미국 금리 스프레드를 이용한 한국 금리 스프레드 예측 모델에 관한 연구

• 영문명: A Study on the Korean Interest Rate Spread Prediction Model Using the US Interest Rate Spread : SVR-Ensemble (RNN, LSTM, GRU) Model based
• 발행기관: 한국산업경영시스템학회
• 저자명: 정순호(Sun-Ho Jeong) 김영후(Young-Hoo Kim) 송명진(Myung-Jin Song) 정윤재(Yun-Jae Chung) 고성석(Sung-Seok Ko)
• 간행물 정보: 『산업경영시스템학회지』제43권 제3호, 1~9쪽, 전체 9쪽
• 주제분류: 공학 > 산업공학
• 파일형태: PDF
• 발행일자: 2020.09.30

영문 초록

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.

목차

1. 서 론

2. 선행연구

3. 연구모델 설계

4. 실증분석

5. 결 론

References

키워드

Interest Rate-Spread SVR-Ensemble RNN PCA