Sovereign CDS 잔액 결정요인 및 거래유인 분석
The Determinants Analysis of Sovereign CDS Market Outstanding
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초록
CDS 시장의 잔액감소로 인한 시장효율성 둔화를 평가하기 위해 본 논문은 DTCC의 Sovereign CDS 거래 자료를 이용하여 총명목잔액과 국가의 거시경제 및 금융변수의 관계를 분석하기 위해 실증분석을 시행하였으며, 헤지 유인과 투기적 유인이 CDS 시장에 미치는 영향을 검토하였다. 그 결과 Sovereign CDS 총명목잔액은 CDS 프리미엄과는 달리 글로벌 요인보다는 해당국의 요인이 상대적으로 더 높은 영향을 미치는 것으로 평가된다. 또한 신흥국을 대상으로 한 분석에서 외국인 투자자의 채권투자자금유입 증가로 대표되는 헤지 유인에 따른 거래량 증가가 유의한 것으로 나타났으며, CDS 프리미엄의 변동성으로 대표되는 투기적 유인은 유의하지 않은 것으로 나타났다. 이러한 분석 결과 및 제도적인 동향을 감안할 때 sovereign CDS 거래규모를 바탕으로 한 시장의 효율성은 여전히 유효하여 CDS 시장규모 감소에 따른 시장기능 약화는 나타나지 않는 것으로 평가할 수 있다.
Abstract
This article provides an empirical evidence on the sovereign CDS market efficiency, and which factor makes an effect on the market between hedge and speculation factor using nominal outstanding data from DTCC. Empirical evidence suggests that macroeconomic variables in each country impact on sovereign CDS nominal outstanding, especially local factor rather than global factor makes more effects. In addition, in the case of emerging countries, hedge incentives such as net buy of country bonds from foreign buyers increases sovereign CDS nominal outstanding, while speculation incentive such as CDS premium volatility is not significant. Although the gradual decrease of nominal outstanding in sovereign CDS market, the market efficiency in CDS market still relevant and it may be concluded that the market structure is still in good shape.
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