• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.737-753
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• 2013

Interest rate options embedded in life insurance products provide policyholders with minimum guaranteed rates credited to the corresponding surrender values. This paper discusses current low-interest environment and several types of interest rate options embedded in life insurance products. In addition, this paper shows profit structures of the life insurance products and calculates values of the interest rate options under stochastic interest model and the corresponding VaR (value at risk). Finally, some implications are discussed.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.12
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• pp.31-38
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• 2021

This study contributes to the existing literature and tries to analyze the validity of the Fisher hypothesis in the Philippines. Using monthly data from January 1995 to December 2020, the empirical analysis used the Engle-Granger and Johansen cointegration testing technique. The correlation coefficient suggests a strong positive association. All things being equal, a rise in inflation leads to a rise in the nominal interest rate. The unit-root tests show that inflation and the nominal interest rate are both stationary. Based on both Engle-Granger and cointegrating regression Durbin-Watson tests, the nominal interest rate and inflation are cointegrated. Likewise, the results from Johansen cointegration indicate that there exists a long-run relationship between the variables. However, we rejected a one-to-one relationship between nominal interest rate and inflation. The error correction term coefficient (ECM) shows that it is statistically significant suggesting that the nominal interest rate adjusts to the inflation rate with a lag. The Pair-wise Granger Causality test reported a bi-directional causal relationship between nominal interest rate and inflation. Inflation targeting has been the monetary policy framework of choice for most central banks. In essence, the conclusions of this study are useful to central banks because they help them better comprehend the long-run equilibrium relationship between the nominal interest rate and inflation.

• The Journal of Industrial Distribution & Business
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• v.11 no.8
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• pp.31-38
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• 2020

Purpose: This study uses 'Autoregressive Integrated Moving Average Model' to predict the impact of a sharp drop in the base rate due to COVID-19 at the present time when government policies for stabilizing house prices are in progress. The purpose of this study is to predict implications for the direction of the government's house policy by predicting changes in house transaction prices and house rental prices after a sharp cut in the base rate. Research design, data, and methodology: The ARIMA intervention model can build a model without additional information with just one time series. Therefore, it is a time-series analysis method frequently used for short-term prediction. After the subprime mortgage, which had shocked since the global financial crisis in April 2007, the bank's interest rate in 2020 is set at a time point close to zero at 0.75%. After that, the model was estimated using the interest rate fluctuations for the Bank of Korea base interest rate, the house transaction price index, and the house rental price index as event variables. Results: In predicting the change in house transaction price due to interest rate intervention, the house transaction price index due to the fall in interest rates was predicted to change after 3 months. As a result, it was 102.47 in April 2020, 102.87 in May 2020, and 103.21 in June 2020. It was expected to rise in the short term. In forecasting the change in house rental price due to interest rate intervention, the house rental price index due to the drop in interest rate was predicted to change after 3 months. As a result, it was 97.76 in April 2020, 97.85 in May 2020, and 97.97 in June 2020. It was expected to rise in the short term. Conclusions: If low interest rates continue to stimulate the contracted economy caused by COVID-19, it seems that there is ample room for house transaction and rental prices to rise amid low growth. Therefore, In order to stabilize the house price due to the low interest rate situation, it is considered that additional measures are needed to suppress speculative demand.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.43-52
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• 2020

This paper examines how macroeconomic variables, such as interest rate differences, inflation, exchange rates, economic growth and external debt growth, affect capital flight in the ASEAN-8 countries. We apply a panel data model with fixed effect estimation for the data for eight countries from the period 1994 to 2018. We use the residual approach used by the World Bank to measure the value of capital flight. The results show that the interest rate differences, exchange rates, economic growth and foreign debt growth had a positive and significant effect on outward capital flight. A further implication of this finding is that the interest rate differences, exchange rate, economic growth and foreign debt growth are factors that trigger an increase in capital outflow in the ASEAN-8 countries. Nonetheless, inflation rate is not considered to be the main factor influencing capital flight, as average inflation in the ASEAN-8 countries remains relatively stable. This paper will be beneficial for policymakers in the ASEAN-8 countries and encourage them to constantly pay attention to these four variables, as they significantly influence capital flight, whereas they can disregard the impact of the inflation variable that is not significant in influencing capital flight.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.123-129
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• 2020

This scholarly work is an effort to capture the effects of oil prices on the actual exchange rate between dollar and rupee. This is done with reference to the U.S. dollar as oil prices are marked in USD (U.S. Dollar) in the international market, and India is among the top five importers of oil. Using monthly data from January 2001 to May 2020. The study used the real GDP, money supply, short-term interest rate difference between two countries, and inflation apart from the crude oil prices per barrel as the factors that help define the exchange rate. The analysis, through cointegration and vector error correction method (VECM), suggests long and short-run causality amid prices of oil and the rate of exchange fluctuations. Oil prices are found to be negatively related to the exchange rate in the long term but positively related in the short term. The result of the Wald test also indicates the short-run causation from the short-term interest rate and the prices of crude oil towards the exchange rate. The present study shows that oil prices are evidence of the existence of short-term and long-term driving associations with short-term interest rates and exchange rates.

• Journal of the Society of Naval Architects of Korea
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• v.51 no.6
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• pp.451-458
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• 2014

The purpose of this study is to compare the economics between a diesel propulsion vessel and a LNG fuel propulsion vessel through the analysis of the present value using the LCC(Life Cycle Cost) method. This study is also to judge the economics for long-term operation of a LNG fuel propulsion vessel as a result of analysis about the equivalent uniform annual cost. In particular, LCC method was strengthened by sensitivity analysis based on combined interest rate which is considering discount rate and inflation rate simultaneously.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.2
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• pp.119-122
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• 2019

The study aims to investigate factors influencing business households' decision for borrowing credit: the case of commercial banks in Tra Vinh Province, VietNam. The study was conducted by collecting data from 300 business households traded at four commercial banks in Tra Vinh province (Viet Nam bank for agriculture and rural development, Tra Vinh Branch; Viet Nam jointstock commercial bank industry and trade, Tra Vinh Branch; Asia joinstock commercial bank, Tra Vinh Branch; Viet Nam jointstock commercial bank for foreign trade, Tra Vinh Branch). By the use of the Binary Logistic regression method, the research found out that the factors influencing to borrow c redit of household business's decision including: banks brand names, loan interest rates, service attitude, and loan procedures. Of those, the banks brand names and lending interest rates have the strongest impacts on borrow credit decision of business households at commerc ials banks in Tra Vinh province. Since then, the study has proposed solutions to improve access to credit of business households in commercial banks in Tra Vinh province in the coming time, such as: developing a bank brand; the development of flexible lending interest rate policies; improve service style of bank staff; at the same time, simplifying lending procedures.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.10
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• pp.297-303
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• 2021

The performance of the retail industry in a country, which simultaneously reflects the demand for retail space, is significantly influenced by the macroeconomic environment of said country. However, in the case of Malaysia, studies regarding this issue are limited. Therefore, this paper aims to identify the macroeconomic determinants of the demand for retail space in shopping centers in Malaysia through the study of six variables: per capita income, private expenditure, inflation rate, interest rate, total population, and the number of tourists arrival. The nexus between these variables and the demand for retail space in shopping centers were examined by cointegration and causality tests, and regression analysis using quarterly data for the period 1993Q1 to 2016Q4. The results from bivariate cointegration tests indicate that inflation rate, interest rates, population size, and the number of tourists arrival have significant long-run relationships with the demand for retail space of Malaysian shopping centers. Meanwhile, the Granger causality tests show that only population size can cause the demand for shopping centers' retail space. Finally, the results from the regression analysis revealed that income per capita, private expenditure, interest rates, and population are the variables that significantly influence the demand for the retail space of the Malaysian shopping centers.

• Journal of the Korea Convergence Society
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• v.8 no.10
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• pp.231-238
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• 2017

In this study, we selected interest rates and won/dollar, won/yen, won/yuan to find out the indicators affecting domestic exports in the age of convergence. Correlation, regression analysis, indicator analysis and model analysis were performed for 210 months since January 2000. As a result, the correlation between exports and won/dollar, won/yuan, won/yen was negative(-). Therefore the directions were different from each other. In regression analysis, only interest rate and won/dollar were statistically significant for export. In the coefficient, interest rate calculated positive(+) and won/dollar was negative(-). It is interpreted that the won/dollar depreciation positively affects export growth. In this study if the won/dollar exchange rate falls, exports will increase. This is different from previous studies. Therefore, it is necessary to review the posterior relationship by time difference. Korea is highly dependent on exports. Therefore, the study on the indicators affecting exports to increase exports should continue.

• The Journal of Asian Finance, Economics and Business
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• v.1 no.4
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• pp.5-13
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• 2014

This study contributes to addressing the problem of an aging population by providing important information that determines feasible monthly payments for the clients of Chinese reverse mortgage products and by promoting the implementation of reverse mortgages in China. The variables used in this study include mean values obtained from time series data, of the rate of increase of housing prices, and the probability value, interest rate, and mortality rate obtained through the geometric Brownian motion (GBM). For mortality rates, China Life Insurance female mortality rates (2000-2003) were used. This study aims to apply the main variables that affect reverse mortgage products in a monthly payment model based on Chinese financial market conditions, and determine loan values. In this study, Shanghai's reverse mortgage monthly payments, by age levels, were calculated through the loan-to-value (LTV) and payment (PMT) methods to evaluate the value of the reverse mortgages. Based on the optimal combination of the three factors of payment amount, loan interest rates, and the level of acceptance of prices, efforts must be made to extract the best value for the elderly. Only in this way can the interests of both lenders and borrowers be protected, by increasing the market share and economies of scale of the reverse mortgage industry and effectively improving the living standards of the elderly.