Journal of Korean Society of Industrial and Systems Engineering (산업경영시스템학회지)

Society of Korea Industrial and System Engineering (한국산업경영시스템학회)
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A Study on the Korean Interest Rate Spread Prediction Model Using the US Interest Rate Spread : SVR-Ensemble (RNN, LSTM, GRU) Model based

미국 금리 스프레드를 이용한 한국 금리 스프레드 예측 모델에 관한 연구 : SVR-앙상블(RNN, LSTM, GRU) 모델 기반

  • Jeong, Sun-Ho (Department of Industrial Engineering, Konkuk University) ;
  • Kim, Young-Hoo (Department of Industrial Engineering, Konkuk University) ;
  • Song, Myung-Jin (Department of Industrial Engineering, Konkuk University) ;
  • Chung, Yun-Jae (Department of Industrial Engineering, Konkuk University) ;
  • Ko, Sung-Seok (Department of Industrial Engineering, Konkuk University)
  • Received : 2020.07.03
  • Accepted : 2020.09.10
  • Published : 2020.09.30
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Abstract

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.

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References

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