기간프리미엄의 장기기억현상
Long Memory of Term Premium
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초록
시계열의 적분차수를 정수로 한정하는 전통적인 단위근 및 공적분 방법의 한계를 고려하여 본 연구는 장단기이자율과 기간프리미엄의 장기기억을 검토하였다. 실제 단기이자율과 ARFIMA 모형, ARIMA 모형의 예측치는 기대단기이자율의 대리변수로, 장기이자율과 기대 단기이자율 간 차이는 기간프리미엄으로 사용되었다. 구조변화 시점을 추정하고, 구조변화 전후 기간을 나누어 장기기억현상이 분석되었다. 분석 결과 ARFIMA모형은 구조변화와 상관없이 이자율과 기간프리미엄의 장기기억현상을 일관성 있지만, 준모수적 방법은 ARFIMA모형보다 차분계수를 과대평가하거나 구조변화에 민감하였다. ARFIMA모형이 준모수적 방법보다 강건하다는 점을 고려한다면 이자율과 기간프리미엄에 장기기억이 존재할 가능성이 높다.
Abstract
This study examined long memory of short-term and long-term interest rates and term premiums in Korea. Standard unit root test methods or co-integration analysis was restricted to an integer, so these methods did not determine fractional integration of time series. In contrast, fractional integral methods allowed any real number of integration to find out long memory. Actual short-term interest rate and prediction of short-term interest rates from ARFIMA and ARIMA models were utilized as proxy variables for the expected short-term interest rates. The term premium was calculated from the difference between long-term interest rates and the expected short-term interest rates. The results show that ARFIMA models provided long-memory of interest rates and term-premium while semi-fractional integration method did not. The semi-parametric method overestimated the long-memory parameter compared with the ARFIMA model. The estimates of semi-parametric method were also sensitive to structural changes. The effects of shocks may remain long period. It is necessary to consider long-memory of interest rates and term premiums.
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