• 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.

• Journal of Korea Trade
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• v.26 no.2
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• pp.21-44
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• 2022

Purpose - This study quantifies sources of trade balance dynamics over the business cycle in Korea. Specifically, we quantify the relative importance of domestic and foreign factors on trade balance dynamics using a small open economy real business cycle (SOE-RBC) model and provide policy implications for stabilization policies. Aggregate productivity and interest rate spreads are considered domestic factors affecting the trade balance. A world interest rate (the U.S. interest rate) is considered a foreign factor. Design/methodology - Following Neumeyer and Perri (2005), we build the SOE-RBC model with three types of shocks: aggregate productivity, interest rate spread, and world interest shocks. The model is estimated by the generalized method of moments (GMM) using relevant business cycle statistics. The estimated model is used for quantifying the relative importance of domestic and foreign factors on trade balance dynamics in Korea. Findings - Our main findings can be summarized as follows: 85.64% of the trade balance fluctuations in Korea are explained by domestic factors, the remaining 14.35% by foreign factors. Particularly, trade balance dynamics are mostly accounted for by the change in aggregate productivity shocks (85.58%). World interest rate shocks considerably explain trade balance (14.35%), whereas the role of interest rate spread shocks that represent domestic risks is limited (0.08%). Although aggregate productivity is key in explaining trade balance dynamics in Korea, interest rates still have an essential role. This is because aggregate productivity changes induce interest rate spread variations and, thus, the trade balance significantly. The results suggest that government policies mitigating fluctuations in aggregate productivity would be effective for stabilization policies in Korea by reducing the trade balance volatility. Originality/value - Existing studies on the emerging market business cycle examine mostly Latin American countries, and the main object of the studies is the volatility of consumption rather than trade balance dynamics. Conversely, our study examines Korea rather than Latin American countries. Additionally, we examine sources of trade balance dynamics, which are relatively more important in Korea, rather than those of the volatility of consumption. Hence, we estimate the model to explicitly match moments related to trade balance in the data.

• KDI Journal of Economic Policy
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• v.14 no.4
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• pp.27-49
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• 1992

This paper stresses the role of market fundamentals rather than bubbles in explaining Korea's recent experience of large fluctuations of stock and real estate prices. The bubble story that emphasizes the self-fulfilling prophecies of investors seems to be inappropriate to explain the recent changes of assets prices in Korea. Those who argue for bubble phenomenon in Korea tend to interpret the volatile movements of assets prices as some form of bubbles, but without implementing a rigorous test on the presence of bubbles. Even when some bubble tests are carried out, such studies exhibit various econometric problems in testing. More seriously, they suffer from the misspecification problems in setting up a market model. This paper has shown that Korea's recent changes in assets prices could be explained by changes in market fundamentals according to the emergence and the subsequent fading of 'three lows'. First, it tried to explain changes in assets prices by changes in such market fundamentals as real interest rates and economic growth. Second, it showed that the real estate prices overshoot when the liquidity and exchange rates change, using the two-sector general equilibrium portfolio balance model. It is argued that the rapid rise in real estate prices during 1986-89 stems from Yen's and Won's appreciation $vis-{\grave{a}}-vis$ the U.S. dollar and liquidity expansion (or decreases in real interest rates), while the downturn in real estate prices since 1990 is associated with Yen's and Won's depreciation $vis-{\grave{a}}-vis$ the U.S. dollar and rises in real interest rates in reflection of the excess demand for liquidity.

• Asia-Pacific Journal of Business
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• v.13 no.3
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• pp.343-359
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• 2022

We analyze the regional ripple effects of both the sale prices and cheonsei prices using the global VAR(GVAR) model. The interest rate shock causes the regional sale prices to fall. Moreover, the greatest responses to the shock are those of Gangnam-gu, etc. because of there were many transactions for investment purpose. When interest rate rose, the cheonsei price in Gangnam-gu reacted greatly. Conversely, if interest rates fall, the cheonsei demand to live in Gangnam-gu increases. Furthermore, the response of sale price to the interest rate shock are greater than those of the cheonsei prices. Whereas, a positive shock on the sale price in Gangnam-gu increases the sale price there. It also raises the sale prices of the surrounding area in a similar pattern. The shock on the sale price in Gangnam-gu also increases the cheonsei price in Gangnam-gu. In addition, an increase in the sale price in Gangnam-gu leads to increases of cheonsei prices in other regions. Therefore, the recent rise of the base rate can negatively affect the sale prices, and thus a decrease in the sale price spreads to the surrounding areas. Accordingly, it is time for policy alternatives to make a soft landing in sale prices.

• Korea Trade Review
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• v.42 no.4
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• pp.49-68
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• 2017

This paper investigates the spillover effect of the U.S. Interest on Korea's interest rate as well as the role of exchange rate in the spillover effects, by utilizing a open macro model on the determinants of long-term interest rates. According to the cointegration estimation and the Impulse response function, it is found that, across both long-term and short-term, there exist the spillover effect of the U.S. Interest on Korea's interest rate. The fiscal deficit and expected exchange rate have significantly positive relationship with the Koreas's long-term interest rate. Further, foreign exchange market intervention in Korea did not have significant effect on the spillover effect. Thus, this study suggests that exchange rate flexibility would not be enough to restrain the spillover effects of the U.S. interest rate.

• Proceedings of the Materials Research Society of Korea Conference
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• 2003.11a
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• pp.93-93
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• 2003

Tungsten and tungsten heavy alloys have widespread application as radiation shielding devices and heavy duty electrical contacts. High density and good room temperature mechanical properties have generated interest in evaluating tungsten and tungsten alloys as kinetic energy penetrators against armor. Nowdays ultra fine-grained tungsten powders are in great interest because higly dense structures can be obtained at low temperature, pressure and lower sintering time. Several physical md chemical methods are available for the synthesis of nanometric metal Powders: ball milling, laser abalation, vapor condensation, chemical precipitation, metallic wire explosion i.e. However production rates of the above mentioned methods are low and further efforts are needed to find out large-scale synthesis methods. From this point of view solid state combustion method ( known as SHS) represents undoubted interest.

• Journal of Information Processing Systems
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• v.13 no.2
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• pp.321-339
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• 2017

In this work, we are interested in the extraction of areas of interest from satellite images by introducing a MO-TRIBES/OC-SVM approach. The One-Class Support Vector Machine (OC-SVM) is based on the estimation of a support that includes training data. It identifies areas of interest without including other classes from the scene. We propose generating optimal training data using the Multi-Objective TRIBES (MO-TRIBES) to improve the performances of the OC-SVM. The MO-TRIBES is a parameter-free optimization technique that manages the search space in tribes composed of agents. It makes different behavioral and structural adaptations to minimize the false positive and false negative rates of the OC-SVM. We have applied our proposed approach for the extraction of earthquakes and urban areas. The experimental results and comparisons with different state-of-the-art classifiers confirm the efficiency and the robustness of the proposed approach.

• Communications of the Korean Mathematical Society
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• v.33 no.1
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• pp.345-360
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• 2018

In finance, barrier options are options contracts with a payoff that depends on whether the price of the underlying asset hits a predetermined barrier level during the option's lifetime. Based on exotic options and random fluctuations of interest rates in the marketplace, we consider discount barrier options with a stochastic interest rate driven by the Hull-White process. This paper derives the closed-form solutions of the discount barrier option and the discount double barrier option using Mellin transform methods and the PDE (partial differential equation) method of images.

• Communications of the Korean Mathematical Society
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• v.32 no.2
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• pp.467-477
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• 2017

This paper is about the derivations of local volatilities for European quanto call option prices according to various types of payoffs. We derive the explicit formulas of local volatilities with constant foreign and domestic interest rates by adapting the method of Derman-Kani.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 1995.04a
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• pp.155-155
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• 1995