상대적 Nelson-Siegel 요인을 이용한 환율 및 자본이동 예측
Prediction of Exchange Rates and Capital Flows via the Relative Nelson-Siegel Factors
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초록
본 논문은 한국 및 미국의 이자율 기간구조 차이를 요약한 상대적(relative) Nelson-Siegel 요인들(이하 RNS 요인)을 추정하고 이를 이용하여 원/달러 환율 상승률, 원화 초과수익률 및 자본이동에 대한 예측분석을 수행하였다. RNS 요인들은 원/달러 환율에 대해 주로 3∼6개월의 예측시계에서 유의하게 나타났다. 또한 RNS 요인들은 원화 carry-trade 수익률에 대해서도 유의한 예측력을 보여 원화 리스크 프리미엄 정보에 관한 중요한 정보가 반영된 것으로 나타났다. RNS 요인들의 자본이동 예측분석을 수행한 결과 단기채권을 제외한 모든 항목에서 외국인 투자보다는 주로 거주자 해외투자에 대해서 높은 예측력을 가지고 있는 것으로 나타났다. 예측분석을 표본외 예측으로 확장하여 분석한 결과, 환율이나 원화 초과수익률의 경우 예측방정식 구조의 불안정성으로 인해 RNS 요인의 표본외 예측력이 역사적 평균모형에 미치지 못하였다. 그러나 자본이동 예측에 있어서는 장기채권이나 주식 등의 항목에서 RNS 요인의 예측능력이 표본외 분석에서도 특정 만기의 한미 이자율 격차나 역사적 평균모형보다 우수한 것으로 나타났다.
Abstract
This paper studies the predictability of won/dollar exchange rate, carry trade return on Korean won, and capital flows via the relative Nelson-Siegel factors (henceforth, RNS factors). These factors summarize information on differences in the interest rate term structures between Korea and US treasury bonds. Empirical analysis shows that the RNS factors have significant predictive power on the won/dollar exchange rate, mainly in the 3-6 month forecast horizons, and furthermore on the carry trade return on the Korean won, which indicates that the the RNS factors reflect important information about the risk premium for the Korean won. It was also empirically found that across all the capital flow items with the exception of short-term bonds, the RNS factors have higher predictive power for capital outflow than capital inflow. Lastly, out-of-sample analysis shows, as for won/dollar exchange rate and carry trade return on Korean won, the RNS factor model does not outperform the historical mean model, possibly due to unstable structure of predictive equations. However, in predicting some items, such as long-term bonds and equities, of capital flows, the RNS factors outperfom the interest rate spread for a specific maturity and historical mean models.
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