우리나라의 국가 CDS프리미엄과 외평채가산금리의 동태적 관계 분석
An Analysis of Dynamic Relationship between Korean Sovereign CDS Premium and Foreign Exchange Stabilization Bond Spread
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초록
글로벌 금융위기 이후 국가 CDS프리미엄은 한 나라의 경제상황 뿐만 아니라 금융시장의 리스크를 나타내는 대표적인 지수로 자주 언급이 되어 왔으며, 외화 유동성 확보를 위해 발행되는 외국환평형기금채권의 가산금리 역시 국가 신인도를 나타내는 지표역할을 한다. 외평채가산금리는 위험채권인 우리나라 국채와 무위험채권인 미국국채 간의 채권 스프레드로 볼 수 있으므로, Duffie(1999)가 증명한 바와 같이 국가 CDS프리미엄과 외평채가산금리는 이론적으로 동일해야 하지만 거래비용 등의 요인에 의해 가격 차이가 발생하는 게 일반적이다. 본 연구에서는 우리나라의 국가 CDS프리미엄과 외평채가산금리간의 상호 연관성에 초점을 맞추어 우리나라 국가 CDS프리미엄과 외평채가산금리간의 동태적 관계에 대해 실증분석을 시도하였다.
Abstract
Since the global financial crisis, sovereign CDS premium has been often mentioned as the representative index showing not only a country’s economic condition but the risks in a financial market, and foreign exchange stabilization bond spread also plays the role of indicating the sovereign credit rating. As Duffie(1999) proved, sovereign CDS premium should be identical to foreign exchange equalization bond spread theoretically. However, in general cases, differences in prices are created by some elements, such as trading expense. In this research, the dynamic relationship between Korean sovereign CDS premium and foreign exchange stabilization bond spread was analyzed empirically by focusing on the correlation between them. The analysis result shows that CDS premium and foreign exchange stabilization bond spread is in a stable and balanced relation in a long term, which has become more firm after the financial crisis. The analysis result of vector error correction model(VECM) has proven that as for the index indicating the credit risk for Korea, CDS premium is more appropriate than foreign exchange stabilization bond spread. Especially, it has been verified that the long-term balance between the foreign exchange stabilization bond spread and the CDS premium is adjusted faster after the financial crisis.
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