monetary uncertainty, we show that both measures exert significant effects on the demand for money in Korea in the short run. However, only the adverse effects of output uncertainty lasts into the long run. Indeed, including the two uncertainty measures yield a stable demand for money in Korea.