• Title/Summary/Keyword: macroeconomic variable

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A Study on Determinants of Banks' Profitability: Focusing on the Comparison between before and after Global Financial Crisis (은행의 수익성에 영향을 미치는 요인에 관한 연구: 금융위기 전·후 비교를 중심으로)

  • Kim, Mi-Kyung;Eom, Jae-Gun
    • The Journal of the Korea Contents Association
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    • v.18 no.1
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    • pp.196-209
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    • 2018
  • This study is founded on banks' profitability factors. Unlike the previous study in terms of diversification of the banks' funding structure, this research performs multiple regression analysis during the entire period and examines the comparative analysis of before and after the financial crisis. the study establishes hypotheses by using the wholesale funding ratio as a key focus variable with 8 explanatory variables and the operating profit on assets as a profitability index. The Loan-deposit rate gap, the Number of stores and the Non-performing loan ratio prove to be a significant profitability factor for all periods of time. Korean banks are also more profitable when their the Loan-deposit rate gap get bigger and the Number of stores grows. The wholesale funding ratio is analyzed to have no statistically significant effect on the profitability of banks. Rather than being influenced by macroeconomic indicators, it is indicated that the situation of individual banks and other financial environments have been affected. And banks increase profitability as banks increase their loan after the financial crisis. The empirical analysis shows that profitability factors have periodical distinctions, and in this aspect, this research has implications. The study needs to be expanded to cover the entire domestic banking sector, in consideration of the profitability of the banking industry in the future.

A Study about the Real Estate' Policy Impact on house prices (Focusing on the time series analysis and regression) (부동산정책이 주택가격에 미치는 영향에 관한 연구 (시계열분석과 회귀분석 중심으로))

  • Ko, Pill-Song;Park, Chang-Soo
    • The Journal of the Korea institute of electronic communication sciences
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    • v.5 no.2
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    • pp.205-213
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    • 2010
  • This study was to analyze the past regime's real estate policy and the time-series data on real estate price index from 1986 to 2009 in 24 years. Also, the real estate index and macroeconomic variables, the impact on house price index variable conducted to regression analysis and to analyze whether and how much is affected. Analyzed as follows: First, Korea's real estate policy was the post-policy and the past regime's real estate policy was inconsistent with each other. Second, in the normal phase whenever real estate issues, the measures of the strengthening regulation and of the economic recovery were only to repeat periodically. Third, the timing and means of policy enforcement was an inappropriate and Real estate market was getting worse at the time whenever a real estate policies performed. Fourth, The apartments prices index of the housing types rose the highest and were the most popular for 24 years. Increase or decrease the amount of the price index for apartments, Roh Tae-woo(65.0%) - Kim Dae-jung (42.5%) - Roh Moo-hyun (32.8%) were in order. Fifth, the results of the regression analysis carried out: The impact on housing prices among independent variables were followed by Cap Construction- one per capita income - Housing consumer price index - Accompanying Composite Index - Trailing Composite Index - Home subscription Subscriber account - Leading Composite Index.

A Study on the Prediction Model of Stock Price Index Trend based on GA-MSVM that Simultaneously Optimizes Feature and Instance Selection (입력변수 및 학습사례 선정을 동시에 최적화하는 GA-MSVM 기반 주가지수 추세 예측 모형에 관한 연구)

  • Lee, Jong-sik;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.23 no.4
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    • pp.147-168
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    • 2017
  • There have been many studies on accurate stock market forecasting in academia for a long time, and now there are also various forecasting models using various techniques. Recently, many attempts have been made to predict the stock index using various machine learning methods including Deep Learning. Although the fundamental analysis and the technical analysis method are used for the analysis of the traditional stock investment transaction, the technical analysis method is more useful for the application of the short-term transaction prediction or statistical and mathematical techniques. Most of the studies that have been conducted using these technical indicators have studied the model of predicting stock prices by binary classification - rising or falling - of stock market fluctuations in the future market (usually next trading day). However, it is also true that this binary classification has many unfavorable aspects in predicting trends, identifying trading signals, or signaling portfolio rebalancing. In this study, we try to predict the stock index by expanding the stock index trend (upward trend, boxed, downward trend) to the multiple classification system in the existing binary index method. In order to solve this multi-classification problem, a technique such as Multinomial Logistic Regression Analysis (MLOGIT), Multiple Discriminant Analysis (MDA) or Artificial Neural Networks (ANN) we propose an optimization model using Genetic Algorithm as a wrapper for improving the performance of this model using Multi-classification Support Vector Machines (MSVM), which has proved to be superior in prediction performance. In particular, the proposed model named GA-MSVM is designed to maximize model performance by optimizing not only the kernel function parameters of MSVM, but also the optimal selection of input variables (feature selection) as well as instance selection. In order to verify the performance of the proposed model, we applied the proposed method to the real data. The results show that the proposed method is more effective than the conventional multivariate SVM, which has been known to show the best prediction performance up to now, as well as existing artificial intelligence / data mining techniques such as MDA, MLOGIT, CBR, and it is confirmed that the prediction performance is better than this. Especially, it has been confirmed that the 'instance selection' plays a very important role in predicting the stock index trend, and it is confirmed that the improvement effect of the model is more important than other factors. To verify the usefulness of GA-MSVM, we applied it to Korea's real KOSPI200 stock index trend forecast. Our research is primarily aimed at predicting trend segments to capture signal acquisition or short-term trend transition points. The experimental data set includes technical indicators such as the price and volatility index (2004 ~ 2017) and macroeconomic data (interest rate, exchange rate, S&P 500, etc.) of KOSPI200 stock index in Korea. Using a variety of statistical methods including one-way ANOVA and stepwise MDA, 15 indicators were selected as candidate independent variables. The dependent variable, trend classification, was classified into three states: 1 (upward trend), 0 (boxed), and -1 (downward trend). 70% of the total data for each class was used for training and the remaining 30% was used for verifying. To verify the performance of the proposed model, several comparative model experiments such as MDA, MLOGIT, CBR, ANN and MSVM were conducted. MSVM has adopted the One-Against-One (OAO) approach, which is known as the most accurate approach among the various MSVM approaches. Although there are some limitations, the final experimental results demonstrate that the proposed model, GA-MSVM, performs at a significantly higher level than all comparative models.