소비관련 거시변수를 통한 자산수익률의 예측 (Forecasting Asset Returns Using Consumption-Based Measures)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 33권 / 1호 / 105 ~ 149페이지
· 저자명 : 박도준, 엄영호, 한재훈

초록

본 연구의 목적은Lettau and Ludvigson(2001, 2005), Campbell and Cochrane(1999), Santos and Veronesi(2006) 등이 제시한 총자산 대비 소비비율, 잉여소비비율 그리고 소비 대비 소득비율 등의 소비관련 거시변수들을 한국의 자료를 이용하여 구성하고, 이 변수들이 자산의 수익률과 유의적인 관계를 가지는지를 실증적으로 검증하는 데 있다. 구체적으로 본 연구에서는 외국 연구사례의 통계자료와 우리나라의 통계자료를 비교하고, 주어진 자료의 제약하에서 국내 자료의 특수성을 고려하여 기존 연구에 최대한 근접한 방법으로 소비관련 거시변수를 구성하였으며 이 변수들을 활용하여 주식, 채권 및 부동산의 장기 기대수익률에 대한 예측력을 검증하였다. 실증분석결과 Lettau and Ludvigson(2001, 2005)의 총자산 대비 소비비율은 주가지수와 일부 채권지수 그리고 부동산지수의 수익률에 대해서 예측력이 통계적으로 유의하게 나타났다. Campbell and Cochrane (1999)의 잉여소비비율의 대용치인 Wachter(2006)의 잉여소비비율은 주가지수와 부동산 지수의 수익률에 대한 예측력이 있었고, Santos and Veronesi(2006)의 소비 대비 소득비율도 주가지수, 일부 채권지수 및 부동산지수에 대한 예측력이 발견되었다. 따라서 이들 소비관련 변수들이 자산의 수익률 예측뿐 아니라, 향후 한국 자본시장을 대상으로 하는 조건부 자산가격모형 혹은 다기간 자산가격모형의 실증분석에서 상태변수(state variable)로 사용될 수 있음을 보여주었다는 점에서 본연구의 의의가 있다.

영어초록

The basic pricing equation for consumption-based asset pricing models is derived from consumers’ first-order conditions on consumption and investment decisions, motivated by a desire to smooth consumption over both time and across states. That the price of an asset should equal the expected value of the asset’s future payoff, discounted by consumers’ marginal utility is widely regarded as the most fundamental principle of asset pricing. However, the performance of consumption-based asset pricing models have produced disappointing empirical results. For example, consumption- based asset pricing models have difficulty explaining several asset pricing phenomena, such as the high equity risk premium, the low real interest rate, the high equity volatility, and the cross-sectional variation in stock returns.
In recent decades, a number of consumption-based measures have been proposed for forecasting asset returns, such as the consumption- aggregate wealth ratio (Lettau and Ludvgison, 2001; 2005), the surplus consumption ratio (Campbell and Cochrane, 1999) and the labor income to consumption ratio (Santos and Veronesi, 2006). Lettau and Ludvigson (2001) show that a variable that measures deviations of consumption from its stable relation with wealth has predictive power both in time series and cross- section of stock returns. Campbell and Cochrane (1999) use the surplus consumption ratio as a proxy for time-varying relative risk aversion and show that their model successfully matches the historical equity premium. Wachter (2006) uses a proxy of surplus consumption ratio to extend Campbell and Cochrane’s (1999) model to the bond market. The model of Santos and Veronesi (2003) implies that the ratio of labor income to consumption is inversely related to the conditional covariance between the asset return and the consumption growth. The ratio helps to explain time variation in expected returns and cross-section of stock returns.
In this paper, we construct the recently proposed consumption-based measures using the Korean data and examine whether these measures predict future asset returns. Due to limited availability of macroeconomic data, the sample period for this study is much shorter than the sample periods used for the US. In constructing the consumption-based measures, we pay careful attention to the differences between the Korean and US data on household wealth and income in order to capture the informational contents of the proposed measuresas well as possible.
We find that the consumption-based measures have predictive ability for the equity, bond, and housing risk premia in Korea. A regression of stock, bond, and housing price index returns on lagged consumption-aggregate wealth ratio (Lettau and Ludvgison, 2001; 2005) produces statistically significant coefficients. The surplus consumption ratio (Campbell and Cochrane, 1999; Wachter, 2006) predicts future stock and housing price index. The labor income to consumption ratio (Santos and Veronesi, 2006) predicts future stock, bond, and housing price index. Taken together, our findings suggest that these consumption-based measures capture the information relevant for time-varying risk premium in Korea.

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