Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Prediction of the interest spread using VAR model

벡터자기회귀모형에 의한 금리스프레드의 예측

  • Kim, Junhong (Department of Statistics, Chonnam National University) ;
  • Jin, Dalae (Department of Statistics, Chonnam National University) ;
  • Lee, Jisun (Department of Statistics, Chonnam National University) ;
  • Kim, Suji (Department of Statistics, Chonnam National University) ;
  • Son, Young Sook (Department of Statistics, Chonnam National University)
  • Received : 2012.09.23
  • Accepted : 2012.11.05
  • Published : 2012.11.30
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Abstract

In this paper, we predicted the interest spread using the VAR (vector autoregressive) model. Variables used in the VAR model were selected among 56 domestic and foreign macroeconomic time series through crosscorrelation and Granger causality test. The performance of the VAR model was compared with the univariate time series model, AR (autoregressive) model, in view of MAPE (mean absolute percentage error) and RMSE (root mean square error) of forecasts for the last twelve months.

본 연구에서는 다변량시계열모형인 VAR (vector autoregressive regression)모형에 의하여 금리 스프레드의 시계열예측을 수행하였다. 국내외 거시경제변수들 중에서 교차상관분석 및 그랜져인과 검정을 통하여 상호간에 설명력이 있는 변수들을 추출하여 VAR모형의 시계열변수로 사용하였다. 마지막 12개월의 예측치에 대한 MAPE (mean absolute percentage error)와 RMSE (root mean square error)에 근거하여 모형의 예측력을 단일변량 시계열모형인 AR (autoregressive regression) 모형과 비교하였다.

Keywords

References

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