1999~2007 기간 중 우리나라에서 무위험금리평가(Covered Interest Parity)를 벗어나는 편차의 결정요인 (Determinants of Deviations from Covered Interest Parity in Korea during 1999~2007)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 22권 / 4호 / 185 ~ 216페이지
· 저자명 : 장의태

초록

1999년부터 2007년까지 일별 시계열자료를 분석하면 스왑레이트와 원ㆍ달러금리차는 각각 임의보행을 따르면서 공적분관계에 있다. 이는 이 두 변수의 차인 무위험금리평가(CIP : covered interest parity)를 벗어나는 편차가 장기적으로 균형을 회복하려는 시장의 힘에 의하여 결국 소멸한다는 것을 의미한다. 그러나 다른 한편으로, 세계 금융시장의 불안정과 불확실성의 증대 그리고 이에 따르는 신용경색으로 인하여 내국인의 차익거래가 크게 제약을 받는 등 외환거래에서 마찰요인이 증가하는 상황에서 지속적인 외생적 충격으로 인하여 최근 우리나라 외환시장에서 CIP를 벗어나는 편차가 상당기간 사라지지 않고 심화하고 있다. 본 논문은 첫째, 외국인 주식투자 둘째, 한국은행의 외환시장 개입이 1999～2007 기간 중 우리나라에서 CIP를 벗어나는 편차를 설명하는데 얼마큼 주요 요인으로 작용하였는지 실증분석 하였다. 우리나라는 채권시장보다 주식시장에 대한 외국인투자 비중이 훨씬 높고 자본의 유출입이 채권시장보다는 주로 주식시장을 통하여 이루어지고 있기 때문에 국내외 금리차보다 외국인 주식투자와 원/달러 환율의 상관관계가 높다. 1999년 4월부터 2007년 12월까지 월별자료를 이용하여 CIP를 벗어나는 편차를 설명하는 실증분석 결과를 살펴보면 외국인의 국내주식투자와 한국은행의 외환시장개입은 통계적으로 유의한 설명변수로 작용하고 있다.

영어초록

The unit root tests for the forward premiums of US dollar relative to Korean won and the Korea/US interest differentials based on the daily time series data from April 1, 1999 to December 28, 2007 turn out that each of them follows a random walk without drift but the difference between them, i.e. deviations from CIP(covered interest parity) is I(0)(integrated of order zero). In other words, the forward premiums and the interest differentials are cointegrated, which implies that deviations from CIP are eventually eliminated by the market forces to take advantage of profitable risk free arbitrage opportunities. Since mid-2007, however, large deviations from CIP have persisted in Korea due to continuous exogenous shocks in the midst of increasing uncertainty associated with global credit crunch and the US subprime mortgage crisis. Inefficiencies of its foreign exchange market as well as frictions in financial transactions have limited profitable arbitrage opportunities (borrow dollars, lend wons).
This paper focuses its empirical investigation on the external shocks to won/dollar exchange rate to explain the deviations from CIP in Korea during the period of 1999～2007. An important factor to determine the exchange rate is foreign investment in domestic stocks in Korea. Most of foreign portfolio investments are concentrated in domestic stocks. As a result, won/dollar exchange rate is highly correlated with foreign investment in domestic stocks rather than domestic-foreign interest differentials. Recently, the exchange rate has been under upward pressure due mainly to continual sales of domestic stocks by foreigners along with increasing uncertainty in international financial markets. Official foreign exchange intervention is another notable external shocks to the exchange rate in view of its signalling effect. The central bank of Korea has bought US dollars repeatedly in the foreign exchange market during the period of 1999～2007, thereby putting upward pressure on the exchange rate.
This paper estimates the relationship between won/dollar exchange rate and foreign investment in domestic stocks, using KOSPI(Korea composite stock price index) and US S&P500 as instruments for foreign investment in domestic stocks. Foreign investment in domestic stocks is correlated positively with the percentage change in KOSPI but negatively with that in S&P500. At the same time, foreign investment in domestic stocks is a statistically significant factor to explain the exchange rate.
This paper makes a regression analysis based on the monthly time series data from April, 1999 to December, 2007. It turns out that the explanatory variables of both foreign investment in domestic stocks and official foreign exchange intervention are statistically significant to explain the deviations from CIP in Korea during 1999-2007. The purchase (sale) of domestic stocks amounting to 2.1billion dollars(1 standard deviation) during a month by foreigners is expected to result in an increase (a decrease) of around 0.13% in the first difference for deviations from CIP. The purchase (sale) of reserve assets amounting to 1.8billion dollars(1 standard deviation) during a month by the central bank is expected to result in a decrease (an increase) of around 0.065% in the first difference for deviations from CIP.

참고자료

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