• Journal of Distribution Science
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• v.11 no.10
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• pp.73-79
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• 2013

Purpose - This study examines the impact of oil price volatility on economic activities in Korea. The new millennium has seen a deregulation in the crude oil market, which invited immense capital inflow into Korea. It has also raised oil price levels and volatility. Drawing on the recent theoretical literature that emphasizes the role of volatility, this paper attends to the asymmetric changes in economic growth in response to the oil price movement. This study further examines several key macroeconomic variables, such as interest rate, production, and inflation. We come to the conclusion that oil price volatility can, in some part, explain the structural changes. Research design, data, and methodology - We use two methodological frameworks in this study. First, in regards to the oil price uncertainty, we use an Exponential-GARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity: EGARCH) model estimate to elucidate the asymmetric effect of oil price shock on the conditional oil price volatility. Second, along with the estimation of the conditional volatility by the EGARCH model, we use the estimates in a VECM (Vector Error Correction Model). The study thus examines the dynamic impacts of oil price volatility on industrial production, price levels, and monetary policy responses. We also approximate the monetary policy function by the yield of monetary stabilization bond. The data collected for the study ranges from 1990: M1 to 2013: M7. In the VECM analysis section, the time span is split into two sub-periods; one from 1990 to 1999, and another from 2000 to 2013, due to the U.S. CFTC (Commodity Futures Trading Commission) deregulation on the crude oil futures that became effective in 2000. This paper intends to probe the relationship between oil price uncertainty and macroeconomic variables since the structural change in the oil market became effective. Results and Conclusions - The dynamic impulse response functions obtained from the VECM show a prolonged dampening effect of oil price volatility shock on the industrial production across all sub-periods. We also find that inflation measured by CPI rises by one standard deviation shock in response to oil price uncertainty, and lasts for the ensuing period. In addition, the impulse response functions allude that South Korea practices an expansionary monetary policy in response to oil price shocks, which stems from oil price uncertainty. Moreover, a comparison of the results of the dynamic impulse response functions from the two sub-periods suggests that the dynamic relationships have strengthened since 2000. Specifically, the results are most drastic in terms of industrial production; the impact of oil price volatility shocks has more than doubled from the year 2000 onwards. These results again indicate that the relationships between crude oil price uncertainty and Korean macroeconomic activities have been strengthened since the year2000, which resulted in a structural change in the crude oil market due to the deregulation of the crude oil futures.

• Communications for Statistical Applications and Methods
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• v.29 no.1
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• pp.85-101
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• 2022

Derivative-linked securities (DLS) is a type of derivatives that offer an agreed return when the underlying asset price moves within a specified range by the maturity date. The underlying assets of DLS are diverse such as interest rates, exchange rates, crude oil, or gold. A German 10-year bond rate-linked DLS and a USD-GBP CMS rate-linked DLS have recently become a social issue in Korea due to a huge loss to investors. In this regard, this paper accounts for the payoff structure of these products and evaluates their prices and fair coupon rates as well as risk measures such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR). We would like to examine how risky these products were and whether or not their coupon rates were appropriate. We use Hull-White Model as the stochastic model for the underlying assets and Monte Carlo (MC) methods to obtain numerical results. The no-arbitrage prices of the German 10-year bond rate-linked DLS and the USD-GBP CMS rate-linked DLS at the center of the social issue turned out to be 0.9662% and 0.9355% of the original investment, respectively. Considering that Korea government bond rate for 2018 is about 2%, these values are quite low. The fair coupon rates that make the prices of DLS equal to the original investment are computed as 4.76% for the German 10-year bond rate-linked DLS and 7% for the USD-GBP CMS rate-linked DLS. Their actual coupon rates were 1.4% and 3.5%. The 95% VaR and TVaR of the loss for German 10-year bond rate-linked DLS are 37.30% and 64.45%, and those of the loss for USD-GBP CMS rate-linked DLS are 73.98% and 87.43% of the initial investment. Summing up the numerical results obtained, we could see that the DLS products of our interest were indeed quite unfavorable to individual investors.

• Proceedings of the Safety Management and Science Conference
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• 2002.11a
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• pp.321-339
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• 2002

The result of variance decomposition through yield of Treasury of 30 year maturity of USA, S&P 500 index, stock price of KEPCO has 76.12% of impulse of KEPCO stock price at short-term horizon, but they have 51.40% at long-term horizon. After one year, they occupy 13.65%, and 33.25%. So their effects are increased. By the way, S&P 500 index and yield of Treasury of 30 year maturity of USA have relatively more effect for forecast of stock price oi KEPCO at short-term & long-term. The yield of Treasury of 30 year maturity of USA more than S&P 500 index have more effect for stock price of KEPCO. It is why. That foreign investors through fall of stock price of USA invest for emerging market is less than movement for emerging market of hedge funds through effect of fall of yield of Treasury of 30 year maturity of USA, according to relative effects for stock price of Korea companies. The result of variance decomposition through won/dollar foreign exchange rate, yield of corporate bond of 3 year maturity, Korea Stock Price index(KOSPI), stock price of KEPCO has 81.33% of impulse of KEPCO stock price at short-term horizon, but they have 41.73% at long-term horizon. After one year, they occupy 23.57% and 34.70%. So their effects are increased. By the way, KOSPI and won/dollar foreign exchange rate have relatively more effect for forecast of stock price of KEPCO at short-term & long-term. The won/dollar foreign exchange rate more than KOSPI have more effect for stock price of KEPCO. It is why. The recovery of economic condition through improvement of company revenue causes of rising of KOSPI. But, if persistence of low interest rate continues, fall of won/dollar foreign exchange rate will be more aggravated. And it will give positive effect for stock price of KEPCO. This gives more positive effect at two main reason. Firstly, through fall of won/dollar foreign exchange rate and rising of credit rating of Korea will be followed. Therefore, foreign investors will invest more funds to Korea. Secondly, inflow of foreign investment funds through profit of won/dollar foreign exchange rate and stock investment will be occurred. If appreciation of won against dollar is forecasted, foreign investors will buy won. Through this won, investors will do investment. Won/dollar foreign exchange rate is affected through external factors of yen/dollar foreign exchange rate, etc. Therefore, the exclusion of instable factors for foreign investors through rising of credit rating of Korea is necessary things.

• Journal of Convergence for Information Technology
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• v.9 no.9
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• pp.133-140
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• 2019

Following the recent US trade deficit, the trade war began between Korea and Japan in July. Korea's trade dependence is about 60% or more, indicating high export dependence and import dependence. The purpose of this study is to examine export amount, export volume, export price index, Treasury bond interest rate and analyze how index affects export amount. This study attempts to analyze the comovement and volatility with export amount. For this purpose, monthly data for each indicator were selected for a total of 234 months from January 2000 to June 2019. As a result of analysis, exports amount and exports volume showed very high comovement, exports amount and interest rates showed low comovement, but exports amount and exports prices showed very low comovement. In the future, Korea should continue to increase exports amount in view of its high dependence on trade, along with policies to expand the domestic market. To this end, strategy to increase exports volume should be presented. Korea should increase the logistics environment and competitiveness of each port and airport, improve domestic and overseas network construction and support services of logistics companies.

• The Journal of Korean Academy of Prosthodontics
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• v.45 no.2
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• pp.182-190
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• 2007

Statement of problem: Titanium has many advantages of high biocompatibility, physical properties, low-weight, low price and radiolucency, but it is incompatible with conventional dental porcelain due to titanium's oxidative nature. Many previous studies have shown that they used the method of sandblast for surface treatment prior to porcelain application, the researches are processing about the method of acid etching or surface coating. Purpose: The purpose of this research is to study the effect on bond strength of surface roughness between titanium and porcelain with the same surface topography. Material and method: In this study, we evaluated the bond strength by using 3-point bending test based on ISO 9693 after classified 8 groups - group P : polished with #1200 grit SiC paper, group S10 : $1.0{\mu}m$ surface roughness with sandblasting, group S15 : $1.5{\mu}m$ surface roughness with sandblasting, group S20 : $2.0{\mu}m$ surface roughness with sandblasting, group S25 : $2.5{\mu}m$ surface roughness with sandblasting, group S30 : $3.0{\mu}m$ surface roughness with sandblasting, group S35 : $3.5{\mu}m$ surface roughness with sandblasting, group E : $1.0{\mu}m$ surface roughness with HCl etching. Results: Within the confines of our research, the following results can be deduced. 1. In the results of 3-point bending test, the bond strength of sandblasting group showed significant differences from one of polishing group, acid etching group(P<.05). 2. The bond strength of sandblasting groups did not show significant differences. 3. After surface treatments, the group treated with sandblasting showed irregular aspect formed many undercuts, in the SEM photographs. The bond strength of sandblasting group was higher than 25 MPa, the requirement of ISO 9693. Conclusion: In above results, bond strength of titanium and low-fusing porcelain is influenced more to surface aspect than surface roughness. And titanium has clinically acceptable bond strength below surface roughness of $3.5{\mu}m$.

• Communications for Statistical Applications and Methods
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• v.11 no.3
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• pp.495-501
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• 2004

HJM representation of the term structure of interest rates sometimes produces the negative interest rates with positive probability. This paper shows that the condition of positive interest rates can be derived from the jump diffusion process, if a proper positive martingale process with the compensated jump process is chosen. As in Flesaker and Hughston, the condition is incorporated into the bond price process.

• The Journal of Korean Academy of Prosthodontics
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• v.45 no.5
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• pp.589-600
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• 2007

Statement of Problem: Titanium has many advantages of high biocompatibility, physical porperties, low-weight, low price and radiolucency, but it is incompatible with conventional dental porcelain due to titanium's oxidative nature. Many previous studies have shown that they used the method of sandblast surface treatment prior to porcelain application, the researchs are processing about the method of acid etching or surface coating. Purpose: The purpose of this research is to study the effect on bond strength between titanium and porcelain when using macro-surface treatment and micro-surface treatment and macro and micro surface treatment. Material and method: In this study, we evaluated the bond strength by using 3-point bending test based on ISO 9693 after classified 7 groups-group P : polished with #1200 grit SiC paper, group SS : sandblasted with $50{\mu}m$ aluminum oxides, group LS : sandblasted with $250{\mu}m$ alumium oxides, group HC : treated with 10% hydrochloric acid, group NF : treated with 17% solution of fluoric acid and nitric acid, group SHC : treated with 10% hydrochloric aicd after sandblsting with $50{\mu}m$ alumium oxides, group SNF treated with 17% solution of fluoric acid and nitric acid. Results : Within the confines of our research, the following results can be deduced. 1. Group SS which was sandblasted with $50{\mu}m$ aluminum oxides showed the highest bond strength of 61.74 MPa and significant differences(P<0.05). The bond strengths with porcelain in groups treated acid etching after sandblasting decreased more preferable than the group treated with sandblasting only. It gives significant differences(P<0.05). 2. After surface treatments, the group treated with sandblasting showed irregular aspect formed many undercuts, in the SEM photographs. The group treated with hydrochloric acid had the sharp serrated surfaces, the group treated with the solution of fluoric acid and nitric acid had the smooth surfaces, the group with sandblasting and hydrochloric acid had irrigular and porous structure, the group with sandblasting and the solution of fluoric acid and nitric acid had crater-like surfaces. But all of the groups treated with acid etching was not found and undercut. Conclusion: In above results, average surface roughness increase, bond strength also increase, but surface topographs influences more greatly on bond strengths.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.22 no.50
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• pp.105-125
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• 1999

The results of analysis on foreign exchange market, stock and financial market after January of 1997 are that foreign exchange market will be affected by stock and financial market volatility about 1999. This means that stock and financial market are more stable than foreign exchange market. This also is supported by ‘financial market forecast of 1999 in Daewoo Economic Research Institute’. After won/dollar (end of period) will be increasing in 1,430 at second quarter of 1999, this is to downward 1,200 fourth quarter of 1999. This is somewhat based on government's higher exchange rate policy. But, after yield of corporate bond is to 11.0% at first quarter of 1999, this will be stable to 10.2% at fourth quarter. During the first quarter of 1999, yield of corporate bond is to somewhat increasing through sovereign debt and public bonds, technical adjustment of interest rate. After this, yield of corporate bond will be stable according to stability of price, magnification of money supply, restucturing of firms. So, stock market is favorably affected by stability of financial market. But, the pension and fund of USA, i.e., long-term portfolio investment fund, are injected through international firm's management. It is included by openness of audit, fair market about foreign investors. Finally, Moody's strong rating on the won-denominated bonds suggest that Korea's sovereign debt ratings could be restored to an investment grade in the near future. It sequentially includes inflow of foreign portfolio investment fund, fall of won/dollar foreign exchange rate (appreciation of won) and stability of yield of corporate bond.

• Knowledge Management Research
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• v.22 no.4
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• pp.71-85
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• 2021

The purpose of this study is to find out which artificial intelligence methodology is most suitable for creating a foreign exchange rate prediction model using the indicators of bond market and interest rate market. KTBs and MSBs, which are representative products of the Korea bond market, are sold on a large scale when a risk aversion occurs, and in such cases, the USD/KRW exchange rate often rises. When USD liquidity problems occur in the onshore Korean market, the KRW Cross-Currency Swap price in the interest rate market falls, then it plays as a signal to buy USD/KRW in the foreign exchange market. Considering that the price and movement of products traded in the bond market and interest rate market directly or indirectly affect the foreign exchange market, it may be regarded that there is a close and complementary relationship among the three markets. There have been studies that reveal the relationship and correlation between the bond market, interest rate market, and foreign exchange market, but many exchange rate prediction studies in the past have mainly focused on studies based on macroeconomic indicators such as GDP, current account surplus/deficit, and inflation while active research to predict the exchange rate of the foreign exchange market using artificial intelligence based on the bond market and interest rate market indicators has not been conducted yet. This study uses the bond market and interest rate market indicator, runs artificial neural network suitable for nonlinear data analysis, logistic regression suitable for linear data analysis, and decision tree suitable for nonlinear & linear data analysis, and proves that the artificial neural network is the most suitable methodology for predicting the foreign exchange rates which are nonlinear and times series data. Beyond revealing the simple correlation between the bond market, interest rate market, and foreign exchange market, capturing the trading signals between the three markets to reveal the active correlation and prove the mutual organic movement is not only to provide foreign exchange market traders with a new trading model but also to be expected to contribute to increasing the efficiency and the knowledge management of the entire financial market.

• Journal of Service Research and Studies
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• v.6 no.4
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• pp.59-74
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• 2016

The purpose of this paper is to see what the problem is and what the direction of the Investment of ELB is after this study has analyzed an achievable possibility for a suggested yield of ELB. It analyzes estimated yields from January in 2010 to June in 2016 for ELB Structures issued during 2015~2016. It carries correlation analysis and regression analysis between ELB yield and minimum guarantee yield, maximum stock price growth limit, participation rate. As the study result, a probability of achievement over 2% yield was below 20% as stock price growth had been inside maximum limit. An estimated average yield of ELB was 1.49% and it was lowed than 1.72% of Bank Deposit in 2015. So a realized yield was not satisfied the expected yield. As the correlation coefficient between ELB yield and minimum guarantee yield was 0.843, the correlation coefficient between ELB yield and maximum limit yield was 0.279, the correlation of minimum guarantee yield was high. The suggestion is that the a realized yield of ELB is lower than Bank Deposit interest and that the probability of stock growth inside maximum limit is low.