심리적 요인과 이질적 에이전트의 자산가격 동역학
Psychological Factors and Dynamics of Asset Prices among Heterogeneous Agents
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본 연구는 에이전트의 심리적 요인만으로도 이질적 신념의 내생적 상호작용 메커니즘을 통해 자산시장의 초과 변동성과 변동성의 군집성(ARCH 효과)은 물론 변동성의 비대칭성과 같은 자산 시계열 자료의 정형화된 사실들(stylized facts)이 초래될 수 있음을 제안하고, 이런 심리적 요인을 반영하여 이질적 에이전트 모형(heterogeneous agent models)을 이론적으로 확장하였다. 환언하면 시장에 손실회피성향/(투자에 대한 과신)과 같은 심리적 요인이 만연하면 가격의 하락/(상승) 시에 에이전트 중 차티스트의 상호작용 효과가 더 강해지며 과거의 가격변화가 에이전트의 상호작용을 통해 미래가격의 기대형성에 더 큰 영향을 미치게 된다. 이런 인지적 편의에 의한 심리현상은 차티스트들의 쏠림현상과 결합한 내생적 메카니즘을 통해 비선형적이며 복잡한 동역학을 유발하여 변동성의 비대칭성과 초과 변동성을 야기할 수 있다는 사실을 수치분석을 이용하여 입증하였으며, KOSPI, KOSDAQ, 대미환율 일별자료를 이용한 실증분석에 의해 경험적으로 노정하였다.
Abstract
To clarify some of stylized facts, frequently observed in asset markets, as contrasted with prior literature on heterogeneous agent models, this paper suggests that psychological factors, such as loss aversion, overconfidence in investment, herd behavior, can have a serious effect on endogenous interaction between heterogeneous agents and result in excess volatility, volatility clustering, asymmetry in volatility. Reflecting the realistic suggestions, this paper also extends the heterogeneous agent models, and theoretically proves the existence of steady state of dynamics in the deterministic model and their stability. The simulation analysis and the empirical results using daily data of KOSPI, KOSDAQ and the USD/KRW currency pairs between January 4, 2010 and June 30, 2015 provide a valuable evidence that the extended heterogeneous agent model can replicate econometric properties and important stylized facts in returns time series and psychological factors play an influential role in dynamics of asset prices.
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