수익률곡선 정보를 활용한 기대수익률추정 및 금리정책 효과 분석 (Market Yields Forecasting and Monetary Policy Analysis by Using Yield Curve Information)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 28권 / 1호 / 27 ~ 64페이지
· 저자명 : 서상원, 최재훈, 박충원

초록

본 논문은 채권시장에서 형성되는 수익률곡선 자료를 활용하여 장래금리의 기대에 대한 정보를추출하는 방법에 대해 분석하였다. 아울러 시장참가자들의 금리정책에 대한 기대가 금리정책의이자율경로에 미치는 영향에 대해서도 경험적으로 분석하였다. 분석 결과, 수익률곡선 자료를활용하여 시장의 기대를 추정하는 것이 장래 정책금리나 시장수익률의 예측에 도움이 될 수있는 것으로 나타났다.
그리고 정책금리 변동을 예상치 못한 충격부분과 예상된 변동부분으로분해한 후, 각각의 부분이 시장수익률에 미치는 영향이 서로 차이가 나는지 분석하였다. 정책금리의 예상치 못한 충격부분은 예상된 변동부분에 비해 시장수익률에 미치는 영향이 작지 않은것으로 나타났다.
또한, 본 논문에서 2007년 이후 나타난 외국인 투자자의 국내채권에 대한 활발한투자활동이 국내채권의 시장수익률에 어느 정도 영향을 미쳤는지에 대해서도 분석하였다.

영어초록

We propose a method to extract information about market expectationsof future yields using market yield curve. In addition, we empirically analyzethe effects of market participants’expectations on the interest rate channelof monetary policy.
To this end we first set up a theoretical term-structure model andthen estimate it with Korean market yield data. After verifying the validityof the model with empirical results, we then use it to assess the effectson market yields of the demand on domestic bonds from foreign investorswhich have showed wide fluctuations since 2007.
Next, we propose a method to extract information about marketexpectations of future policy rate as well as market yields using marketyield curve. We then investigate into the accuracy of those market expect-ation-based forecasts. In addition to this theoretical term-structure modelapproach, we also use regression-based approaches to estimate marketexpectations implied with market yield curve.
Using these estimates of market expectations about monetary policy,we then decompose actual policy rate changes into the expected portionsand the unexpected ones. This decomposition enables us to analyze therelative importance of the two components in the interest rate channel ofmonetary policy.
This paper contributes to the literature by providing an analysis ofmonetary policy shock with respect to the interest rate channel of monetarypolicy which has not been extensively studied yet. In addition, growingeffects of foreign investors on bond yields have been rarely studied, whichis another contribution of this paper. This paper also provides empiricalresults for the forecasting ability of market expectations extracted frommarket yield curve.
Our empirical results show that market expectations extracted fromyield curve turn out to be useful for yield forecasting. Secondly, afterdecomposing changes in policy rates into unexpected changes and expectedones, we found that the unexpected changes in policy rate exert impactsno less than the expected changes in policy rate. Lastly, by conductingcounter-factual exercises, we found that market yields have been significantlyaffected by foreign investors’demand on Korean bonds, which has beensuspected from the fact that foreign investors’Korean bond holdings hasgreatly increased since 2007 and then fluctuated widely during the recentglobal financial crisis period.

참고자료

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