뉴욕(New York) 원달러 역외선물환시장(NDF)의 가격발견기능 연구
A Study on Price Discovery of New York Won/Dollar Non-Deliverable Forwards Market
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초록
동 연구는 뉴욕 역외선물환(NDF: non-deliverable forward)과 국내 원달러 현물시장사이의 선도-지연관계 및 변동성 전이효과에 대한 연구를 실시하였다. 이를 위하여 2009년 3월 13일부터 2018년 8월 31일까지 1개월 뉴욕 역외선물환시장과 국내 원달러 현물시장 일별 시계열자료 2,444개를 이용하였다. 분석방법은 상관관계분석, 벡터자기회귀모형, 그랜즈 인과관계 및 시간변동 GARCH(1,1)-M모형을 이용하였으며 주요 실증분석결과는 다음과 같다. 첫째, 뉴욕 1개월물 역외선물환과 국내 원달러 현물시장사이에는 정(+)의 상관관계가 존재하고 있으며 전체 분석기간 동안 상관계수 값은 +0.99512로 매우 높은 것으로 나타났다. 둘째, 두 시계열의 수준변수에는 단위근이 존재하나 수익률자료는 안정적인 것으로 나타났으며 뉴욕 역외선물환과 원달러 시장사이에 장기적인 균형관계가 통계적으로 유의한 수준에서 존재하는 것으로 나타났다 셋째, 그랜즈 인과관계 분석결과, 뉴욕 1개월물 역외선물환과 원달러 현물시장 수익률 사이에는 피드백적인 영향력을 미치고 있으나, 원달러 현물시장의 역외선물환 시장에 대한 영향력이 상대적으로 더 강한 것으로 나타났다. 넷째, GARCH(1,1)-M 모형을 추정한 결과, 뉴욕 1개월물 역외선물환시장과 국내 원달러 현물시장사이에는 조건부평균 및 변동성 전이효과가 존재하는 것으로 나타났다. 이러한 분석결과로부터 1개월물 뉴욕 역외선물환시장이 국내 원달러 현물시장에 대한 가격발견기능을 적절히 수행하고 있음을 추론해 볼 수 있다
Abstract
This paper studies the price discovery between the New York one month won/dollar non-deliverable forward(“NDFs) and Seoul cash markets during the sample period covering from March 13, 2009 to August 31, 2018. We estimated the correlation analysis, ADF and PP test, co-integration test, vector autoregressive model, vector error correction model, Granger causality test and GARCH(1,1)-M models. The major empirical results are as follows; First, the level variables of won/dollar NDFs and spot prices are non-stationary but the price changes are stationary. We also find that there is a co-integration relation between the two level variables during the whole sample period with a significant level. Second, there is a positive relation between won/dollar NDFs and spot markets and we find a bilateral information transmission between won/dollar NDFs and cash markets. However, the influence from won/dollar spot to NDFs is relatively more strong than the vice versa. Third, according to the GARCH(1,1)-M, there is a volatility cluster effect and a conditional mean and volatility spillovers from the NDFs to cash markets with a statistically significant level. From these empirical results we infer that the won/dollar NDFs are performing the price discovery function very well but in terms of information efficiency aspects, the won/dollar spot market is relatively more efficient than the New York won/dollar NDFs market.
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