월･전세 전환배율의 적정성 검토 및 개선방안에 관한 연구

서진형(Seo, Jin Hyeong),권대중(Kwon, Dae Jung) 대한부동산학회 2016 大韓不動産學會誌 Vol.34 No.1

본 연구는 최근 금리의 급속한 하락으로 전세가 월세로 전환됨에 따라 전세공급은 감소하고, 월세공급이 증가하고 있다. 이러한 상황에서 전세로 인한 중개보수와 월세로 인한 중개보수의 불균형 현상이 나타나고 이를 해소하기 위한 방안을 모색하였다. 우선 금리적용에서는 한국은행의 기준금리와 한국감정원의 전월세전환율에 대해 살펴본 결과, 월세×100은 기준금리 5.25%와 전월세전환율 12%를 가정한 상황에서 규정된 것이고, 현재의 기준금리 1.5%와 전월세전환율 5.6%는 예전에 비해 30% 수준이기 때문에 월전세전환배율은 조정하여야 한다. 그리고 임대차 거래금액별 월전세전환배율에 따른 중개보수의 차이로 현재의 0.4%~0.5%의 전월세전환율에서는 적정한 월전세 전환배율이 ×200이 적정 수준이다. 지금까지 기준금리, 전월세전환율, 적정 월･전세 전환배율, 구간별 현실적인 적정 월･전세 전환배율을 살펴본 결과, 가장 합당한 월･전세 전환배율은 ×200이다. House owners are switching from lump sum deposit system (jeonse) to monthly rent system due to recent rapid decline in interest rates, and the number of houses leased on jeonse system is decreasing and the number of houses leased on monthly rent is increasing. This led to the imbalance in the brokerage charges for the type of lease depending on the amount of transaction, and this study sought a solution for such a problem. First, for the application of the interest rate, this study examined the base rate announced by the Bank of Korea and the conversion rate for jeonse-to-monthly rent announced by Korea Appraisal Board and found that monthly rent×100 was determined based on the condition where base rate is 5.25% and the conversion rate for jeonse-to-monthly rent is 12% and that the conversion magnification rate of monthly rent and jeonse shall be adjusted as current base rate (1.5%) and the conversion rate for jeonse-to-monthly rent (5.6%) are roughly 30% of the previous rates. Also, the conversion magnification rate of monthly rent and jeonse of ×200 would be appropriate for current the conversion rate for jeonse-to-monthly rent, which is 0.4%~0.5%, due to the difference in the brokerage charges based on the conversion magnification rate of monthly rent and jeonse for lease amount. The base rate, the conversion rate for jeonse-to-monthly rent, appropriate conversion magnification rate of monthly rent and jeonse, realistic conversion magnification rate of monthly rent and jeonse in each section were examined, and the most appropriate conversion magnification rate of monthly rent and jeonse was ×200.

신용등급과 시장지표를 이용한 채권포트폴리오 강제매각효과 비교 분석

최재용 ( Jae Yong Choi ),이준서 ( Junesuh Yi ) 한국금융학회 2016 금융연구 Vol.30 No.4

본 연구에서는 채권포트폴리오의 신용위험 관리방법중 하나인 강제매각(forced sell)의 기준을 신용등급으로 하는 경우와 시장지표로 하는 경우의 효과를 위험대비 수익률 관점에서 비교·분석하였다. 역사적 시뮬레이션 모형을 통한 분석 결과 기본적으로 펀더멘털 요인에 의해 주로 결정되는 신용등급 기준이 시장요인의 영향을 많이 받는 시장지표 기준에 비해 포트폴리오 위험대비수익률이 높은 것으로 밝혀졌다. 하지만 이 같은 강제매각효과는 대상채권의 성격이나 시장상황 등에 따라 상이하게 나타났다. 즉 신용위험 등이 증가세에 있는 채권인 경우 가격하락이 지속될 가능성이 높기 때문에 조기경보 측면에서 유리한 시장지표 기준의 강제매각 효과가 개선되는 것으로 나타났다. 또한, 금융위기와 같이 시장 전반의 신용리스크가 증가하는 시기에는 펀더멘털 관련 정보가 거의 동시에 양 지표에 반영되면서 양 기준간 강제매각효과 차이도 줄어드는 것으로 분석되었다. 이와 함께 시장가격의 변화를 통해 신용리스크의 변화를 좀 더 빨리 반영하는 경향이 있는 시장지표 기준이 강제매각 시점이 보다 앞섬으로써 재투자수익률 수준에 좀 더 민감한 것으로 나타났다. 시장지표 기준의 경우에는 시장지표(OAS)의 수준이 높을수록 시장변동성에 의한 강제매각의 빈도를 줄일 수 있어 포트폴리오의 위험대비수익률이 개선되는 것으로 나타났다. 마지막으로 시장지표와 신용등급을 동시에 고려하는 경우가 신용등급만 고려하는 경우에 비해 강제매각효과가 더 크게 나타나 강제매각 시 시장지표를 보완적으로 활용할 필요가 있음을 뒷받침하였다. 이 같은 결과는 총수익률 분석을 통한 강건성 검증에서도 유사하게 도출되어 본 연구결과의 신뢰성을 제고하였다. Credit ratings provided by the rating agencies is the most commonly used credit risk measure in managing the credit risk of holding securities or counterpart risk. Market-driven credit indicators such as the Option Adjusted Spread (OAS) are also widely used credit risk measures as well. Both the credit ratings and market indicators are generally used as a criteria for the forced sell, which rules out some of holding exposure if its credit risk exceeds the predetermined threshold. Among the risk management usages, the rule of forced sell is increasingly more focused on because it is a risk management practice and also is a investment process which may directly impact to the investor`s P/L profile. Since the financial crisis, the effectiveness of risk management based on the credit ratings has been reexamined as the credibility on the credit ratings has weakened. On the other hand, the need for using the market indicators as a complimentary credit risk measurement has increasingly grown in response to the lowered credibility of the ratings. In these senses, this paper assesses whether rating-based or marketbased forced sell strategy are more suitable in terms of the risk adjusted return in the fixed income investment. More specifically, first, this paper compares the risk adjusted return of the model portfolio which experienced forced sell between when its credit rating falls down below A- and when its OAS exceeds 500bp. Second, it compares the risk adjusted return of the sub portfolio whose bond`s credit risks are consistently increasing during the periods. Third, it compares the risk adjusted return of both strategy between the normal times and the market stressed periods such as financial crisis. Forth, we analyzed how the forced sell effect of both strategies differs to the different level of reinvestment return. Fifth, we also testified how the forced sell effect would be changed with the different level of the OAS threshold in the case of the market-based strategy. Finally, we assesses whether the risk adjusted return of the rating and market combined strategy is better than that of the rating only strategy in order to testify whether the market indicator positively work as the complimentary credit risk measure when jointly considered with the credit rating. The findings of analysis are as follows: First, based on the historical simulation analysis using data during 2008~2014, it is evident that the rating-based strategy, which mainly reflects the fundamentals, results in the higher risk adjusted return than the market-based strategy. However, the results varied with some different variables such as bond portfolio`s risk profile or the degree of the market stress. For the bond portfolio of which credit risks are increasing, the market-based approach performed better because its early warning advantage could reduce the capital loss as it signals the forced-sell at the earlier stage of the price deterioration. During the market stressed period like financial crisis, the difference of the performance between two approaches decreased as the credit risk information is reflected into both the ratings and market indicators with lesser time lag. It also proved that the market-based approach, which reflects the change of the credit risk fast through the price volatility, tends to be more sensitive to the level of reinvestment return as its forced-sell timing generally precedes that of the rating-based approach. When it comes to the level of the OAS threshold for the forced sell, it is evident that the risk adjusted return improve as the level of the threshold become higher. This reflects the fact that the lower forced-sell threshold would result in more frequent forced sell, and therefore lead to the higher risk of losing possible profit if kept in the portfolio. Finally, it proves that the risk adjusted return of the rating and market combined strategy is higher than that of the rating only strategy. This implies that the market indicator could work positively as the complimentary credit risk measure when jointly considered with the credit rating. The robustness test through the total return analysis also reaches the same conclusion, which reinforces the credibility of the simulation analysis.

Rating of steel bridges considering fatigue and corrosion

R. Lalthlamuana,S. Talukdar 국제구조공학회 2013 Structural Engineering and Mechanics, An Int'l Jou Vol.47 No.5

In the present work, the capacity ratings of steel truss bridges have been carried out incorporating dynamic effect of moving vehicles and its accumulating effect as fatigue. Further, corrosion in the steel members has been taken into account to examine the rating factor. Dynamic effect has been considered in the rating procedure making use of impact factors obtained from simulation studies as well as from codal guidelines. A steel truss bridge has been considered to illustrate the approach. Two levels of capacity ratings- the upper load level capacity rating (called operating rating) and the lower load level capacity rating (called inventory rating) were found out using Load and Resistance Factor Design (LRFD) method and a proposal has been made which incorporates fatigue in the rating formula. Random nature of corrosion on the steel member has been taken into account in the rating by considering reduced member strength. Partial safety factor for each truss member has been obtained from the fatigue reliability index considering random variables on the fatigue parameters, traffic growth rate and accumulated number of stress cycle using appropriate probability density function. The bridge has been modeled using Finite Element software. Regressions of rating factor versus vehicle gross weight have been obtained. Results show that rating factor decreases when the impact factor other than those in the codal provisions are considered. The consideration of fatigue and member corrosion gives a lower value of rating factor compared to those when both the effects are ignored. In addition to this, the study reveals that rating factor decreases when the vehicle gross weight is increased.

Rates and mechanisms of uranyl oxyhydroxide mineral dissolution

Reinoso-Maset, Estela,Steefel, Carl I.,Um, Wooyong,Chorover, Jon,O'Day, Peggy A. Pergamon Press 2017 Geochimica et cosmochimica acta Vol.207 No.-

<P><B>Abstract</B></P> <P>Uranyl oxyhydroxide minerals are important weathering products in uranium-contaminated surface and subsurface environments that regulate dissolved uranium (U) concentrations. However, dissolution rates for this class of minerals and associated dissolution mechanisms have not been previously reported for circumneutral pH conditions, particularly for the case of flow through porous media. In this work, the dissolution rates of K- and Na-compreignacite (K<SUB>2</SUB>(UO<SUB>2</SUB>)<SUB>6</SUB>O<SUB>4</SUB>(OH)<SUB>6</SUB>·8H<SUB>2</SUB>O and Na<SUB>2</SUB>(UO<SUB>2</SUB>)<SUB>6</SUB>O<SUB>4</SUB>(OH)<SUB>6</SUB>·8H<SUB>2</SUB>O, respectively) were measured using flow-through columns reacted with two simulated background porewater (BPW) solutions of low and high dissolved carbonate concentration (ca. 0.2 and 2.8mmolL<SUP>−1</SUP>). Column materials were characterized before and after reaction with electron microscopy, bulk chemistry, and EXAFS to identify structural and chemical changes during dissolution and to obtain insight into molecular-scale processes. The reactive transport code CrunchFlow was used to calculate overall dissolution rates while accounting for fluid transport and changes in mineral volume and reactive surface area, and results were compared to steady-state dissolution rate calculations. In low carbonate BPW systems, interlayer K and Na were initially leached from both minerals, and in Na-compreignacite, K and minor divalent cations from the input solution were incorporated into the mineral structure. Results of characterization analyses suggested that after reaction both K- and Na-compreignacite resembled a disordered K-compreignacite with altered surfaces. A 10-fold increase in dissolved carbonate concentration and corresponding increase in pH (from 6.65 to 8.40) resulted in a net removal of 58–87% of total U mass from the columns, compared to <1% net loss in low carbonate BPW systems. Steady-state release of dissolved U was not observed with high carbonate solutions and post-reaction characterizations indicated a lack of development of leached or altered surfaces. Dissolution rates (normalized to specific surface area) were 2.5–3 orders-of-magnitude faster in high versus low carbonate BPW systems, with Na-compreignacite dissolving more rapidly than K-compreignacite under both BPW conditions, possibly due to greater ion exchange (1.57·10<SUP>−10</SUP> vs. 1.28·10<SUP>−13</SUP> molm<SUP>−2</SUP> s<SUP>−1</SUP> [log <I>R</I> =−9.81 and −12.89] and 5.79·10<SUP>−10</SUP> vs. 3.71·10<SUP>−13</SUP> molm<SUP>−2</SUP> s<SUP>−1</SUP> [log <I>R</I> =−9.24 and −12.43] for K- and Na-compreignacite, respectively). Experimental and spectroscopic results suggest that the dissolution rate is controlled by bond breaking of a uranyl group and detachment from polyhedral layers of the mineral structure. With higher dissolved carbonate concentrations, this rate-determining step is accelerated by the formation of Ca-uranyl carbonate complexes (dominant species under these conditions), which resulted in an increase of the dissolution rates. Optimization of both dissolution rate and mineral volume fraction in the reactive transport model to account for U mass removal during dissolution more accurately reproduced effluent data in high carbonate systems, and resulted in faster overall rates compared with a steady-state dissolution assumption. This study highlights the importance of coupling reaction and transport processes during the quantification of mineral dissolution rates to accurately predict the fate of contaminants such as U in porous geomedia.</P> <P><B>Highlights</B></P> <P> <UL> <LI> Compreignacite dissolution rates vary with the interlayer cation (Na>K). </LI> <LI> Detachment of uranyl groups from polyhedral layers is the rate-determining step. </LI> <LI> I

Rating of steel bridges considering fatigue and corrosion

Lalthlamuana, R.,Talukdar, S. Techno-Press 2013 Structural Engineering and Mechanics, An Int'l Jou Vol.47 No.5

In the present work, the capacity ratings of steel truss bridges have been carried out incorporating dynamic effect of moving vehicles and its accumulating effect as fatigue. Further, corrosion in the steel members has been taken into account to examine the rating factor. Dynamic effect has been considered in the rating procedure making use of impact factors obtained from simulation studies as well as from codal guidelines. A steel truss bridge has been considered to illustrate the approach. Two levels of capacity ratings- the upper load level capacity rating (called operating rating) and the lower load level capacity rating (called inventory rating) were found out using Load and Resistance Factor Design (LRFD) method and a proposal has been made which incorporates fatigue in the rating formula. Random nature of corrosion on the steel member has been taken into account in the rating by considering reduced member strength. Partial safety factor for each truss member has been obtained from the fatigue reliability index considering random variables on the fatigue parameters, traffic growth rate and accumulated number of stress cycle using appropriate probability density function. The bridge has been modeled using Finite Element software. Regressions of rating factor versus vehicle gross weight have been obtained. Results show that rating factor decreases when the impact factor other than those in the codal provisions are considered. The consideration of fatigue and member corrosion gives a lower value of rating factor compared to those when both the effects are ignored. In addition to this, the study reveals that rating factor decreases when the vehicle gross weight is increased.

Rating Performance of EFL Teachers in Writing Assessment : Comparison of Experienced and Novice Raters

Choi, Yeon Hee 이화여자대학교 사범대학 교과교육연구소 2013 교과교육학연구 Vol.17 No.1

고등학교 영어 작문 교육의 강화를 위해 대학수학능력평가시험 대신 영어 작문 평가가 포함되는 국가영어능력평가시험(NEAT)을 2009년부터 개발하여 모의 평가와 채점을 실시해왔으며 2013학년도부터 일부 대학교 입시에 활용되고 있다. 이러한 고위험 시험을 국가시험으로 도입하기 위해서는 일선 고등학교에서 영어과 교사들이 시험에 대비하여 학생들을 지도하고 시험을 출제하고 채점해야하며, 국가에서는 신뢰롭게 채점할 수 있는 교사 선택 및 확보가 필요하다. 아직 일부 교사들만이 새로운 시험에 대한 교육과 채점 훈련을 이수한 상태이므로, 본 연구는 이러한 과정을 완료한 교사와 영어 작문 채점 경험이 부재할 뿐만 아니라 시험에 대한 지식이 부족한 교사의 채점 신뢰도 및 결과를 비교 연구하여 채점자 집단에 따라 채점 신뢰도 및 결과가 달라지는지를 분석하여 어떤 교사를 채점자로 선발해야 하며 어떤 훈련과 교육과정이 필요한지에 대해 알아보고자 한다. NEAT 3급 문항 1 유형인 주어진 그림 중 하나를 선택하여 친구의 제안을 거절하는 메시지를 2~3문장 20단어 내로 작성하는 시험을 실시하여 수집한 410명의 고등학교 학생들의 작문을 채점 인증을 받은 영어 교사 3명과 채점 경험이 부재한 신임 교사 3명이 4개 영역에서 분석적 채점을 하여 그 결과를 분석하였다. 채점 신뢰도는 4개 영역 모두에서 채점 경험이 있는 교사 집단이 더 높은 것으로 나타났다. 채점 결과 측면에서는 채점 경험이 있는 교사 집단이 통계적으로 유의하게 채점 영역 모두에서 더 낮은 점수를 주는 경향이 있었는데, 이는 채점자에 따라 피험자에게 주어지는 점수가 달라질 수 있음을 시사하는 것이므로 고위험 시험에서는 채점 결과를 신뢰할 수 있는 채점자 확보가 핵심 문제임을 보여주고 있다. 채점 영역 중에서 구성 영역의 채점 신뢰도가 가장 낮았으며 채점자 집단간 점수 차이도 가장 크게 나타나 채점 기준의 타당도 문제도 검토할 필요가 있는 것으로 나타났다. This paper explores rating performance of high school EFL teachers in national curriculum-specific writing assessment by comparing rater reliability and ratings of experienced and novice raters. The experienced raters completed the government-authorized writing test rater certification program and had two- or three-year rating experience, whereas the novice raters were new teachers who lacked rater training and rating experience. The two groups of teacher-raters rated 410 samples written by high school students in four assessing aspects: task completion, content, organization, and language use. Results reveal the discernible influence of rater background on ratings. The experienced teacher-raters’ rating experience and understanding of the target test task and the rating rubric acquired through the rater certification process resulted in better rater reliability and significantly lower ratings than the novice teacher-raters. Variations among assessment aspects were also noted: for example, lower reliability in content and organization and lower ratings of the experienced teacher-raters in organization and language use. The findings from the study imply that test-takers may receive different ratings depending on who rates their writing, and thus, securing credible experienced raters is essential in a high-stake writing test.

Rate-dependent hardening model for polymer-bonded explosives with an HTPB polymer matrix considering a wide range of strain rates

Park, Chunghee,Huh, Hoon,Park, Jungsu SAGE Publications 2015 Journal of composite materials Vol.49 No.4

<P>This article is concerned with the effect of the strain rate on the strain hardening behavior of polymer-bonded explosives at a wide range of strain rates ranging from 0.0001 s<SUP>–1</SUP> to 3870 s<SUP>−1</SUP>. Inert polymer-bonded explosive simulants are prepared as specialized particulate composites to acquire analogous mechanical characteristics to polymer-bonded explosives for safety reasons. Uniaxial compressive tests were conducted from quasi-static states to intermediate strain rates ranging from 0.0001 s<SUP>−1</SUP> to 100 s<SUP>−1</SUP> with cylindrical specimens using a dynamic material testing machine (INSTRON 8801) and a high-speed material testing machine. An experimental method was developed for uniaxial compressive tests at intermediate strain rates ranging from 10 s<SUP>−1</SUP> to 100 s<SUP>−1</SUP>. Split Hopkinson pressure bar tests were performed at high strain rates ranging from 1250 s<SUP>−1</SUP> to 3870 s<SUP>−1</SUP>. Deformation behavior was investigated using captured images from a high-speed camera. The strain hardening behavior of polymer-bonded explosive simulants was formulated as a function of the strain rate with the proposed rate-dependent hardening model based on the DSGZ model. The model is capable of representing the complicated strain rate effects on the strain hardening behavior for rate-sensitive materials with a second-order exponentially-increasing function of the strain rate sensitivity. The rate-dependent hardening model of polymer-bonded explosives can be readily applied to prediction of deformation modes of polymer-bonded explosives in a warhead that undergoes severe dynamic loads.</P>

Opportunistic behaviors of credit rating agencies and bond issuers

Park, Gitae,Lee, Ho-Young Elsevier 2018 Pacific-Basin finance journal Vol.47 No.-

<P><B>Abstract</B></P> <P>Using credit rating data from the three credit rating agencies (CRAs) in Korea, we examine whether bond issuers and CRAs engage in rating shopping and catering. First, we find that Korean bond issuers, who are required by law to receive two or more ratings, tend to fire or switch from CRAs that assign lower ratings than other CRAs. Second, when a bond issuer hires an additional CRA, the new CRA assigns a higher rating than incumbent CRAs. Lastly, we see that increased competition, which is measured by the number of CRAs hired by a given bond issuer, affects the likelihood of an upgrade occurring. Although CRAs often upgrade ratings when their rivals assign higher ratings, our findings show that higher competition further increases the likelihood that CRAs will upgrade ratings when there are rating disagreements. These results imply that bond issuers and CRAs engage in opportunistic behaviors that undermine the quality of credit ratings.</P> <P><B>Highlights</B></P> <P> <UL> <LI> Korean bond issuers tend to fire or switch CRAs that assign lower ratings. </LI> <LI> With an additional CRA, the new CRA assigns a higher rating than incumbent CRAs. </LI> <LI> Increased competition affects the likelihood of an upgrade occurring. </LI> </UL> </P>

Rate-dependent isotropic‒kinematic hardening model in tension‒compression of TRIP and TWIP steel sheets

Joo, Geunsu,Huh, Hoon Elsevier 2018 International journal of mechanical sciences Vol.146 No.-

<P><B>Abstract</B></P> <P>This paper presents a rate-dependent isotropic‒kinematic hardening model in tension‒compression of TRIP and TWIP steel sheets. The isotropic‒kinematic hardening model is widely utilized to describe the Bauschinger effect, transient behavior and permanent softening under reverse loading which are indispensable for numerical simulation of springback in sheet metal forming. The isotropic‒kinematic hardening model, however, has not yet been suggested for the strain rate effect higher than several tens per second although the high strain rate prevails in practical automotive sheet metal forming. This paper proposes a rate-dependent model based on tension‒compression tests of TRIP980 and TWIP980 steel sheets at various strain rates ranging from 0.001 s<SUP>−1</SUP> to 100 s<SUP>−1</SUP>. A proposed rate-dependent model is extended from the rate-independent Chaboche type model based on single-surface plasticity. Among three Chaboche type models, the Zang's model is selected as the basic rate-independent model considering both a small change of the work-hardening rate in monotonic loading and a constant stress offset of permanent softening in reverse loading. With the basic rate-independent model, the material parameters are acquired at each strain rate to check their dependency on the strain rate and then formulated as linear or exponential functions of the logarithmic scale of the strain rate. Consequently, the present rate-dependent model is proposed with incorporation of the basic rate-independent model and the rate-dependent functions for the material parameters.</P> <P><B>Highlights</B></P> <P> <UL> <LI> A rate-dependent isotropic‒kinematic hardening model is proposed. </LI> <LI> Rate-dependent tension‒compression tests are performed for TRIP980 and TWIP980. </LI> <LI> The present model is extended from the rate-independent Chaboche type model. </LI> <LI> Material parameters are interpolated by rate-dependent functions. </LI> </UL> </P> <P><B>Graphical abstract</B></P> <P>This paper presents a rate-dependent isotropic‒kinematic hardening model in tension‒compression of TRIP and TWIP steel sheets. </P> <P>[DISPLAY OMISSION]</P>

환율변동과 이자율, 그리고 주식수익률 간의 상호연관성 분석

장명기 한국관세학회 2009 관세학회지 Vol.10 No.1

This paper is to reassess some traditional statements on exchange rate determination in relation to domestic and foreign interest rate differential movements as well as stock market returns. The conventional benchmark is based on the so-called Uncovered Interest Rate Parity(UIP, hereafter) hypothesis which states that the spread between domestic and foreign interest rates (or equivalently, the spread between forward and spot exchange rates) should be an unbiased predictor of the future change in the exchange rate. Unfortunately, this assumption is generally rejected by empirical evidence according to previous studies based on most advanced countries' data. It is generally noted that the money market and foreign exchange market are integrated as one market in case of advanced countries such as Japan. In case of Japanese Yen, there exists a Eurocurrency market, If a certain trader sells US dollar and buys Japanese Yen in foreign exchange market, it means that his short term money market investment in US dollar is converted into that in Japanese Yen. In other words, US dollar deposit will decline, while Japanese Yen deposit will increase in the money market as a result of foreign exchange market transaction. Therefore, the foreign exchange market transaction and the Euromoney market transaction are happening at the same time. Unlike Japanese Yen, the Euromoney market for Korean Won does not exist. Therefore, it is not that difficult to think about the hypothesis for difference between the Korea and Japan in terms of correlation between exchange rate change and macroeconomic fundamentals. It has been often reported that the most important determinant of exchange rate is the global stock market capital flow as a result of active global stock market investment since 1990s. Previous studies show that the rejection of the standard UIP hypothesis is not surprising as long as ARCH effects have been evidenced in exchange rate data. This paper examines the correlations between exchange rate and financial market variables such as interest rate differentials and stock market returns in Korea and Japan. The objective is to determine whether any significant relationship exists between exchange rate change and other macroeconomic fundamentals in both Korea and Japan and compare the empirical results of two countries, if there exist any significant difference. This paper will use the exchange rate data presumed to be structurally changed since 1990s as well as the appropriate statistical tools such as GARCH model, which will cope with the ARCH effects evidenced in exchange rate data.