경기 변동이 위험-수익률 관계에 미치는 영향
An analysis of the movement of the risk-return relation over the business cycles
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초록
본 연구는 ICAPM의 틀에서 위험과 수익률 간의 관계가 경기상황에 따라 어떻게 변화하는지를 경험적으로 분석한다. 두 가지 측면에서 기존 연구를 개선한다. 첫째, 변동성 환류 효과(volatility feedback effect)를 예상치 못한 변동성의 변화로부터 발생하는 것으로 모형화함으로써 정확한 방식으로 고려한다. 둘째, 경기 변동에 대한 정보를 담고 있는 성장률 변수를 사용하여 경기 변동을 모형 내에서 완전하게 내생화한다. 사용된 모형은 수익률-성장률의 2변수 국면전환 모형으로서 수익률의 변동성은 고변동성 상태와 저변동성 상태의 2-상태, 성장률은 고성장(호황) 상태와 저성장(불황) 상태의 2-상태를 가지며 이들 상태변수들은 각각 1차 마코프 과정을 따른다. 1952-2003 기간의 NYSE 주식 포트폴리오 수익률과 미국 GDP 성장률에 대한 실증 분석 결과 위험-수익률 관계는 경기역행적으로 움직이며 변동성 환류 효과가 경기역행성에 중요한 역할을 한다는 것을 발견한다.
Abstract
This paper examines in the context of ICAPM how the risk-return trade-off behaves over the business cycles. It improves the existing literature in two aspects. First, we account for the volatility feedback effect in a correct manner by modeling it as arising from unexpected changes in volatility. Second, we use growth rates to endogenize the business cycles in the model. We employ a returns/growth bi-variate Markov-switching model where return volatility can have high- and low volatility states and growth rate can have high- and low growth states. For the returns on NYSE stocks and US GDP growth rates of the period of 1952-2003, we find that risk-return relation behaves counter-cyclically and the volatility feedback effect plays a crucial role.
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