주식수익률로부터 추출한 인플레이션을 통한 원․달러환율의 구매력평가 검정
Extracting the Nominal Risk-Free Rate from Stock Returns and the Purchasing Power Parity Hypothesis of the Won-Dollar Exchange Rate
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본 연구에서는 Chowdhry et al.(2005)가 제시한 방법을 적용하여 한국과 미국의 산업별 주가자료들로부터 “사후 명목무위험이자율”의 시계열을 추출한 후 원․달러 환율의 구매력평가설 검정을 시행하였다. 피셔항등식에 의하면 이렇게 도출된 무위험이자율에는 순수물가 인플레이션이 포함되어 있기 때문에 구매력평가설 검정에 사용될 수 있다. 실증분석 결과, 1991년 이후 전 기간에 대한 구매력평가설 성립여부를 지지해 주지는 못하였으나 외환위기를 제외한 나머지 기간에 대한 분석에서는 구매력평가설 성립 가능성이 제기되었다. 따라서 주식수익률로부터 도출한 인플레이션을 이용한 분석방법으로 구조적인 변화를 고려할 경우 단기적으로 원․달러 환율의 구매력평가설이 어느 정도 성립할 수도 있음을 제시해 주고 있다.
Abstract
The purpose of this paper is to extract the ex-post nominal risk-free rate from stock return through ‘the Fama-French Three(Four) Factors Model’ and verify the validation of ‘PPP hypothesis’ of the Won/Dollar exchange rate. As a result of the empirical analysis, the PPP method based on the inflation extracted from the stock return is not able to bolster the establishment of the PPP hypothesis including the Asian Financial Crisis in 1997. However, in case of excluding the Asian Financial Crisis under the consideration of the structural change, the empirical test may be able to support the PPP hypothesis.
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