• International Area Studies Review
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• v.14 no.1
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• pp.77-97
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• 2010

Recently, countries on the Caspian Sea were had heavily interested due to instability of international resource market. These countries having been developed basing on energy exports, especially Kazakhstan have drastically grown during a decades. However economy, heavily relied on the exports of energy, is influenced on fluctuation in the international energy price as well as sometimes exposed at Dutch disease. These days, Kazakhstan, increased trade and investment with Korea, has been on the rise as new supplier for energy. Therefore, economic change in Kazakhstan can be an important issue. In this paper, we analyze relations among oil price, interest rate, and real exchange rate during sample period from January 1999 to December 2008 expanding Balasa-Samuelson model. Empirical results present that oil price, interest rate, and real exchange rate mutually keep their balance. Eventually, we find out Kazakhstan has exposed at Dutch disease since oil price and interest rate have negative impacts on real exchange rate respectively.

• International Area Studies Review
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• v.13 no.1
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• pp.103-122
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• 2009

The paper is basically designed to investigate any existence of co-movement among foreign exchange market, goods market, and monetary market implemented by relative PPP and interest rate parity. And, rational expectation and GARCH-M model are employed for an empirical application. The result revealed that since the co-movement among the markets is hardly found, an efficiency of foreign exchange market is independent from any shocks from the goods market and the monetary market. Whereas, the exchange rate is strongly effected by a real interest rate parity. To this end, the real interest rate should be a key policy instrument to stabilize the foreign exchange market.

• Journal of the Korea Society for Simulation
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• v.28 no.3
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• pp.49-56
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• 2019

In this paper, we deal with two pricing of bond options using the relationship between the forward rate model and the Libor rate model. First, we derive a formula for obtaining discounted bond prices using the restrictive condition of the Ritchken and Sankarasubramanian (RS), and then use the volatility function relationship of the forward rate and the Libor rate models to find the analytic solution (AS) of bond options pricing. Second, the price of the bond options is calculated by simulating several scenarios from the presented condition using Monte Carlo Simulation (MCS). Comparing the results of the implementation of the above two pricing methods, the relative error (RE) is obtained, which means the ratio of AS and MCS. From the results, we can confirm that the RE is around 3.9%, which means that the price of the bond options can be predicted very accurately using the MCS as well as AS.

• Land and Housing Review
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• v.14 no.1
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• pp.33-46
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• 2023

This study investigated price factors for large apartment complexes in Seoul during the COVID-19 pandemic and compared Gangnam and non-Gangnam areas, which have been recognized as heterogeneous markets. We find that the change in apartment prices in large-scale complexes did not significantly affect the individual characteristics of apartments, unlike previous studies, but was affected by macroeconomic variables such as interest rates and money. On the other hand, considering the units of the interest rate and total monetary volume variables, the effects of two variables on the apartment sales price is significantly high. In addition, the Gangnam area model analysis shows that apartment prices are greatly affected by interest rates and currency volume, and, the non-Gangnam area model analysis shows that apartment prices are greatly affected by interest rates and currency volume, but the degrees are different from the Gangnam area model. Overall, our study shows that interest rates and money supply were the main factors of apartment price changes, but apartment prices in non-Gangnam areas are more sensitive to changes in interest rates and money supply.

• Journal of Labour Economics
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• v.40 no.1
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• pp.37-68
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• 2017

This study analyzes the relationship between household debts and married female's labor supply. For doing this we construct effective interest rate faced by each household using interest paid amount and household financial debt amount. The effective interests rate for the households which have no financial debt are estimated by Heckman Selection model. The estimation results show that the increase in effective interest rate has led to the expansion of married women's the labor market participation. This suggests a possibility that negative scenarios resulting from an increase in interest rate can be partially offset by an increase in household labor supply and a rise in labor income.

• International Area Studies Review
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• v.13 no.1
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• pp.3-16
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• 2009

This paper investigates the existence of uncovered interest rate parity between the Korea-USA as well as the Korea-Japan. We may ascertain the existence of uncovered interest rate parity by examining the empirical relationship between real exchange rates and interest rate differentials in the Korea-USA as well as in the Korea-Japan. The empirical relationship between real exchange rates and interest rate differentials in the Korean-USA and Korean-Japanese economies is investigated using cointegration tests. In the context of this study, cointegration technique is appropriate to examine the relationship between two(or more) nonstationary time series. Also, this method is useful to detect the possibility that the nonstationarity in both series can be explained by a single factor. The empirical results support the nonexistence of a long run equilibrium relation between real exchange rates and interest rate differentials. Also, the results show that the nonstationarity cannot be explained by a single factor.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2000.04a
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• pp.453-456
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• 2000

고정금리 상품의 투자에서 이자율 변동 위험을 피할 수 있는 방법으로 많이 쓰이는 것은 듀레이션을 이용한 면역 모델(Bond Portfolio Immunization Model)로, 이것은 이자율 변동에 대해 포트폴리오의 가격 민감도인 듀레이션을 이용하여 자산과 부채의 변화를 일치시키는 방법이다. 그러나 이 전략은 수익률 곡선이 평형하게 이동한다는 가정(Parallel Shift Term-Structure)을 단점으로 가지고 있어 현실에 적용될 경우 오차가 발생하게 된다. 본 연구에서는 선험적(empirical) 방법으로 평형하지 않은 움직임을 가진 기간구조의 함수(Term-Structure Function)를 정의하고 면역 모델을 부채의 현금흐름에 대해 개별적으로 적용하는 새로운 면역 전략 모델을 구성하고 실험한다

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.6
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• pp.676-686
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• 2016

This study analyzed the long term relationship between the K-REITs' lending rate and interest rate variables based on ARDL (autoregressive distributed lag) and also examined the short term relationship based on the ARDL-ECM model. In the results of the empirical test, there is a co-integration relationship among the K-REITs' lending rate, 3 year government bond (rate), 3 year government bond (rate), corporation bond (rate) (AA-, 3year) and general fund loan rate. This means that the K-REITs' lending rate is related to the long term interest rate. The corporate general fund loan rate has a significant correlation with the K-REITs' lending rate in the long term relation and short term adjustment process. The establishment of a management plan by the REITs considering the trends in the corporate general fund loan rate in the decision making process for finance sector borrowings can be practically helpful for the K-REITs.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1507-1520
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• 2014

In this paper, we show that there is a positive correlation between the level and the volatility of interest rate and thus suggest that a proper interest rate volatility coefficient (IRVC), a factor used in evaluating the interest rate risk that insurers are exposed to, should be chosen in accordance with the level of interest rate. To this end, we calculate the historical volatility of interest rate using data on government bond yields and show a proportionate relationship between interest rate and historical volatility. The review of exponential Vasicek (EV) and Cox-Ingersoll-Ross (CIR) models for interest rate also confirms the positive correlation between them. The estimation of IRVC by EV and CIR models are 0.9 and 1.1, respectively, which are much smaller than the one under the current risk-based capital (RBC) requirement. We provide modified IRVCs reflecting the level of interest by the two interest rate models. Using modified IRVCs can be a more reasonable method to evaluate the interest rate risk that insurers face.

• Journal of the Korean Data and Information Science Society
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• v.21 no.1
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• pp.71-86
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• 2010

In life insurance, the net premium is derived based on the expected life time distribution and expected interest rate. The losses or risks of the insurer are significantly affected by the obtained net premium. Thus, in life insurance, these two factors, the life time distribution and expected interest rate, are considered as important influential factors. In this paper, we investigate the effect of these influential factors on the net premiums, management risks, and the probability of losses. Furthermore, relative influence of these factors is also studied.