• Journal of Intelligence and Information Systems
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• v.28 no.3
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• pp.105-117
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• 2022

This study analyzes the effects between stock returns and interest rate spread, difference between long-term and short-term interest rate through the polynomial linear regression analysis. The existing research concentrated on the business forecast through the interest rate spread focusing on the US market. The previous studies verified the interest rate spread based on the leading indicators of business forecast by moderating the period of long-term/short-term interest rates and analyzing the degree of leading. After the 7th reform of composite indices of business indicators in Korea of 2006, the interest rate spread was included in the items of composing the business leading indicators, which is utilized till today. Nevertheless, there are a few research on stock returns of each industry and interest rate spread in domestic stock market. Therefore, this study analyzed the stock returns of each industry and interest rate spread targeting Korean stock market. This study selected the long-term/short-term interest rates with high causality through the regression analysis, and then understood the correlations with each leading period and industry. To overcome the limitation of the simple linear regression analysis, polynomial linear regression analysis is used, which raised explanatory power. As a result, the high causality was verified when using differences between returns of corporate bond(AA-) without guarantee for three years by leading six months and call rate returns as interest rate spread. In addition, analyzing the stock returns of each industry, the relation between the relevant interest rate spread and returns of the automobile industry was the closest. This study is significant in the aspect of verifying the causality of interest rate spread, business forecast, and stock returns in Korea. Even though it could be limited to forecast the stock price by using only the interest rate spread, it would be working as a strong factor when it is properly utilized with other various factors.

• Proceedings of the Korean Statistical Society Conference
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• 2005.05a
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• pp.179-184
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• 2005

Empirical findings on interet rate dynamics imply that short rates show some long memories and non-Markovin. It is well-known that fractional Brownian motion(fBm) is a proper candidate for modelling this empirical phenomena. fBm, however, is not a semimartingale process. For this reason, it is very hard to apply such processes for asset price modelling. With some modifications, this paper investigate the fBm interest rate theory, and obtain a pure discount bond price and Greeks.

• Journal of the Korean Statistical Society
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• v.4 no.2
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• pp.113-125
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• 1975

The money market has been existing in various forms for a long time. Until 1972, however, the market had supplied mainly short-term loans of commercial banks and loans of informal money lenders to business corporations. There was no market for notes and commercial papers of business corporations. Consequently, business corporations had to rely primarily upon commercial banks for short-term credit loans to supplement their working capital. The interest rate on loans of commercial banks had been set below a free market equilibrium rate and thereby, generated excess demands for the loans. Unsatisfied potential borrowers thus had to turn to informal money lenders for short-term cerdit loans of prohibitively high interest rate. Since 1972 investment and finance companies have been operating in the money market and their role in mobilizing short-term loans is increasing. This paper aims at estimating the equilibrium size of the money market.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.7
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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.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.5
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• pp.285-294
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• 2022

Using the ARDL approach, this study examined the impact of macro factors on Vietnam's stock market in the short and long run from 2010 to 2021. The State Bank of Vietnam and the International Monetary Fund provided time series data for this study. Research results show that in the long run, money supply and exchange rate respectively affect the stock market. The money supply had a positive effect on the VN-Index, while the exchange rate showed the opposite effect. However, the study did not find a relationship between world oil price and interest rates on VN-Index in the long run. On the other hand, in the short term, there are relationships between variables; specifically, interest rates and exchange rates have a negative impact on the VN-Index, while the world oil price and the fluctuation of money supply M2 of the previous one and two months showed an impact in the same direction on this index. The differences in the regression results on the impact of exchange rate and oil price on the VN-Index compared to previous studies come from the characteristics of Vietnam's stock market, with the large capitalization of companies in the oil and gas sector, and the structure of Vietnam's economy with export heavily depends on FDI sector.

• Economic Analysis
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• v.27 no.1
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• pp.1-36
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• 2021

Given the US dollar's status as a global safe haven, global factors, such as US monetary policy, may have considerable impacts on financial markets in other countries. Regarding such hypothesis, this paper looked at the impacts of US monetary policy on domestic bond and FX swap markets through an event study. According to our analysis, US monetary policy had significant positive impacts on domestic interest rates. In particular, it turned out to have bigger impacts on long-term products with high term premiums. By period, the correlation between US monetary policy and domestic interest rates was not significant before the financial crisis, but was clearly positive after the crisis. The US conventional monetary policy was seen to have big impacts on short-term and medium-term KTB yields, while its unconventional monetary policy had major impacts on long-term KTB yields. Moreover, FX swap rates reacted very sensitively to US monetary policy shocks before the financial crisis, while they did not show any significant reactions after the crisis. This suggests that, in line with the covered interest rate parity, the impact of US monetary policy shocks was transmitted to domestic financial markets mainly through swap rate adjustments before the global financial crisis, but through the changes in domestic interest rates during the post-crisis period.

• Communications for Statistical Applications and Methods
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• v.24 no.1
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• pp.43-65
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• 2017

We propose a flexible cure rate survival model by assuming that the number of competing causes of the event of interest has the Poisson distribution and the time for the event follows the gamma-G family of distributions. The extended family of gamma-G failure-time models with long-term survivors is flexible enough to include many commonly used failure-time distributions as special cases. We consider a frequentist analysis for parameter estimation and derive appropriate matrices to assess local influence on the parameters. Further, various simulations are performed for different parameter settings, sample sizes and censoring percentages. We illustrate the performance of the proposed regression model by means of a data set from the medical area (gastric cancer).

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.653-663
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• 2021

There has been a massive increase in household debt in China, especially in the last five of years. Learning from past experiences, the country needs careful forecasting that may help to form new policies or make amendments to the existing ones. This research paper aims to highlight the impact of the monetary policy on household debt in China. The study covers the time period from 1996 to 2020 The study employs a cointegration test, Autoregressive Distributed Lag Bound Test (ARDL) approach, a Augmented Dicky Fuller (ADF) and PP test (PMG) and time series data. The findings suggest on a quantitative analysis using a time-series model in which gdp per capita and interest rate has a positive impact on household debt whereas, cpi doesn't have significant impact. In a short-term variables relationship, household debt responds more to an increase in income than in the long-term. Also, the impact of interest rate changes on household debt is lower than income in the short run.The research suggests that there should be some restrictions on household debt and consumer financing provided to citizens and for this, appropriate leverage measures should be taken in order for the central bank to sustain robust macroeconomic conditions.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.43 no.3
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• pp.1-9
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• 2020

Interest rate spreads indicate the conditions of the economy and serve as an indicator of the recession. The purpose of this study is to predict Korea's interest rate spreads using US data with long-term continuity. To this end, 27 US economic data were used, and the entire data was reduced to 5 dimensions through principal component analysis to build a dataset necessary for prediction. In the prediction model of this study, three RNN models (BasicRNN, LSTM, and GRU) predict the US interest rate spread and use the predicted results in the SVR ensemble model to predict the Korean interest rate spread. The SVR ensemble model predicted Korea's interest rate spread as RMSE 0.0658, which showed more accurate predictive power than the general ensemble model predicted as RMSE 0.0905, and showed excellent performance in terms of tendency to respond to fluctuations. In addition, improved prediction performance was confirmed through period division according to policy changes. This study presented a new way to predict interest rates and yielded better results. We predict that if you use refined data that represents the global economic situation through follow-up studies, you will be able to show higher interest rate predictions and predict economic conditions in Korea as well as other countries.

• 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.