• 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.

• 경영과학
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• 제18권1호
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• pp.119-133
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• 2001

It is important to find the equilibrium level of real interest rate for it affects real and financial sector of economy. However, it is difficult to find the equilibrium level because like the most macroeconomic model the real interest model has parameter instability problem caused by structural change and it is supported by various theories and definitions. Hence, in order to cover these problems structural change detection model of real interest rate is developed to combine the real interest rate equilibrium model and the procedure to detect structural change points. 3 equations are established to find various effects of other interest-related macroeconomic variables and from each equation, structural changes are found. Those structural change points are consistent with common expectation. Oil Crisis (December, 1987), the starting point of Economic Stabilization Policy (January, 1982), the starting point of capital liberalization (January, 1988), the starting and finishing points of Interest deregulation (January, 1992 and December, 1994), Foreign Exchange Crisis (December, 1977) are detected as important points. From the equation of fisher and real effects, real interest rate level is estimated as 4.09% (October, 1988) and dependent on the underlying model, it is estimated as 0%∼13.56% (October, 1988), so it varies so much. It is expected that this result is connected to the large scale simultaneous equations to detect the parameter instability in real time, so induces the flexible economic policies.

• 유통과학연구
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• 제11권10호
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• pp.55-62
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• 2013

Purpose - The purpose of this study is to suggest a risk factor that significantly explains foreign currency risk premia. In recent years, some studies have found that the performance of the simultaneous consumption risk model improves considerably when tested on foreign currency portfolios, which are constructed based on the international interest rates differentials. However, this paper focuses on the long-run consumption risk factor. In our empirical research, we found that the real excess returns of high interest rate currency portfolios depreciate on average, when the future American long-run consumption growth rate appears low. This makes the high interest rate currency portfolios have relatively high risk premia. Meanwhile, the real excess returns of low interest rate currency portfolios appreciate on average, under the same conditions, which results in relatively low risk premia for these portfolios. Therefore, this long-run consumption risk factor might explain why low interest rate currencies do not appreciate as much as the interest rate differential, and why high interest rate currencies do not depreciate as much as the interest rate differential. Research design, data, methodology - In our explanation, we provide new evidence on the success of long-run consumption risks in currency risk premia by focusing on the long-run consumption risks borne by American representative investors. To uncover the hidden link between exchange rates and long-run consumption growth, we set the eight currency portfolios as our basic assets, which have been built based on the foreign interest rates of eighty countries. As these eight currency portfolios are rebalanced every year, the first group always contains the lowest interest rate currencies, and the last group contains the highest interest rate currencies. Against these basic eight currency portfolios, we estimate the long-run consumption risk model. We use recursive utility framework and the stochastic discount factor that depends on the present value of expected future consumption growth rates. We find that our model is optimized in the two-year period of constructing the durable consumption expectation factor. Our main results surprisingly surpass the performance of the existing benchmark simultaneous consumption model in terms of R², relatively risk aversion coefficient γ, and p-value of J-test. Results - The performance of our model is superior. R², relatively risk aversion coefficient γ, and p-value of J-test of our long-run durable consumption model are 90%, 93%, and 65.5%, respectively, while those of EZ-DCAPM are 87%, 113%, and 62.8%, respectively. Thus, we can speculate that the risk premia in foreign currency markets have been determined by the long-run consumption risk. Conclusions - The aggregate long-run consumption growth risk explains a large part of the average change in the real excess returns of foreign currency portfolios. The real excess returns of high interest rate currency portfolios depreciate on average when American long-run consumption growth rate is low, and the real excess returns of low interest rate currency portfolios appreciate under the same conditions. Thus, the low interest rate currency portfolios allow investors to hedge against aggregate long-run consumption growth risk.

• 문화기술의 융합
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• 제4권4호
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• pp.155-160
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• 2018

본 연구는 미국의 실질실효환율과 단기금리가 중국의 수출과 수입에 미치는 영향을 EGARCH-GED 모형을 이용하여 분석하였다. 미국이 금리의 인상을 추진하고 중국과의 무역 전쟁이 심화되는 시점에서 미국 주요 경제변수의 중국 수출과 수입에 대한 효과를 분석하였다. 분석결과, 첫째 중국의 교역량에는 미국 실질실효환율은 유의한 영향을 미치지 않고 미국 단기금리만이 유의한 양의 영향을 미치는 것으로 나타났다. 중국 수출의 경우에도 미국 실질 실효환율은 유의한 영향을 미치지 않고 미국 단기금리만이 유의한 양의 영향을 미쳤다. 그러나 중국 수입의 경우에는 수출과는 반대로 미국 단기금리는 유의한 영향을 미치지 않고 미국 실질실효환율은 유의한 양의 영향을 미치는 것으로 나타났다. 한편 중국 정책금리는 중국 수출에만 유의한 양의 영향을 미치는 것으로 나타났다.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.127-135
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• 2020

This study aims to measure the effects of real interest rate (RIR), gross domestic savings (GDS), and net exports (EN) shocks on Indonesia's economic growth (EG). The focus on Indonesia is unique due to the abundant resources available in the nation, but they are unsuccessful in boosting economic growth. This study applied a quantitative method to comprehensively analyze the correlation between variables by employing Vector Autoregression Model (VAR) combined with Vector Error Correction Model (VECM). Various procedures are preformed: Augmented Dickey-Fuller test (ADF), Optimum Lag Test, Johansen Cointegration Test, Granger Causality Test, as well as Impulse Response Function (IRF) and Error Variance Decomposition Analysis (FEVD). The data were collected from the World Bank and the Asian Development Bank from 1986 to 2017. The findings of the study indicated that economic growth responded positively to real interest rate shocks, which implies that when the real interest rate experiences a shock (increase), the economy will be inclined to growth. While, economic growth responded negatively to gross domestic savings and net export shocks. Policymakers are expected to consider several matters, particularly the economic conditions at the time of formulating policy, so that the prediction effectiveness of a policy can be appropriately assessed.

• The Journal of Asian Finance, Economics and Business
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• 제3권2호
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• pp.5-11
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• 2016

This study investigates the impact of Malaysia's capital market and other key determinants on Economic Growth from the period of 1988 to 2012. The key determinants studied are foreign direct investment and real interest rate. This study also examines the long run and short run relationship between the economic growth and capital market, foreign direct investment, and real interest rate by using bound testing cointegration of Autoregressive Distributed Lag (ARDL) and Error Correction Model (ECM) version of ARDL model. The empirical results of the study suggest that there is long- run cointegration among the capital market, foreign direct investment, real Interest rate and economic growth. The result also suggests that capital market and real interest rate have positive impact on economic growth in the short run and long run. Foreign direct investment does not show positive impact on economic growth in the short run but it does in the long run.

• 한국건축시공학회:학술대회논문집
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• 한국건축시공학회 2012년도 춘계 학술논문 발표대회
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• pp.161-163
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• 2012

Recently on Value Engineering(VE) and Life Cycle Cost(LCC) social interests is increasing. The government Turn Key, BTL projects and public works projects, such as VE and LCC Analysis on the value and economic analysis is mandatory. And accordingly the VE and LCC analysis is underway for the various studies. However, there is a problem existing in the LCC analysis. Worth the cost varies according to the flow of time. However, the real interest rate during the LCC analysis of buildings in calculation time for interest rates and inflation are not considering the value of the flow. In other words, a few years using the average value of the deterministic analysis method has been adopted. These costs for the definitive analysis of the cost of an uncertain future, unforeseen changes resulting hazardous value. In this study of the last 15 years interest rates and inflation targeting by using Monte-Carlo Simulation is to perform probabilistic analysis. This potential to overcome uncertainties of the cost of building a more scientific and LCC Estimation of the probability value of the real interest rate is presented.

• The Journal of Asian Finance, Economics and Business
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• 제4권1호
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• pp.19-23
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• 2017

Based on a simultaneous-equation model consisting of aggregate demand and short-run aggregate supply, this paper estimates a reduced-form equation specifying that the equilibrium real GDP is a function of the real effective exchange rate, the government deficit as a percent of GDP, the real interest rate, foreign income, labor productivity, the real oil price, the expected inflation rate, and the interactive and intercept binary variables accounting for a potential change in the slope of the real effective exchange rate and shift in the intercept. Applying the exponential GARCH technique, it finds that aggregate output in Australia has a positive relationship with the real effective exchange rate during 2003.Q3 - 2013.Q2, the government deficit as a percent of GDP, U.S. real GDP, labor productivity and the real oil price and a negative relationship with the real effective exchange rate during 2013.Q3 - 2016.Q1, the real lending rate and the expected inflation rate. These results suggest that real appreciation was expansionary before 2013.Q3 whereas real depreciation was expansionary after 2013.Q2 and that more government deficit as a percent of GDP would be helpful to stimulate the economy. Hence, the impact of real appreciation or real depreciation on real GDP may change overtime.

• 국제지역연구
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• 제14권1호
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• pp.77-97
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• 2010

최근 국제자원시장의 불안정성으로 인해 카스피해 연안 국가에 대한 관심이 고조되고 있다. 이들 국가들은 자원수출 중심으로 성장하고 있으며, 특히 카자흐스탄은 최근 10년간 높은 경제성장률을 달성하였다. 그러나 자원에 대한 수출의존도가 높은 경제구조를 가진 국가들의 경우 경제 전반이 국제자원 시세변동에 따라 크게 영향을 받을 수 있으며, 지속적인 경제성장을 저해하는 네덜란드 병에 노출될 수 있다. 최근 카자흐스탄은 우리나라와 교역 및 투자가 증가하는 등 새로운 에너지 공급처로서 대두되었다. 따라서 카자흐스탄의 경제변화는 우리나라에 있어 주요 이슈라고 할 수 있다. 이 연구에서는 카자흐스탄 경제에 네덜란드 병의 원인을 파악하기 위해 Balasa-Samuelson모형을 수정하여 1999년 1월부터 2008년 12월까지를 표본 대상 기간 동안 국제유가와 이자율, 카자흐스탄 실질환율 간의 관계를 분석하였다. 실증분석 결과 전체 표본 기간 내 국제유가와 이자율은 실질환율과 장기적 균형관계를 보이는 것으로 나타났다. 이 기간 내 국제유가와 이자율은 실질환율에 각각 부(-)의 영향을 미치는 것으로 나타나 카자흐스탄은 네덜란드 병에 노출되어 있음을 확인하였다.

• 동아시아경상학회지
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• 제4권4호
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• pp.1-7
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• 2016

This paper has studied the impacts of the exchange rate, government debt as a percent of GDP and other relevant macroeconomic variables on aggregate output in the Philippines. A simultaneous-equation model consisting of aggregate demand and short-run aggregate supply is applied. The dummy variable technique is employed to detect whether the slope and intercept of the real effective exchange rate may have changed. Real depreciation during 1998.Q1 - 2006.Q3, real appreciation during 2006.Q4 - 2016.Q1, a lower domestic debt as a percent of GDP, a lower real interest rate, a higher stock price or a higher lagged real oil price would raise aggregate output. Recent trends of real peso appreciation, declining domestic debt as a percent of GDP, lower real interest rates, and rising stock prices are in line with the empirical results and would promote economic growth. The authorities may need to continue to pursue fiscal prudence and maintain a stronger peso as the positive effect of real appreciation dominates its negative effect in recent years.