The industrial production index of Japan and South Korea: a dynamic relationship

Agustin Alonso-Rodriguez

The industrial production index of Japan and South Korea: a dynamic relationship

Korean Social Science Journal
Abbr : KSSJ
2015, 42(1), pp.13-23
Publisher : Korean Social Science Research Council
Research Area : Social Science > Social Science in general

Agustin Alonso-Rodriguez ¹

¹Ewha Womans University

Accredited

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

Citation status

* References for papers published after 2023 are currently being built.

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