기간프리미엄의 변동과 장단기 금리의 괴리
Term Premia and Preferred-Habitat Investors in Korea
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초록
본 연구는 2010년부터 2021년 9월까지 국내 채권시장을 대상으로, 채권시장에서의 수급요인이 장기채금리의 기간프리미엄에 미치는 영향을 실증 분석한다. 주요 발견은 다음과 같다. 첫째, 채권시장의수급요인이 기간프리미엄에 영향을 미쳤다. 보험과 연기금으로 구성된 장기투자자의 순매수는금리상승기와 하락기에 모두 기간프리미엄을 하락시켰다. 반대로 증권사 및 은행 등으로 구성된 단기투자자의 순매수는 기간프리미엄을 상승시켰다. 다만, 단기투자자의 경우 그 영향력은 금리상승기에만유의하였다. 둘째, 장기투자자와 단기투자자의 상호작용으로 인해서 발생하는 기간프리미엄의 변동이금리하락기에 단기금리와 기간프리미엄이 상반된 방향으로 움직이도록 한 원인이었으며, 이것이 해당기간 장단기 금리간의 괴리를 유발하는 요인임을 확인하였다.
Abstract
We investigate whether preferred-habitat investors exist in the Korean bond market and their supply and demand can affect the term structure of bond yields. We find that pension funds and insurance companies continue to prefer holding long-term bonds, and their net buying is negatively related to the term premium. By contrast, short-term investors, such as banks and securities firms, are less likely to exhibit maturity preference; their net buying increases the term premium, particularly during periods of rising interest rates. These findings suggest that long-term investors are preferred-habitat investors, whereas short-term investors act as risk-neutral arbitrageurs. Furthermore, a short-term interest rate is negatively related to a term premium during periods of declining interest rates, which is inconsistent with the expectation hypothesis. From our findings, we infer that short-term investors less actively participate in arbitrage during periods of falling rates due to restrictions, and that the limit of arbitrage allows yields at different maturities to be disconnected from each other.
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