글로벌 원자재가격 변화가 한국 금융시장에 미치는 영향
Impact of Global Commodity Market Price Changes on Korea Financial Markets
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본 연구는 글로벌 원자재시장이 한국 금융시장에 미치는 영향을 분석한다. 분석대상 원자재는 원유, 구리, 옥수수 등이며, 분석대상 금융시장은 주식시장, 채권시장, 통화시장이고, 일별 수익률 자료를 분석한다. 분석기간은 2017년 1월 4일부터 2023년 7월 31일까지 1,575 거래일이다. 본 연구는 VAR(1)-DCC-MGARCH(1,1) 모형과 Hong(2001)의 인과성 검증통계량을 이용하여 분석하며, 주요 분석결과는 다음과 같다. 첫째, 원자재시장과 금융시장 간의 동조화현상은 COVID-19나 러우전쟁과 같은 외부적 충격으로 인하여 급격하게 상승하지만, 그 이후에 반대 방향의 조정과정을 따른다. 둘째, 주식수익률은 원자재 수익률로부터 유의적인 영향을 받지 않는다. 채권수익률은 원자재 수익률로부터 단기적으로 양(+)의 영향을 받고, 그 이후에는 음(-)의 영향을 받는다. 미국 달러 선물수익률은 원자재 수익률로부터 대체로 음(-)의 영향을 받는다. 셋째, 금융시장 변동성은 원자재시장으로부터 단기적으로 양(+)의 영향을 받지만, 그 이후에는 음(-)의 영향을 받는다. 넷째, 산업별 주식수익률이 원자재 가격변동으로부터 받는 영향의 방향과 유의성은 산업 유형에 따라 달라진다. 그리고 원자재시장의 변동성 충격은 단기적으로 산업별 주식 변동성을 증가시키지만, 그 이후에는 변동성을 감소시키는 경향이 있다. 본 연구는 VAR-DCC-MGARCH 모형과 Hong(2001)의 인과성 검증통계량을 이용하여 원유, 구리, 옥수수 등의 글로벌 원자재시장이 주식, 채권, 통화 등의 한국 금융시장에 미치는 영향을 실증적으로 제시하고 있다는 점에서 의의가 있다.
Abstract
This paper investigates the impact of global commodity markets on Korea financial market. The commodity markets of oil, copper, and corn, as well as the financial markets of stocks, bonds, and currencies, are analyzed. The analysis period covers 1,575 trading days from January 4, 2017, to July 31, 2023. The main results are as follows: First, the co-movement between the commodity market and the financial market increases rapidly due to COVID-19 and the Russo-Russian War. Second, the average stock returns are unaffected by commodities returns. The average bond returns are positively influenced by commodities returns in the short term but are negatively influenced in the subsequent period. The average U.S. dollar returns are negatively influenced by commodities returns. Third, the volatility of the financial market is positively influenced by the commodity market in the short term but is negatively influenced for a relatively long period of time. Fourth, the direction and significance of the impact of commodity price changes on the average industry stock returns vary depending on the type of industry. The contribution of this paper is to reveal the time series patterns of connectedness between the global commodity markets and the Korea financial market using the VAR(1)-DCC-MGARCH(1,1) and Hong’s (2001) causality test.
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