• The Journal of Asian Finance, Economics and Business
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• 제5권4호
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• pp.35-44
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• 2018

The study is aimed at investigating the main factors that affect the interest rate yields, in the long-term. In addition, the study surveys the theories and literature relating to the determinants of interest rate. The importance of which is essential not only for governments, but also for banks and corporate financial risk management decisions, including risk exposures in banks and capital markets. Interest rate influences corporate profit as well as growth. For this purpose, the study examines the impact of budget deficit, risk-free rate, capital inflows, money supply and business cycles on real interest rate in Jordan. These factors are based upon well-established theories and straightforward practical view as interest rate determinants. Using data for (1990-2015), the study employed Johansen's co-integrating test, which takes into consideration the long-term unsynchronized relationships. The data is tested for normality, symmetric correlations, covariance diagonal and unit root. The results show that the government budget deficit, short-term risk-free interest rate, capital inflows, money supply and business cycle are long-term determinants of the real interest rate in Jordan. The coefficients of government budget deficit, short-term risk-free rate, money supply and business cycle all are inversely affecting the real interest rate, while capital inflows has a positive impact on the real interest rate.

• 산업경영시스템학회지
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• 제21권48호
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• pp.133-144
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• 1998

International capital movement has made progress at global liberalization of finance and foreign exchange, international monetary norm changing into floating exchange rate system, easiness of collection of information and trade at improvement of information communication technology from early of 1970's. Results of empirical test for relation between foreign exchange rate or various determination factors of foreign exchange rate and interest rate are followed by next sentences. First, according to relation between foreign exchange rate and interest rate, correlation for each of variables after OECD entrance is increased. But, long-term & short-term interest rate is affected by Hanbo & Kia's bankruptcy, continuous large scale corporates bankruptcy and crisis of foreign exchange. Therefore, financial instability is occured. If portfolio investment fund has been inflow as it is mollified by continuous shortage of foreign exchange and fall of country's credit rating, it is expected to have positive effect for long-term & short-term interest rate from appreciation of won against dollar. Second, results from relation between determination factor of foreign exchange rate and interest rate are followed by next sentences. If surplus of current account and goods account is continued, yield of corporate bond is to be stable. But, margin of surplus is expected to diminish after second quarter 98, and difference between external and domestic interest (after adjusting foreign exchange rate) is to be diminished. And if net inflows of foreign investor's fund (stock and bond) is diminished, it is to have negative effect for yield of corporate bond. According to foreign investor's investment movement of previous years, hedge fund were stayed at least during two years in Mexico. It means that sudden capital outflow is not to be happened at Korea. But if external factors from depreciation of yen and China's renminbi are instable, interest rate is expected to increase from capital's outflows. Third, if it is to decrease instability of foreign exchange rate from increase in surplus of future current account, credit rating's upwardness, stability of yen and renminbi, foreign exchange rate is expected to be stable. It is expected to have continuous stability from short-term interest rate to long-term interest rate in this empirical test.

• 대한안전경영과학회:학술대회논문집
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• 대한안전경영과학회 2002년도 추계학술대회
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• pp.305-319
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• 2002

International capital movement has made progress at global liberalization of finance and foreign exchange, international monetary norm changing into floating exchange rate system, easiness of collection of information and trade at improvement of information communication technology from early of 1970's. Results of empirical test for relation between foreign exchange rate or various determination factors of foreign exchange rate and interest rate are followed by next sentences. First, according to relation between foreign exchange rate and interest rate, correlation for each of variables after OECD entrance is increased. But, long-term ＆short-term interest rate is affected by Hanbo ＆ Kia's bankruptcy, continuous large scale coporates bankruptcy and crisis of foreign exchange. Therefore, financial instability is occured. If portfolio investment fund has been inflow as it is mollified by continuous shortage of foreign exchange and fall of country's credit rating, it is expected to have positive effect for long-term & short-term interest rate from appreciation of won against dollar. Second, results from relation between determination factor of foreign exchange rate and interest rate are followed by next sentences. If surplus of current account and goods account is continued, yield of corporate bond is to be stable. But, margin of surplus is expected to diminish after second quarter 98, and difference between external and domestic interest (after adjusting foreign exchange rate) is to be diminished. And if net inflows of foreign investor's fund (stock and bond) is diminished, it is to have negative effect for yield of corporate bond. According to foreign investor's investment movement of previous years, hedge md were stayed at least during two years in Mexico. It means that sudden capital outflow is not to be happened at Korea. But if external factors from depreciation of yen and China's renminbi are instable, interest rate is expected to increase from capital's outflows. Third, if it is to decrease instability of foreign exchange rate from increase in surplus of future current account, credit rating's upwardness, stability of yen and renminbi, foreign exchange rate is expected to be stable. It is expected to have continuous stability from short-term interest rate to long-term interest rate in this empirical test.

• 무역학회지
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• 제42권4호
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• pp.49-68
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• 2017

본 연구에서는 장기 이자율 결정요인에 관한 개방거시모형을 활용하여 미국의 장기 이자율 변동이 한국의 장기 이자율에 미치는 전파효과의 존재 유무와 환율변동이 그러한 전파효과를 억제할 수 있는지를 분석하였다. 공적분 추정 및 충격반응함수의 분석결과, 미국의 장기 이자율 변동이 한국의 이자율에 대해 미치는 전파효과가 장·단기적으로 존재하며 한·미 금리가 장·단기적으로 동행하는 결과를 보였다. 재정적자의 변화는 우리나라의 국채이자율과 장기적으로 비례 관계를 보였으며 환율의 기대상승률(Ee)의 상승은 단기적으로 한국의 금리를 상승시키는 작용을 하는 것으로 나타났다. 그리고 한국의 외환시장 개입은 한·미 금리간의 전파효과에 유의적인 영향을 주지 않는 것으로 나타났다. 그러므로 환율의 자유로운 변동만으로 미국 금리변동이 한국의 금리에 미치는 전파효과를 억제하기에 충분하지 않은 것으로 파악된다.

• 한국산학기술학회논문지
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• 제17권6호
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• pp.676-686
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• 2016

본 연구는 국내 리츠가 운용된 2002년부터 2015년까지의 리츠사의 타인자본에 대한 차입이자율을 월별 자료로 구축하여 차입이자율의 흐름과 금리변수와의 관계를 분석하였다. 선행연구를 검토한 결과 리츠사의 차입이자율은 리츠 내부의 고유요인에 의해 결정되기도 하지만 거시경제변수 중 금리변수와 연계성이 높게 나타났다. 이에 본 연구는 K-REITs 차입이자율과 금리 변수 간에 ARDL(autoregressive distributed lag: 자기회귀시차) 모형을 설정하여 장기관계를 분석하였으며, ARDL-ECM 모형을 기반하여 단기 관계도 검토하였다. 실증분석 결과 K-REITs 차입이자율과 국고채 3년, 국고채 5년, 회사채(AA-,3년), 기업일반자금 대출금리에서 장기 공적분 관계가 형성되었으며, 이는 K-REITs 차입이자율이 장기금리 변수와 동조하고 있음을 보여준다. 또한, 기업일반자금 대출금리는 장기 관계와 단기 조정 과정에서도 K-REITs 차입이자율과의 연계성이 높게 나타났다. REITs가 금융권 차입에 관한 사항과 경영계획 수립 시에 기업일반자금 대출금리와 같은 장기금리 변수의 동향 등을 고려하여 의사결정 한다면 K-REITs 발전에 실질적인 도움이 될 수 있을 것이다.

• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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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.

• 대한안전경영과학회:학술대회논문집
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• 대한안전경영과학회 2005년도 추계학술대회
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• pp.569-579
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• 2005

International capital movement has made progress at global liberalization of finance and foreign exchange, international monetary norm changing into floating exchange rate system, easiness of collection of information and trade at improvement of information communication technology from early of 1970's. Results of empirical test for relation between foreign exchange rate or various determination factors of foreign exchange rate and interest rate are followed by next sentences. First, according to relation between foreign exchange rate and interest rate, correlation for each of variables after OECD entrance is increased. 'But, long-term & short-term interest rate is affected by Hanbo & Kia's bankruptcy, continuous large scale coporates bankruptcy and crisis of foreign exchange. Therefore, financial instability is occured. If portfolio investment fund has been inflow as it is mollified by continuous shortage of foreign exchange and fall of country's credit rating, it is expected to have positive effect for long-term & short-term interest rate from appreciation of won against dollar. Second, results from relation between determination factor of foreign exchange rate and interest rate are followed by next sentences. If surplus of current account and goods account is continued, yield of corporate bond is to be stable. But, margin of surplus is expected to diminish after second quarter 98, and difference between external and domestic interest (after adjusting foreign exchange rate) is to be diminished. And if net inflows of foreign investor's fund (stock and bond) is diminished, it is to have negative effect for yield of corporate bond. According to foreign investor's investment movement of previous years, hedge fund were stayed at least during two years in Mexico. It means that sudden capital outflow is not to be happened at Korea.

• 충청수학회지
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• 제34권2호
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• pp.157-168
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• 2021

This study uses the benchmark interest rate of the Federal Open Market Committee (FOMC) to predict gold futures prices. For the predictions, we used the support vector machine (SVM) (a machine-learning model) and the long short-term memory (LSTM) deep-learning model. We found that the LSTM method is more accurate than the SVM method. Moreover, we applied the Boruta algorithm to demonstrate that the FOMC benchmark interest rates correlate with gold futures.

• 아태비즈니스연구
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• 제15권3호
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• pp.385-397
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• 2024

Purpose - The purpose of this study was to analyze the dynamic relationship between oil prices and macroeconomic variables (gross domestic product, consumer price index, and interest rate). Long-run and short-run effects of oil prices on these macroeconomic variables are examined. Design/methodology/approach - The vector error correction model (VECM) is used to examine the short-run and long-term causality of oil prices, and a hierarchical Bayesian vector autoregressive model (HBVAR) is used to find the impulse of oil shock and the response of other variables. Findings - First, oil prices do not have short-term causality with macroeconomic variables, but they have long-term causality with interest rates and GDP. Second, the long-term stable relationship of oil prices and other macroeconomic variables is important to find out causality. Third, oil shock increases interest rates and decreases GDP and consumer price. Research implications or Originality - The significance of this study is a new attempt to analyze the dynamic relationship between oil prices and macroeconomic variables by linking VECM and HBVAR. Although VECM can analyze the long-term relationship and short-term dynamics between oil prices and macroeconomic variables, it was difficult to identify the transmission path of the oil price shock. HBVAR is confirmed to be flexible because it can bypass the process of selecting VAR or VECM through unit root test and cointegration analysis, and it is expected to reduce uncertainty of selecting hyperparameters.

• 신재생에너지
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• 제10권1호
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• pp.41-49
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• 2014

For a proper valuation of wind power project, it is necessary to consider volatilities of key parameters such as annual energy production, electricity sales price, and long term interest rate. Real option methodology allows to calculate option values of these parameters. Volatilities to be considered in wind project valuation are 1) annual energy production (AEP) estimation due to meteorological variation and estimation errors in wind speed distribution, 2) changes in system marginal price (SMP), and 3) interest rate fluctuation of project financing which provides refinancing option to be exercised during a loan tenor for commercial scale projects. Real option valuation turns out to be more than half of the sales value based on a case study for a FIT scheme wind project that was sold to a financial investor.