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유위험 이자율 평가이론 검정을 위한 연속시간의 준모수적 모형

A Continuous Time Semi-parametric Model for Uncovered Interest Parity

이은희
한국경제학회 (The Korean Economic Association)|2012.09|경제학연구 (The Korean Journal of Economic Studies)|제60권 제3호|pp. 55-91

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참고문헌

키워드

uncovered interest parity유위험이자율평가이론연속시간모형시가변적 위험프리미엄continuous time modeltime-varying risk premium
주제분류경제학

초록

본 논문은 유위험이자율 평가이론(또는 커버되지 않는 이자율 평가이론)을 검정하기 위하여 연속시간의 준모수적 회귀모형을 고려하였다. 본 논문의 회귀모형은두 국가간의 이자율의 차이로 유도되는 모수적 추세 함수와 위험프리미엄으로 정의되는 비모수 추세함수로 구성되는 두 개의 조건부 평균성분과 일반적인 마팅게일차분과정으로 정의되는 오차항 성분으로 이루어져 있다. 위험프리미엄을 상수라고 가정할 경우 조건부 평균성분은 모두 모수적 형태로 일반적인 회귀모형을따르게 된다. 반면 시가변적인 위험프리미엄을 가정할 경우, 위험프리미엄을 시간의 평활함수로 가정하고 시리즈 추정방법을 통해 추정하였다. 또한 일반적인마팅게일차분과정을 따르는 오차성분에 존재하는 확률적 변동성을 효과적으로교정하기 위해 시간변화라는 샘플링기법을 사용하였다. 따라서 적절한 표본 구간이 정해지면 유위험이자율 평가설은 도구변수추정방법을 통해 검증할 수 있다. 미국-영국과 미국-캐나다의 경우, 시가변적 위험프리미엄을 감안한 우리의 연속시간 유위험이자율평가 모형을 적용한 결과, 국내외금리차와 환율변화율의 음의선형관계를 나타내는 유위험이자율 평가이론 퍼즐현상은 발견되지 않는다. 또한,미국-한국의 사례에서 시가변적 위험프리미엄을 가정할 때, 보다 이론이 부합되는 회귀계수를 도출할 수 있었다.

Abstract

This paper considers a continuous-time semi-parametric regression model to test for the uncovered interest parity. The regression has two mean components, one parametric and the other nonparametric, with error term specified generally as a martingale differential. The parametric part in the mean is linear and derived under no arbitrage condition. To deal with the time-varying risk premium, we introduce an additional nonparametric term in the regression mean, which specifies the time-varying risk premium as a general smooth function of time. To effectively deal with stochastic volatility in the general martingale differential regression error, we use a time change to set sampling intervals. Once the samples are collected at appropriate sample intervals, the uncovered interest parity condition is tested by a mixture of series and IV estimation methods. As a result from our work, for Canada and UK, the uncovered interest parity puzzle implying that interest rate differentials seem often to be followed by exchange rate depreciation is not supportive in our model. For Korea, we obtain more favorable coefficients for UIP condition.

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