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통화옵션을 이용한 미래 원/달러 환율의 위험중립 확률분포 추정

Estimating the Risk Neutral Probability Distributions of the KRW-USD Exchange Rate Using Currency Option Prices

이승환
한국국제경제학회 (The Korea International Economic Association)|2009.04|국제경제연구 (KUKJE KYUNGJE YONGU)|제15권 제1호|pp. 89-129|DOI 10.17298/kky.2009.15.1.004

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키워드

원/달러환율통화옵션위험중립 확률분포Currency OptionRisk Neutral Probability DistributionKRW/USD Exchange Rate
주제분류경제학

초록

본 논문은 장외 통화옵션시장에서 거래되는 원/달러옵션 가격 자료를 이용하여 일별, 옵션만기별로 원/달러 환율의 위험중립 확률분포를 추정하고, 동 분포의 분산, 왜도, 첨도 등의 지표를 이용하여 시장심리(market sentiment)를 정량적으로 측정하였다. 통화옵션가격을 이용한 시장심리 측정은 일별 데이터를 이용하기 때문에 즉시성 면에서 장점이 있을 뿐 아니라 만기별 데이터를 이용하기 때문에 시장참가자들의 기대를 장단기 다양한 시계(time horizon)로 포착 가능하다. 실증분석 결과 원/달러 환율의 위험중립 확률분포의 변동성과 왜도가 2008년 들어 크게 확대되는 모습을 보였다. 한편, 정책금리의 변경이 단기적인 환율 기대에 큰 영향을 미치는 반면 국제수지 관련 뉴스는 상대적으로 장기적인 환율 기대에 대한 영향이 큰 것으로 나타났다. 외환시장 개입은 시장상황 및 개입 강도에 따라 그 효과가 상이하게 나타났다.

Abstract

This paper uses data on OTC currency option prices to estimate the risk-neutral probability distributions(RND) of the KRW/USD exchange rate. Because options markets are forward looking, prices of options with different maturities provide information on the market’s views regarding future movements in exchange rates. We therefore extract investor sentiment about foreign exchange market using the implied moments of the RND such as volatility, skewness and kurtosis. We then examine the changes of market sentiment around times of monetary policy decisions, news on the trade balance and official interventions on the KRW/USD exchange rate. We find the monetary policy changes affect short-term expectation on the KRW/USD exchange rate, while the news on trade balance influences long-term expectation on the exchange rate. However, the FX market interventions have different effects on the market expectation depending on market situation and intensity of intervention.

참고문헌 (41)

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