2국가 Nelson-Siegel 모형을 이용한 해외요인이 한국 채권시장에 미치는 영향분석 및 예측
Analysis on the Effect of Foreign Factors on the Korean Bond market and Prediction using Two-country Nelson-Siegel Model
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1997년 외환위기 이후 한국경제는 해외경제상황에 보다 영향을 받는 구조로 변화하였다. 이에 본 연구는 한국채권시장도 해외요인에 영향을 받는지를 실증적으로 확인하기 위해 2국가 Nelson-Siegel 모형을 설정해서 추정하였다. 추정결과 국내고유요인 뿐만 아니라 해외요인도 한국 수익률곡선에 유의한 영향을 미치는 요소임을 확인하였다. 분산분해분석에 따르면, 경기상황과 관련이 있는 기울기요인이 해외요인에 가장 영향을 받는 것으로 나타났다. 추가로 해외요인을 고려하는 경우, 한국의 각 만기별 현물수익률 예측에 도움이 되는지를 조사하였다. 2006년 1월부터 2010년 12월까지 표본외예측구간을 사용하여 각 만기별수익률 예측치를 구하였다. Modified Diebold & Mariano 테스트 결과, 기존 Nelson-Siegel 모형에 비해 해외요인이 고려된 2국가 Nelson-Siegel 모형을 사용하면 만기 3년 이하인 단기 및 중기 수익률의 6개월 이후 예측력이 통계적으로 우월한 것으로 나타났다. 따라서 향후 만기가 단기 및 중기인 한국 현물수익률들 예측에 해외요인도 추가로 고려하는 것이 필요하다고 판단된다.
Abstract
Since the foreign exchange crisis in 1997, the Korean economy has been transformed to become more exposed to global economic situation. This paper aims at empirically verifying the impact of foreign factors on the Korean bond market with two-country Nelson-Siegel model. The estimation result indicates that foreign factors, along with domestic factors, have significant effects on the yield curve of Korea. From variance decomposition analysis, it is found that the slope factor of the yield curve, which is related business cycle, is affected the most by the foreign factors. Additionally, this paper attempts to verify the predictive power of foreign factors to the future Korean spot rate. To serve its purpose, it exploits out-of-sample forecasting with data from Jan. 2006 to Dec 2010. According to the modified Diebold & Mariano test, the two-country Nelson-Siegel model has a statistically superior predictive power to the conventional Nelson-Siegel model at the 6-month-ahead prediction with less than three year maturities. In conclusion, it is necessary to have foreign factors additionally considered for effective prediction of Korean spot rates with short-term and mid-term maturity.
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