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금융위기 이후 이자율 스프레드의 경기예측력

The Predictive Economic Power of US Yield Spread After the Global Financial Crisis

김정현
예금보험공사 (Korea Deposit Insurance Corporation)|2023.06|금융안정연구 (Financial Stability Studies)|제24권 제1호|pp. 119-154|DOI 10.26588/kdic.2023.24.1.004

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참고문헌

키워드

term premium인플레이션 불확실성기간 프리미엄이자율 스프레드yield spreadinflation uncertainty
주제분류경제학

초록

글로벌 금융위기 이후 이자율 스프레드의 미래 경기 예측력이 감소되었다는 논란이 있었다. 따라서 본 연구에서는 금융위기 전후 이자율 스프레드의 경기 예측력이 변화되었는지 살펴보았다. 분석결과 금융위기 이후 이자율 스프레드의 경기 예측력은 금융위기 이전보다 낮아진 것으로 조사되었다. 이는 금융위기 이후 인플레이션 불확실성의 증가가 기간프리미엄의 확대와 은행 대출 성장의 위축에 영향을 주었기 때문이다. 인플레이션 불확실성이 증가되어 기간 프리미엄이 상승하면서 이자율 스프레드가 증가되어도 은행들은 추가적인 대출 확대를 꺼리기 때문에 실질 경기 성장의 둔화로 이어질 수 있다. 즉 금융위기 이후에는 인플레이션 불확실성이 확대될 때 이자율 스프레드의 증가가 실질 경기 성장의 상승으로 이어지지 못하면서 이자율 스프레드의 경기 예측력은 낮아진 것으로 분석된다.

Abstract

After the global financial crisis, there has been controversy over the decline in the predictive power of yield spread in the US. Therefore, this study analyzed the economic predictive power of yield spread before and after the financial crisis. As a result of the analysis, the economic forecasting power of the yield spread after the financial crisis was lower than before the financial crisis due to the term premium of the yield spread. The expansion of inflationary uncertainty after the financial crisis affected the increase in the term premium and the contraction of bank lending growth. Therefore, even if the yield spread increases due to the increased term premium when inflation uncertainty expands, banks are reluctant to increase additional loans, leading to a slowdown in real economic growth. After all, when inflation uncertainty widened after the financial crisis, the increase in yield spread did not lead to an increase in real economic growth, and the economic forecasting power of the yield spread decreased.

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