변동성 프리미엄의 정보유용성 분석: 한국의 사례
Information Contents in Variance Risk Premium: The Case of Korea
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초록
본 연구는 KOSPI200 옵션의 내재변동성인 VKOSPI 지수를 분해하여 변동성 프리미엄을 추정하고, 금융시장 및 거시경제 변수 예측력을 분석하였다. 이러한 변동성 프리미엄은 경제 내의 위험기피도의 대용변수로서 널리 연구된 바 있다. 변동성 프리미엄은 주가수익률, 국고채이자율, 대미달러 환율상승률 등 금융시장 변수뿐만 아니라 외국인자본유입, 산출, 인플레이션 등 거시경제 변수에 대해서 유의한 예측력을 보였다. 이러한 예측력은 표본내 뿐만 아니라 표본외에서도 유효한 것으로 나타났다. 본고의 실증분석 결과는 변동성 프리미엄 상승이 미래 주가수익률과 양(+)의 관계를, 미래 환율상승률과 음(+)의 관계를 가지며 이는 다시 해외자본유입을 통하여 실물경제에 영향을 미치게 되는 “자본유입의 주가 및 환율 경로”의 작동을 시사하는 것으로 생각된다.
Abstract
This study analyzes the forecasting ability of variance risk premium for a variety of financial market and macroeconomic variables in Korea. The variance risk premium for Korea is estimated by decomposing the VKOSPI Index, an option implied volatility of KOSPI 200 index. Variance risk premium has been widely studied as a proxy for the degree of risk aversion in an economy. My empirical analysis shows that the variance risk premium has substantial forecasting ability for financial market variables, such as KOSPI stock returns, KTB bond yields, and won-dollar exchange rate growth, as well as macro variables, such as capital inflow, output growth, and inflation. This forecasting ability is still preserved for out-of-sample predictions. The empirical results imply a stock and currency channel of capital inflows, in which an increase in VRP may affect the real economy through its positive relationships with future stock and currency returns and capital inflows.
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