• The Journal of Asian Finance, Economics and Business
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• 제9권3호
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• pp.181-193
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• 2022

This paper seeks to investigate major macroeconomic factors and bond yield interactions in Thai bond markets, with the goal of forecasting future bond yields. This study examines the best predictive yields for future bond yields at different maturities of 1-, 3-, 5-, 7-, and 10-years using time series data of economic indicators covering the period from 1998 to 2020. The empirical findings support the hypothesis that macroeconomic factors influence bond yield fluctuations. In terms of forecasting future bond yields, static predictions reveal that in most cases, the BVAR model offers the best predictivity of bond rates at various maturities. Furthermore, the BVAR model has the best performance in dynamic rolling-window, forecasting bond yields with various maturities for 2-, 4-, and 8-quarters. The findings of this study imply that the BVAR model forecasts future yields more accurately and consistently than other competitive models. Our research could help policymakers and investors predict bond yield changes, which could be important in macroeconomic policy development.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.1135-1142
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• 2021

This study aims to examine the factors that determine bond yields in infrastructure companies listed on the Indonesia Stock Exchange. The research sample used 31 bonds issued by the company during the 2015-2019 period. The data analysis method to estimate the determinant of bond yield uses multiple regression models. The results prove that the increase in the coupon rate causes bond yields to increase, while the inflation rate has the opposite effect of decreasing bond yield. Interest rate, exchange rate, duration, and bond rating variables cannot affect the bond yield. The results of this study imply that investors will be interested in investing in bonds with better yields if the company has to set a higher coupon rate, especially in economic conditions that experience low inflation rates. Interest rates and exchange rates as macroeconomic variables have not been considered by investors in purchasing bonds. Bond characteristic factors, namely, the duration and rating of the bonds, are considered less important factors in bond investment decisions because they are more oriented towards getting higher yields. Therefore, further research needs to be explored further related to the behavior of Indonesian bond investors who may have different characters from investors in other countries.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.23-31
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• 2020

This paper investigates the impact of monetary policy independence shock on bond yield by allowing for heterogeneous coefficients in the model based on panel data for 19 developing countries using quarterly data from 1991 to 2016. First, we estimate the model using conventional panel VAR estimation with the assumption of homogeneous coefficients across countries. Second, by performing Chow and Roy-Zellner tests to check the homogeneity assumption, we find that the assumption does not hold in the model. Third, we apply a mean-group estimation for panel VAR as a solution for heterogeneity panel model. The results reveal that central bank independence is effective in reducing bond yield with the maximum at period 6 after the shock. Shock one standard deviation bond yield has a negative effect on consumption and investment. We determine that central bank independence has a contradictory effect on real activity; a negative effect on consumption but a positive influence on investment for the first two years after the shock. Additionally, we split our sample into three groups to make the subgroups pool. Our empirical result shows that monetary policy independence shock reduces bond yield. Meanwhile, the response of economic activity to bond yield varies for all three groups.

• 서비스연구
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• 제7권4호
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• pp.139-150
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• 2017

국내 자본시장이 해외경제 변화에 매우 민감한 개방시장임을 감안하여, 본 연구에서는 해외금리 충격이 국내 회사채 금리 (정부채권 이자율 및 신용위험(credit spread))에 주는 영향에 관하여 분석하였다. 해외금리는 미국정부채권 이자율(yield)이며, 해외금리 충격은 해외금리 및 변동성 변화로 구분한다. 회사채 신용위험은 국내 회사채 금리의 로그(log yield)에서 한국정부채권 이자율의 로그를 차감한 값이다. 시계열 자료들은 만기3년 AA-등급 및 BBB-등급 회사채 금리, 만기3년 한국정부채권 이자율, 만기3년 미국정부채권 이자율과 대미환율에 관한 월간 자료이며 시계열 자료기간은 2008년 금융위기를 포함한 2000년 10월부터 2014년 09월까지이고, 분석결과는 다음과 같다. 첫째 당기(t)의 한국정부채권 이자율과 신용위험은 당기 해외금리의 증가와 변동성 증가에 민감한 편인데 비하여, 환율은 민감하다고 볼 수는 없었다. 둘째 당기의 해외금리가 상승하거나 변동성이 증가하면, 당기의 한국정부채권 이자율을 상승하지만 당기 회사채 신용위험은 감소하였다. 셋째 당기 한국정부채권 이자율의 상승은 차기(t+1)의 신용위험의 상승을 주도해서, 차기 회사채 금리를 상승시키는 경향이 존재하였다. 이런 결과들은 해외금리 충격이 국내 회사채 가격 및 금융회사의 안정성에 심대한 타격을 줄 수가 있다는 것을 의미한다.

• The Journal of Asian Finance, Economics and Business
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• 제7권7호
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• pp.15-25
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• 2020

This empirical research aims to identify the relationship between fiscal and financial macroeconomic fundamentals and the volatility of government bonds' borrowing cost in an emerging country - Vietnam. The study covers the period from July 2006 to December 2019 and it is based on a sample of 1-year, 3-year, and 5-year government bonds, which represent short-term, medium-term and long-term sovereign bonds in Vietnam, respectively. The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model and its derivatives such as EGARCH and TGARCH are applied on monthly dataset to examine and suggest a significant effect of fiscal and financial determinants of bond yield volatility. The findings of this study indicate that the variation of Vietnam government bond yields is in compliance with the theories of term structure of interest rate. The results also show that a proportion of the variation in the yields on Vietnam government bonds is attributed to the interest rate itself in the previous period, base rate, foreign interest rate, return of the stock market, fiscal deficit, public debt, and current account balance. Our results could be helpful in the macroeconomic policy formulation for policy-makers and in the investment practice for investors regarding the prediction of bond yield volatility.

• 한국콘크리트학회:학술대회논문집
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• 한국콘크리트학회 2001년도 봄 학술발표회 논문집
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• pp.443-448
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• 2001

This paper presents a bond characteristics of high strength steel reinforced concrete members. High strength steel is what yield strength is higher than that of normal strength steel. So, the amount of flexural steel needed in R.C. members can be decreased. In result, it is expected that the workability and structure quality can improve and man power can minimize. For this purpose, specimens were made and tested with experimental parameters, such as concrete strength, steel diameter and yield strength. The result showed that under same tensile force of steel, in case of substituting normal strength steel with high strength steel, maximum bond stress increased and development length didn't almost change. In addition, the governing equation of bond and bond stress verse slip relationship were derived and compared with test values such as maximum bond stress, slip and bond stiffness.

• International Journal of Concrete Structures and Materials
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• 제18권1E호
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• pp.29-34
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• 2006

Elastic modulus, tensile and bond capacities are important factors for developing an effective reinforcing action of a flexural member as a reinforcing material for concrete structures. Reinforcement must have enough bond capacity to prevent the relative slip between concrete and reinforcement. This paper presents an experimental study to clarify the bond capacity of prestressed carbon fiber reinforced polymer(CFRP) rod manufactured by an automatic assembly robot. The bond characteristics of CFRP rods with different pitch of helical wrapping were analyzed experimentally. As the result, all types of CFRP rods show a high initial stiffness and good ductility. The mechanical properties of helical wrapping of the CFRP rods have an important effect on the bond of these rods to concrete after the bond stress reached the yield point. The stress-slip relationship analyzed from the pull-out test of embedded cables within concrete was linear up to maximum bond capacity. The deformation within the range of maximum force seems very low and was reached after approximately 1 mm. The average bond capacity of CF20, CF30 and CF40 was about 12.06 MPa, 12.68 MPa and 12.30 MPa, respectively. It was found that helical wrapping was sufficient to yield bond strengths comparable to that of steel bars.

• Earthquakes and Structures
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• 제5권5호
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• pp.527-552
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• 2013

Development of flexural yielding and large rotation ductilities in the plastic hinge zones of frame members is synonymous with the spread of bar reinforcement yielding into the supporting anchorage. Yield penetration where it occurs, destroys interfacial bond between bar and concrete and reduces the strain development capacity of the reinforcement. This affects the plastic rotation capacity of the member by increasing the contribution of bar pullout. A side effect is increased strains in the compression zone within the plastic hinge region, which may be critical in displacement-based detailing procedures that are linked to concrete strains (e.g. in structural walls). To quantify the effects of yield penetration from first principles, closed form solutions of the field equations of bond over the anchorage are derived, considering bond plastification, cover debonding after bar yielding and spread of inelasticity in the anchorage. Strain development capacity is shown to be a totally different entity from stress development capacity and, in the framework of performance based design, bar slip and the length of debonding are calculated as functions of the bar strain at the loaded-end, to be used in calculations of pullout rotation at monolithic member connections. Analytical results are explored parametrically to lead to design charts for practical use of the paper's findings but also to identify the implications of the phenomena studied on the detailing requirements in the plastic hinge regions of flexural members including post-earthquake retrofits.

• 한국정밀공학회:학술대회논문집
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• 한국정밀공학회 2002년도 추계학술대회 논문집
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• pp.425-430
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• 2002

An automatic transmission model using the bond graph techniques is developed for analyzing shift characteristics of vehicles. Bond graph models can be systemically manipulated to yield state space equations of standard form. Bond graph techniques are applied for modeling overall automatic transmission systems and shift models. A fuzzy controller is synthesized for the verification of a shifting model in the ${1^st} gear to the {2^nd}$ gear. Simulation results show the fitness of models by the bond graph techniques.

• 콘크리트학회논문집
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• 제22권4호
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• pp.527-534
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• 2010

이 연구에서는 고강도 전단보강근을 사용한 철근콘크리트 보의 부착성능을 향상시키기 위한 간편한 방법을 소개한다. 일반적으로 전단보강근의 항복강도와 보강근비는 철근콘크리트 보의 전단내력에 영향을 미친다. 그러나 철근 콘크리트 보의 부착성능은 보강근의 항복강도에는 큰 영향을 받지 않으므로 고강도 전단보강근을 사용한 경우 부착파괴의 위험성이 있다. 제안된 방법의 구조적 성능을 검증하기 위하여 총 4개의 철근콘크리트 보 실험체를 제작하고 실험하였다. 실험변수는 전단보강근의 항복강도와 보강근비 및 보강형태로 계획하였다. 실험 결과 제안된 방법은 철근콘크리트 보의 부착성능을 효과적으로 향상시킬 수 있음을 확인할 수 있었다.