• Title/Summary/Keyword: Government bonds

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Determinants of Vietnam Government Bond Yield Volatility: A GARCH Approach

  • TRINH, Quoc Trung;NGUYEN, Anh Phong;NGUYEN, Hoang Anh;NGO, Phu Thanh
    • 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 Estimation of Compensation for Revoking a License for Fishery Business and Appropriate Discount Rate (어업권 취소에 대한 손실보상액 추정과 이자율)

  • Jung, Hyung-Chan;Chung, Man-Hwa
    • The Journal of Fisheries Business Administration
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    • v.44 no.2
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    • pp.1-17
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    • 2013
  • We investigate the appropriateness of the fixed 12% discount rate to be used in estimating the amount of compensation for revoking a license for fishery business by the Enforcement Decree of Fisheries Act in Korea. We also suggest the appropriate discount rate fully reflecting the change of market interest rate in the Korean financial market. The capital asset pricing model, or, CAPM is the best known model of risk and return, and is widely used to estimate the expected rate of return for the risky projects. Even though the CAPM implies that the discount rate or the expected rate of return should change as the related market factors do, the discount rate used to estimate compensation for revoking a license for fishery business remains to be the same 12% rate for the last 15 years by law. During this period, however, the yield to maturity for the 5-year government bonds in Korea has dramatically changed from about 12% to less than 3%. In order to provide the fair compensation for the damages against the coastal fisheries and evaluate the intrinsic value of fishery resources in the coastal areas, we suggest that the appropriate discount rate should be determined by the yield to maturity of the government bonds with 5-year maturity, instead of the current fixed 12% interest rate.

Do Words in Central Bank Press Releases Affect Thailand's Financial Markets?

  • CHATCHAWAN, Sapphasak
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.4
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    • pp.113-124
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    • 2021
  • The study investigates how financial markets respond to a shock to tone and semantic similarity of the Bank of Thailand press releases. The techniques in natural language processing are employed to quantify the tone and the semantic similarity of 69 press releases from 2010 to 2018. The corpus of the press releases is accessible to the general public. Stock market returns and bond yields are measured by logged return on SET50 and short-term and long-term government bonds, respectively. Data are daily from January 4, 2010, to August 8, 2019. The study uses the Structural Vector Auto Regressive model (SVAR) to analyze the effects of unanticipated and temporary shocks to the tone and the semantic similarity on bond yields and stock market returns. Impulse response functions are also constructed for the analysis. The results show that 1-month, 3-month, 6-month and 1-year bond yields significantly increase in response to a positive shock to the tone of press releases and 1-month, 3-month, 6-month, 1-year and 25-year bond yields significantly increase in response to a positive shock to the semantic similarity. Interestingly, stock market returns obtained from the SET50 index insignificantly respond to the shocks from the tone and the semantic similarity of the press releases.

Modelling of Public Financial Security and Budget Policy Effects

  • Zaichko, Iryna;Vysotska, Maryna;Miakyshevska, Olena;Kosmidailo, Inna;Osadchuk, Nataliia
    • International Journal of Computer Science & Network Security
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    • v.21 no.9
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    • pp.239-246
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    • 2021
  • This article substantiates the scientific provisions for modelling the level of Ukraine's public financial security taking into account the impact of budget policy, in the process of which identified indicators of budget policy that significantly affect the public financial security and the factors of budget policy based on regression analysis do not interact closely with each other. A seven-factor regression equation is constructed, which is statistically significant, reliable, economically logical, and devoid of autocorrelation. The objective function of maximizing the level of public financial security is constructed and strategic guidelines of budget policy in the context of Ukraine's public financial security are developed, in particular: optimization of the structure of budget revenues through the expansion of the resource base; reduction of the budget deficit while ensuring faster growth rates of state and local budget revenues compared to their expenditures; optimization of debt serviced from the budget through raising funds from the sale of domestic government bonds, mainly on a long-term basis; minimization of budgetary risks and existing threats to the public financial security by ensuring long-term stability of budgets etc.

An Implementation of Stock Investment Service based on Reinforcement Learning (강화학습 기반 주식 투자 웹 서비스)

  • Park, Jeongyeon;Hong, Seungsik;Park, Mingyu;Lee, Hyun
    • The Journal of the Convergence on Culture Technology
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    • v.7 no.4
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    • pp.807-814
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    • 2021
  • As economic activities decrease, and the stock market decline due to COVID-19, many people are jumping into stock investment as an alternative source of income. As people's interest increases, many stock price analysis studies are underway to earn more profits. Due to the variance observed in the stock markets, it is necessary to analyze each stock independently and consistently. To solve this problem, we designed and implemented models and services that analyze stock prices using a reinforcement learning technique called Asynchronous Advantage Actor-Critic(A3C). Stock market data reflected external factors such as government bonds and KOSPI (Korea Composite Stock Price Index) as well as stock prices. Our proposed work provides a web service with a visual representation of predictions of stocks and stock information through which directions are given to investors to make safe investments without analyzing domestic and foreign stock market trends.

The Wealth Effects of M&A on Shareholders and Bondholders (기업 인수합병 공시에 따른 주주 및 채권자의 부의 변화에 관한 연구)

  • Byun, Jin-Ho;Woo, Won-Seok
    • The Korean Journal of Financial Management
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    • v.25 no.2
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    • pp.191-213
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    • 2008
  • This study tests and reconfirms the wealth transfer of mergers and acquisitions(M&As) by examining the changes in and the relationship between shareholder and bondholder wealth after the announcements of M&As for the publicly listed firms in Korea Stock Exchange and KOSDAQ market during $1999{\sim}2006$. The change in shareholder wealth is measured by the Cumulative Abnormal Return(CAR) at the M&A announcements, and the change in bondholder wealth is calculated using the Yield Spread Change(YSC) and the change in acquiring firms' credit ratings. The empirical tests show that the CAR of 344 sample acquiring firms at the announcement is 3.59%, which confirms results of the prior research on M&As in Korean market. The average YSC for 35 sample acquiring firms between $2001{\sim}2006$ proves to be negative when we use the yield spread of firms with comparable credit ratings as a benchmark, which means that the acquiring firms' bondholders gain with the announcements of M&As. We find the same result using another benchmark-the yield spread of government bonds. The improvement in the acquiring firms' credit ratings one year after the M&As also indicates that the M&As, on average, increase bondholder wealth. Our test results are consistent with those of the existing studies on the effect of bondholder wealth after the M&As in the United States, which shows that the bondholder wealth increases after the M&As. We do not find the evidence that there is a wealth transfer from the acquiring firms' bondholders to the shareholders after the M&A announcements. Rather, this study confirms that the wealth of the acquiring firms' bondholders increases in the M&As in Korea.

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A Study on the Prediction for Apartment Sales Price: Focusing on the Basic Property, Economy, Education, Culture and Transportation Properties in S city, Gyeonggi-do (아파트 매매가격 예측에 관한 연구: 경기도 S시 아파트 기본속성과 경제·교육·문화·교통 속성을 중심으로)

  • Kim, Seonghun;Lee, Jung-Mok;Lee, Hyang-Seob;Yu, Su-Han;Shin, WooJin;Yu, Jong-Pil
    • The Journal of Bigdata
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    • v.5 no.1
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    • pp.109-124
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    • 2020
  • In Korea, despite much interest in real estate, it is not easy to predict prices. Because apartments are both residential spaces and investment materials. Key figures affecting the price of apartments vary widely, and there are also regional characteristics. This study was conducted to derive the factors and characteristics that affect the sale price of apartments in S City, Gyeonggi-do. In general, people diagnose that better subway accessibility leads to higher apartment sales price. Nevertheless, in the case of S City, the price was slightly lower as it was closer to Line 1, but the higher the subway accessibility at Shinbundang Line, the higher the price. The five-year average of government bonds and the price were inversely related, and it was found to be proportional to the M2 balance and the price. The floor area ratio and the total number of parking lots had a great influence on the price, and the presence of department stores and discount marts within 1.5 km were the most important factors in the area of cultural aspect.