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통화정책과 주식수익률의 관계에 대한 실증분석과 시사점: 한국의 경우

An Empirical Analysis of the Relationship between Monetary Policy and Stock Returns in Korea and Its Implications

김양우|우준명|이상규
한국은행|2010.03|경제분석 (Economic Analysis)|제16권 제1호|pp. 37-70|DOI 10.23299/bokeri.2010.16.1.002

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키워드

통화정책충격콜금리주식시장 파급경로주식초과수익률동태적 회계항등식Call ratesMonetary policy shockStock market transmission channelExcess stock returnsDynamic accounting identity of excess stock returns.
주제분류경제학

초록

본 논문은 주식수익률의 예측가능성에 관한 재무경제학 연구 성과와 통화정책효과에 대한 통화경제학의 연구 성과를 통합하면서 한국의 경우를 대상으로 최근에 그 중요성이 부각되고 있는 통화정책의 주식시장 파급경로에 대한 실증적 검토를 수행한다. 특히 본 논문은 통화정책과 실질주식초과수익률의 장기적 관계와 통화정책충격이 실질주식초과수익률에 영향을 미치는 경로를 분석하는데 초점을 맞추고 있다. 1992년 3월부터 2008년 6월까지의 기간을 대상으로 단기시계VAR모형과 실질주식초과수익률의 동태적 회계항등식을 사용하면서 수행된 실증분석에 의하면, 통화정책변수는 이론적으로 부합되는 방향으로 실질주식초과수익률에 장기적 영향을 유의하게 미치는 것으로 나타났다. 또한 통화정책변수는 예상치 않은 실질주식초과수익률의 분산을 설명하는 핵심 변수인 것으로 나타났다. 특히 통화정책충격은 주로 미래배당성장률에 영향을 미치는 경로를 통하여 예상치 않은 실질주식초과수익률의 분산으로 파급되는 것으로 분석되었다.

Abstract

This paper conducts an empirical analysis of stock market transmission channel of monetary policy, combining the recent findings in financial economics about the predictability of stock returns and those in monetary economics about the stock market channel of monetary policy. We focus mainly on the relationship between shifts in monetary policy indicator variable and the long-term predictability of excess stock returns in Korea. According to our empirical analysis using a short-horizon standard-form VAR model and a dynamic accounting identity of excess stock returns for the period from March, 1992 to June, 2008, a monetary policy indicator variable appears to exert significant influences on excess stock returns over the long-term horizon in a theoretically expected direction and to play a key role in explaining the variance of unexpected excess stock returns. In particular, we find that monetary policy shocks have transmitted into the variance of unexpected excess stock returns mainly through the channel of future dividend growth rates.

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