다(多)시장 정보를 활용한 금융시장 불안정성 지수 개발에 관한 연구 -CISS 방법론을 중심으로-
A proposal for a systemic stress index in Korea-a CISS approach
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초록
본 연구는 유럽중앙은행(ECB)에서 금융시장 불안정성 지표로 활용되고 있는 Composite Indicator of Systemic Stress(CISS)를 국내시장에 적용하여 한국형 금융시장 불안정성 지수를 제시하고 지수에 함의된 정보를 분석했다. CISS는 경기순행적 변수들을 선정하고 경험누적확률분포와 포트폴리오방식을 이용하여 변수들을 합성한 특징이 있다. 국내에서는 아직까지 관련 연구가 수행되지 않아 본 연구에서 국내 변수들을 이용한 금융시장 불안정성 지수(KCISS)를 제안했다. 추가로 KCISS에 누락된 조건부 꼬리위험 정보의 활용을 위해 다양한 시스템 위험측도들의 공통요인을 추출한 지수(Systemic-PCA)를 제안했다. 국가신용부도스왑을 이용하여 위기예측력을 검증한 결과, KCISS는 국가신용부도스왑의 장․단기 예측에 효과적인 것으로 나타난 반면 Systemic-PCA는 제한적인 위기예측력을 갖는 것으로 나타났다. 이는 KCISS가 향후 거시건전성(Macroprudential) 정책적용을 위한 금융시장 불안정성 측정도구로 활용될 수 있는 가능성을 보여준다.
Abstract
This paper investigates the potential of a Composite Indicator of Systemic Stress(CISS) methodology using information extracted from five Korean financial markets. The CISS is constructed under the portfolio-theoretic framework as in Hollo, Kremer and Lo Duca(2012) to provide s real-time monitoring of systemic stress. We construct the KCISS(Korean CISS) that involves the aggregation of five sub-indices from the money market, bond market, equity market, financial institution, and foreign exchange market. Then, five sub-indices are aggregated to the KCISS under the portfolio-theoretic framework. In addition, we propose the Systemic-PCA based on a common factor of systemic risk measures extracted by using the principal component analysis. To compare the forecasting power of the KCISS and Systemic-PCA, we investigate the predictability on Korean Sovereign CDS using a predictive regression model. Empirical results present that the KCISS has both short-run and long-rung predictive power of sovereign CDS while the Systemic-PCA has only short-run predictive power. In sum, we test a usefulness of the CISS methodology for a macroprudential policy in Korea and suggest that the KCISS may be used as a financial stability measure.
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