한국 채권시장의 Shadow Rate 추정과 금융시장에 미치는 영향

이정인(JungIn Lee),최수정(Sujung Choi),이준희(Joon-hee Rhee) 대한경영학회 2017 大韓經營學會誌 Vol.30 No.3

칼만필터를 이용한 우리나라의 중립금리 추정

오형석 ( Hyoung Seok Oh ) 한국금융연구원 2014 금융연구 Vol.28 No.1

Wicksell defined the natural rate in his book published at 1898 like this. There is a certain rate of interest on loans which is neutral in respect to commodity prices and tends neither to raise nor to lower them. From the recent point of view, Wicksell`s definition of the natural rate can be interpreted as the real interest rate consistent with output converging to potential, where potential is the level of output consistent with stable inflation. In many countries involving Korea, short-term interest rate has become the primary monetary policy instrument. Under this monetary policy regime, natural rate can provide a criteria for evaluating the stance of monetary policy and represent a medium-run real rate anchor for monetary policy (Laubach and Williams. 2003). If the real policy rate is above (below) the natural rate, we can evaluate the monetary policy stance as contractionary (stimulative). Therefore, if the real policy rate remain at the level of natural rate, there may be no pressure to boost or shrink economy from the monetary policy stance. Above this, the gap between real policy rate and the natural rate can be used as an indicator for future inflation (Neiss and Nelson, 2003). In order to estimating the natural rate, various methods are used. First, simple average of long-term real policy rate is mainly used by financial market participants. This method is very easy to get the natural rate, but the level of natural rate may be differ according to the sample period (Ferguson, 2004). Second, Kalman filter method is broadly used by many central banks and international organizations. This method can consider economic factors of determining the natural rate and time varying character of the natural rate. However, estimates of a time-varying natural rate by Kalman filter method may be very imprecise (Laubach and Williams, 2003). Finally, estimates of the natural rate from DSEG model (Smet and Wouters, 2007) and TIPS (Bomfim, 2001) are also used. In this paper, I use the model developed by Laubach and Williams (2003) to estimate the natural rate in Korea. This model is composed of IS equation, Phillips curve equation, Natural rate equation and so on. Especially, the natural rate is deeply related to the trend growth rate owing to the theoretical linkage between these two variables. And the trend growth rate and the natural rate are designed to have time-varying character because economic theory implies that the natural rate varies over time in response to shift in preference and technology (Laubach and Williams, 2003). Because the level of potential output, its trend growth rate and the natural rate are all unobservable, the Kalman filter method is applied to jointly estimate these variables. The data for estimating this model is quarterly basis and estimation period is from 1991:1 to 2012:4. I find that the natural rate shows significant variation in Korea. Variation in the trend growth rate is an important determination of change in the natural rate, as predicted by economic theory and described by related literatures like Laubach and Williams (2003). According to the decline of the potential GDP growth rate in Korea, the natural rate has been also steadily declined over the past twenty years. Judging the monetary policy stance from the gap between real policy rate and the estimates of natural rate since 2000, the stance of policy appears stimulative during the year of 2001, 2004, 2009. Especially, the expansionary policy stance after global financial crisis appears much stronger for a long time. On the other hand, the policy stance from the end of 2006 to the first half of 2008 appears contractionary to prevent high inflation. Judging from the gap between real policy rate and the natural rate, the Bank of Korea has conducted monetary policy considering global and domestic economic conditions sufficiently to stabilize the business cycle and inflation.

격자 탐색을 통한 확장 학습 블룸 필터의 거짓 양성 비율 개선

양수현(Soohyun Yang),김형주(Hyungjoo Kim) Korean Institute of Information Scientists and Eng 2022 정보과학회논문지 Vol.49 No.1

Bloom filter is a data structure that represents a set and returns whether data is included or not. However, there are cases in which false positives are returned at the cost of using less space. The learned bloom filter is a variation of the bloom filter, that uses a machine learning model in the pre-processing process to improve the false-positive rate. The learned bloom filter stores some data in the machine learning model, and the leftover data is stored in the auxiliary filter. An auxiliary filter can be implemented by using a bloom filter only, but in this paper, we use the bloom filter and the learned hash function, and this is called an extended learned bloom filter. The learned hash function uses the output value of the machine learning model as a hash function. In this paper, we propose a method that improves the false positive rate of the extended learned bloom filter through grid search. This method explores the extended learned bloom filter with the lowest false positive rate, by increasing the hyperparameter that represents the ratio of the learned hash function. As a result, we experimentally show that the extended learned bloom filter selected through grid search, can have a 20% improvement in false-positive rate compared to the learned bloom filter, in the experiment that needs more than 100,000 data to store. In addition, we also show that the false negative error may occur in the learned hash function by the use of 32-bit floating points in the neural network model. This can be solved by changing the floating points to 64-bit. Finally, we show that in an experiment where we query 10,000 data, we can adjust the structure of the neural network model to save 20KB of space and create an extended learned bloom filter with the same false-positive rate. However, the query time is increased by 2% at the cost of saving 20KB of space.

서울시 오피스 시장의 자연공실률 추정에 관한 연구

임재만(Lim Jae Man),서윤희(Seo Yun Hee) 한국지역개발학회 2011 韓國地域開發學會誌 Vol.23 No.2

The natural vacancy rate, which is a similar concept with the natural unemployment rate in labor economy, implies various market friction factors in real estate market interrupt market clearing process. This paper estimates natural vacancy rate of office market in Seoul, and investigates the relationship between real vacancy rate and rent growth. For estimating natural vacancy rate, time-invariant model and time-varying model (Hodrick-Prescott Filter) are used. Although we cannot estimate natural vacancy rates in a part of small office market because increasing vacancy rate do not cause decreasing rents, estimated natural vacancy rates with time-invariant model are 7.8% in Gangnam District, 9.1% in CBD, 5.0% in Mapo & Yeouido District, and average 4.0% in Seoul. Estimated vacancy rates with time-varying model are convergent to real vacancy rates.

가변 데이터 전송 가능한 텔레메트리(Telemetry) 송신기

김장희,홍승현,박병관,김복기,김효종 한국항행학회 2020 韓國航行學會論文誌 Vol.24 No.1

본 논문에서는 가변 데이터 전송 가능한 텔레메트리 송신기의 구조에 대해 연구하였다. 가변 데이터 전송을 위하여 가변 컷오프 특성을 가지는 VPMF (variable pre-modulation filter)와 가변입력 샘플레이트 변환기 (variable input sample rate converter)가 결합된 구조를 제안한다. VPMF는 일반적인 PMF (pre-modulation filter)와 동일하게 변조 전 신호의 고주파 성분을 억제하여 RF (radio frequency)신호의 대역을 제한하는 특성을 지니며, 추가적으로 입력 데이터율에 따라 가변 컷오프 특성을 갖는다. 가변입력 샘플레이트 변환기는 입력 데이터율 변경 시 추가적인 구조변경 없이 입력 데이터율과 무관하게 출력을 일정한 샘플링 속도로 변환하는 기능을 갖는다. 추가적으로 실시간 변화하는 데이터양에 대응하기 위해 VPMF와 가변입력 샘플레이트 변환기를 능동적으로 제어하는 소프트웨어 프로그램 기법을 제안한다. 제안 방법을 적용하여 시뮬레이션과 실제 제작을 통하여 입력 데이터율 390 kbps ~ 25 Mbps 범위에서 IRIG (inter-range instrumentation group) 표준의 99% 전력 대역폭, null-to-null 대역폭, 1st IMD (inter modulation distortion) 비교 결과 규격을 만족하는 데이터 전송이 가능함을 확인하였다. In this paper, we have studied the structure of a telemetry transmitter capable of transmitting variable data rates. This paper proposed a structure combining variable pre-modulation filter with cutoff characteristic with variable input sample rate converter. Variable pre-modulation filter has the same characteristics as pre-modulation filter and is converted to a constant sampling rate without structural changes according to the variable input data rate. We propose a software program that actively controls variable pre-modulation filter and variable input sample rate converter to respond to real-time changing data.

Equality of Interest Rates Revisited: the Multi-Country Evidence

Wei, Song-Zan Chiou,Zhu, Zhen 한국국제경제학회 2004 International Economic Journal Vol.18 No.2

One influential aspect of international integration of financial markets is the possibility of reducing divergences between domestic interest rates and foreign interest rates or increasing the degree to which yields in different financial markets move together over time. In the study, we investigate the convergence of the real interest rates using the Kalman filter. Applying the modified Hall et al. (1997) approach, we model the risk premium and convergence of real interest rate using the time-varying parameter estimation techniques. We present evidence of risk premium and convergence for two blocks of countries - The Asian-Pacific countries including the U.S., Japan, Taiwan and South Korea and the U.S.- European group including France, the U.K., Germany and the U.S.

아시아 주요국가 환율변동성 및 실물시장과의 관계에 대한 연구

최남진 국제지역학회 2019 국제지역연구 Vol.23 No.2

최근 미․중 무역전쟁, 유럽 브렉시트 불확실 확대, 미국 금리 정상화 등 세계적인 경제, 정치, 금융에 대한 리스크가 확대됨에 따라 수출 위주의 성장전략을 채택하고 있는 국가의 환율변동성이 확대되어 실물경제를 위축시킬 수 있다는 우려가 증폭되고 있다. 이에 본 연구에서는 수출위주 성장전략을 채택하고 있는 한국, 일본, 중국 등 아시아 주요국의 환율변동성을 추정하여 비교 분석하고 각국 환율변동성이 실물경제에 미치는 영향을 SVAR모형을 통해 추정하고 동태적 변화를 확인해보았다. 분석결과 한국, 일본, 중국 모두 각국의 환율변동성 확대가 민간소비와 설비투자에 부정적인 영향을 미침에 따라 실물경제를 위축시키는 것으로 나타났다. 특히 원/달러 환율의 경우, 엔/달러와 위안/달러 환율에 비해 변동성이 상대적으로 크게 작용하는 것으로 나타났다. 더욱이 원/달러 환율변동성 상승은 설비투자에 부정적인 큰 충격을 주었으며 그 충격이 오래 지속되어 실물경제 변동성도 확대시키는 것으로 나타났다. 이에 통화당국은 환율변동성에 대한 모니터링을 확대하고 이를 알릴 수 있는 기업과의 소통채널 확보가 요구되며 주요 교역국 간 통화스와프 등의 확대도 필요할 것으로 보인다. 기업 역시 환율을 헷징 할 수 있는 적극적인 금융지식 습득이 필요할 것으로 생각된다. Along with the US-China Trade War, the expansion of uncertainty of European Brexit, and the US interest rate normalization, the risks of global economy, politics, and finance are on the rise. Accordingly, the countries that adopt the export-oriented growth strategy face the expansion of exchange rate volatility, and thereby the concern over shrinking real economy is spreaded widely. Therefore, this study estimated the exchange rate volatility of major Asian countries that adopt the export-oriented growth strategy, including Korea, Japan, and China, and had a comparative analysis. In addition, how the exchange rate volatility of each country influences its real economy was estimated with the use of SVAR model so as to analyze its dynamic change. As a result, the extended exchange rate volatility of all of Korea, Japan, and China negatively influenced private consumption and facility investment and thereby shrank real economy. In particular, the won-dollar exchange rate had a relatively larger fluctuation than yen-dollar exchange rate and yuan-dollar exchange rate. In addition, a rise in the won-dollar exchange rate volatility gave a negative impact on facility investment, and its long continuance was found to lead to expanding the fluctuation of real economy. Therefore, monetary authorities need to monitor exchange rate volatility more and secure communication channels with businesses. In particular, it is necessary to expand currency swaps between main trade partner countries. Firms also need to obtain financial knowledge actively to hedge exchange rates.

호소수질 개선을 위한 원통형 여과장치의 설계요소 연구

이선호(Sun Ho Lee),김승현(Seung Hyun Kim) 大韓環境工學會 2009 대한환경공학회지 Vol.31 No.8

원통형 여과장치의 실규모 설계 및 운전에 필요한 기초자료를 얻기 위하여 산출유량을 단계적으로 증가시키는 파일럿 실험을 수행하면서 수질지표들과 폐색도 진행을 조사하였다. 유량을 0.8 L/min에서 2.4 L/min로 증가시키는 경우 BOD, SS, 그리고 탁도의 제거율은 각각 약 80%, 95% 이상, 그리고 90% 이상으로 거의 일정하게 유지되었으나 COD 제거율은 44%에서 29%로 감소하였다. 산출유량이 증가할수록 오염물 단위농도를 제거하는데 소요되는 체류시간은 감소하였으며, 1 mg-COD/L를 제거하는데 필요한 체류시간은 산출유량 0.8 L/min인 경우 83분이었고 2.4 L/min에서는 45분이어서 양수율이 낮은 것보다는 높은 것이 호소의 오염제거에 더 유리함을 알 수 있었다. 여과장치의 폐색은 표층에서 집수관쪽으로 진행하며, 산출유량이 증가하면 폐색도도 증가하지만 2년 이상의 운전에도 폐색이 문제되지는 않아 본 장치가 호소의 수질개선에 효과적으로 사용될 수 있을 것으로 기대되었다. In order to obtain knowledge on the design and operation of practical?scale Cylinder-Shaped Filters, pilot experiments were conducted to observe the effects of stepwise augmentation of production rate on water quality and clogging. A production rate increase from 0.8 L/min to 2.4 L/min did not appear to affect the removal efficiencies of BOD(Biochemical Oxygen Demand), SS(Suspended Solids), and turbidity, as the values were maintained around 80%, over 95%, and over 90% respectively; however, COD(Chemical Oxygen Demand) removal decreased from 44% to 29%. In addition, results indicated an inverse relationship between production rate and detention time required to remove unit contaminant concentration, the observed detention time in the filter to remove 1 mg-COD/L being 83 minutes for the production rate of 0.8 L/min and 45 minutes for the production rate of 2.4 L/min, suggesting that a relatively higher production rate is likely to be more advantageous in the purification of reservoir water when compared to a lower production rate. Clogging was observed to originate from the surface and advance to the center of the filter, and although clogging seemed to increase as the production rate increased, this did not cause any difficulties in normal functioning of the filter for more than 2 years of operation, suggesting that this filter system can be used effectively in the purification of reservoir water.

종합 평점과 다기준 평점을 선택적으로 활용하는 협업필터링 기반 하이브리드 추천 시스템

구민정(Min Jung Ku),안현철(Hyunchul Ahn) 한국지능정보시스템학회 2018 지능정보연구 Vol.24 No.2

Recommender system recommends the items expected to be purchased by a customer in the future according to his or her previous purchase behaviors. It has been served as a tool for realizing one-to-one personalization for an e-commerce service company. Traditional recommender systems, especially the recommender systems based on collaborative filtering (CF), which is the most popular recommendation algorithm in both academy and industry, are designed to generate the items list for recommendation by using ‘overall rating’ – a single criterion. However, it has critical limitations in understanding the customers’ preferences in detail. Recently, to mitigate these limitations, some leading e-commerce companies have begun to get feedback from their customers in a form of ‘multicritera ratings’. Multicriteria ratings enable the companies to understand their customers’ preferences from the multidimensional viewpoints. Moreover, it is easy to handle and analyze the multidimensional ratings because they are quantitative. But, the recommendation using multicritera ratings also has limitation that it may omit detail information on a user’s preference because it only considers three-to-five predetermined criteria in most cases. Under this background, this study proposes a novel hybrid recommendation system, which selectively uses the results from ‘traditional CF’ and ‘CF using multicriteria ratings’. Our proposed system is based on the premise that some people have holistic preference scheme, whereas others have composite preference scheme. Thus, our system is designed to use traditional CF using overall rating for the users with holistic preference, and to use CF using multicriteria ratings for the users with composite preference. To validate the usefulness of the proposed system, we applied it to a real-world dataset regarding the recommendation for POI (point-of-interests). Providing personalized POI recommendation is getting more attentions as the popularity of the location-based services such as Yelp and Foursquare increases. The dataset was collected from university students via a Web-based online survey system. Using the survey system, we collected the overall ratings as well as the ratings for each criterion for 48 POIs that are located near K university in Seoul, South Korea. The criteria include ‘food or taste’, ‘price’ and ‘service or mood’. As a result, we obtain 2,878 valid ratings from 112 users. Among 48 items, 38 items (80%) are used as training dataset, and the remaining 10 items (20%) are used as validation dataset. To examine the effectiveness of the proposed system (i.e. hybrid selective model), we compared its performance to the performances of two comparison models – the traditional CF and the CF with multicriteria ratings. The performances of recommender systems were evaluated by using two metrics - average MAE(mean absolute error) and precision-in-top-N. Precision-in-top-N represents the percentage of truly high overall ratings among those that the model predicted would be the N most relevant items for each user. The experimental system was developed using Microsoft Visual Basic for Applications (VBA). The experimental results showed that our proposed system (avg. MAE = 0.584) outperformed traditional CF (avg. MAE = 0.591) as well as multicriteria CF (avg. AVE = 0.608). We also found that multicriteria CF showed worse performance compared to traditional CF in our data set, which is contradictory to the results in the most previous studies. This result supports the premise of our study that people have two different types of preference schemes – holistic and composite. Besides MAE, the proposed system outperformed all the comparison models in precision-in-top-3, precision-in-top-5, and precision-in-top-7. The results from the paired samples t-test presented that our proposed system outperformed traditional CF with 10% statistical significance level, and multicriteria CF with 1% statistical significance l

자동차 흡기 에어필터의 여재 및 성능에 관한 연구

안병찬,오명도 대한설비공학회 2004 설비공학 논문집 Vol.16 No.1

Since the vehicle is regarded as the third living space, the comfortable conditions are required in the passenger compartment. For this reason, customers are concerned about the filtering performances and the importance of filter media has been greatly placed. Therefore the dust holding capacity, the efficiency of these filter media (dry paper, wet paper, non-woven) and the configuration of air filter for vehicle were measured in this study. The following results were obtained on the basis of air filter test. It shows that the thickness and poresize of filter media should be lower for the higher efficiency. The measurement result shows that the performance of round shape filters are higher than the square shape filters. The dust holding capacity of the wet paper and the non-woven paper is higher than the dry paper. As a result, this research can provide an important design parameter and product guidance of the intake air filter for vehicular engine.