국가별 대미 금리차의 요인분해
Decomposition of Interest Rate Differentials
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금리평형이론에 따르면 국가간에 동일한 금융자산에 대한 투자수익률이 같아야 하나, 실제로는 환요인 및 조세, 거래비용, 국가위험 등 국가별로 상이한 요인에 의해 괴리가 발생하는 경우가 많다. 본 연구는 미국 금리하락기와 상승기로 나누 어 주요 12개국(6개 선진국, 6개 신흥시장국)을 대상으로 대미 금리차의 주요 특징 및 발생원인을 살펴보았다. 또한 미국의 서브프라임 모기지 부실사태가 본격화된 2007년 8월부터 최근까지의 기간을 ‘금융불안기’로 구분하여 미국발 금융위기에 따 른 영향도 분석하였다. 분석결과에 따르면 대다수 국가에서 미국과의 정책금리 동조성이 금리상승기에 비해 금리하락기에 보다 뚜렷이 나타난 가운데, 국가간 금리차의 대부분은 환요인 에 의해 설명이 되나 금융불안기에는 환요인으로 설명되지 않는 국가요인의 비중 이 높은 것으로 나타났다. 나아가 금리평형이론의 성립여부를 검정한 결과, 평상시 에는 국가별로 무위험금리평형의 성립여부와 관련하여 별다른 차이를 보이지 않았 으나 금융불안기의 경우 대부분의 선진국에서는 성립한 반면 신흥시장국들은 성립 하지 않은 것으로 나타났다. 이는 최근의 글로벌 금융위기가 국가리스크 확대 및 외환유동성 악화 등의 측면에서 볼 때 선진국들보다는 신흥시장국들에게 더 큰 영 향을 미쳤음을 보여준다.
Abstract
The interest rate parity theorem suggests that the related financial assets that are otherwise identical among nations should have the same returns. However, according to empirical evidence systematic deviations from the parity conditions are often observed, which are ascribed to differences among countries in currency factors, taxes, transaction costs and country risks. In an attempt to better understand and quantify the nature of these deviations, we examine the main characteristics and possible causes of interest rate differentials, especially with the U.S., for twelve sample countries over two periods from the 2000s selected based upon the trends (upward and downward) of U.S. interest rates. In addition, we analyze the impact of the recent global financial crisis triggered by the U.S. sub-prime mortgage insolvencies by categorizing the period from August 2007, when the crisis began in earnest, until now as the 'financially distressed period.' We find that the interest rates of most sample countries induced by their monetary policy changes are more in sync with those of the U.S. during the period when the U.S. interest rate moved upward. Most of the interest rate differentials can be explained by currency factors during both the upward and downward periods. However, during the financially distressed period the effect of the country factors increased significantly among most sample countries. Furthermore, the test results show that the covered interest parity condition holds in most advanced countries, while it does not hold in the emerging market countries. This implies that the recent global financial crisis has had disproportionately bigger effects on emerging market countries than on developed countries, in light of the country risk and currency liquidity of each country.
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