무위험금리평형(CIP) 편차의 특성
On the Characteristics CIP Deviation
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본 연구는 1999년 2월부터 2009년 2월까지 금융위기 전․후를 구분하여 CIP 편차의 만기별, 연도별 괴리 수준 및 변동성의 시간 의존성을 연구하였다. 만기에 관계없이 CIP 편차는 대체로 평균치가 음이고, 분포 또한 음(left-skewed)를 가진 비대칭성을 가지고 있어 달러차입/원화투자 차익기회가 높았다. 그러나 연도별 ANOVA 검증 결과 유의미한 연도별 효과로 달러투자/원화차입 차익기회도 제공되었다. 만기별로는 편차 평균치에 차이가 나타났는데, 특히 2007년 금융위기 이후 시장 혼란기에 12개월 음(-)의 편차가 확대되었다. 또한 금융위기 발생시점 전후의 CIP 편차 변동성을 분석한 결과 금융위기 전 차익거래를 가능하게 하는 12개월 CIP 편차의 변동성은 변동성 모형이 안정적이고 지속성 보다는 시간 의존적 성격이 강하며, 장기평균에서 이탈하지 않았다. 이는 금융충격이 소멸된 상태에서 만기 12개월의 경우 균형 안정성이 확보되어서 차익거래에 우호적임을 의미하는 것이다. 따라서 실무에서 일반적으로 차익거래 기한으로 12개월을 선택하는데 대한 실증적 준거를 제시해주었다.
Abstract
Using a daily time series from 1999 to 2008 of in spot and forward USD-KRW markets and matching equivalent 3M/12M maturity short-term US and Korean interest rates, we investigate the characteristics and time variation of difference between actual prices(i.e, market forward rate) in forward markets to those(i.e, implied forward rate) calculated from differential in short-term interest rates. According to covered interest rate parity, the market forward rate and implied forward rate should be identical once transaction and other costs are accommodated. But in real currency market, there happens deviation (CIP deviation) between market forward rate and implied forward rate due to shocks of currency market. if so, institutional investors implement arbitrage by making use of this deviation. This study presents three findings; first, we find different CIP deviations by maturities of 3M and 12M; second, these deviations have diminished significantly by 2006 and the sign of them has changed. but since global financial crisis made Korean curreny market turmoil, the CIP deviation have increased sharply; third an analysis of CIP deviation using GARCH, E-GARCH, TARCH finds the time varying dependence, especially the persistence of volatility doesn't last long prior to crisis.
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