해외국채금리에 대한 국내국채금리의 동조화 변화 분석
A Synchronization Analysis of Korea Government Bond Market on Foreign Government Bond Markets
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초록
본 연구에서는 소파동 분석과 DCC-GARCH 모형을 이용해 국내외 단기금리와 국내국채금리 또는 국내외 국채금리 간의 동조화 변화를 동태적으로 살펴보았다. 실증분석결과를 살펴보면 DCC-GARCH 모형과 소파동 분석을 통해 추정된 시간가변 상관계수로부터 글로벌 금융위기 이전 기간에서 국내국채금리와 국내외 단기금리 간의 동조성이 국내외 국채금리 간의 동조성보다 강하게 나타났다. 하지만 글로벌 금융위기 이후 국내국채금리와 국내외 단기금리의 동조성은 다소 약화된 반면 국내외 국채금리 간의 동조성은 확대되는 것으로 나타났다. 이와 같은 금리 간 동조성의 변화요인에 대한 특성을 분석하기 위해 소파동 분석으로 금리 간 선․후행 관계와 장․단기적 요인 등을 추가적으로 살펴보았다. 그 결과는 전반적으로 해외국채금리가 국내국채금리를 선행하고 CD금리가 국내국채금리를 후행하면서 금리경로를 통한 국내통화정책의 파급효과가 왜곡될 수 있음을 확인하였다. 또한 글로벌 금융위기 이후 국내외 국채금리 간의 동조성은 단기보다 장기적 순환요인의 영향이 커지면서 강화되는 것으로 나타났다.
Abstract
This study analyzes the dynamic changes in synchronization between Korean and Foreign Government Bond Markets with using DCC-GARCH and Wavelet analysis. According to the empirical results, after Global Financial Crisis period, the comovement between Korean Government Bonds and short-term interest rates slightly decreases, but the comovement between Korean and Foreign Government Bonds increases. It shows that Foreign Government Bonds run ahead Korean Government Bonds from the results of Phase Difference in Wavelet analysis. In contrast, Korean Government Bonds lead CD rate, which is likely to come from oligopoly in small Korean bank industry or broken interest rate channel. Also, the increase in synchronization between Korean and Foreign Government Bonds is caused by low frequencies rather than higher frequencies, which infers well-integrated bond markets in the long-term.
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