한국의 주식시장과 채권시장 간 관계 변화 분석
A study of the changing relationship between the stock and bond markets in Korea
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초록
본 연구는 2000년 1월부터 2024년 3월까지 주간자료를 사용한 NARDL 한계검정법을 통해 한국의 주식시장과 채권시장 간 비선형적 관계를 실증적으로 분석하였다. 이때, 글로벌 금융위기와 팬데믹 등의 세계 주요 사건을 중심으로 두 시장 간 관계 변화 여부를 파악하기 위해 분석 기간을 글로벌 금융위기 이전, 글로벌 금융위기 기간, 글로벌 금융위기 이후, 팬데믹 기간, 팬데믹 이후 기간의 5개 기간으로 구분하여 분석하였다. 실증분석 결과, 미국 금융시장의 변동성 증가는 국내 주식시장에 장기적으로 부정적 영향을 미치는 것으로 나타났으며, 국내 주식시장과 채권시장 간 장기적인 대체 관계가 글로벌 금융위기를 겪으면서 더는 성립하지 않는 것으로 나타났다. 또한, 이러한 두 자본시장 간 관계 변화는 불확실성이 확대되는 상황에서 더 크게 작용함을 확인하였다. 이상의 분석 결과는 안전자산으로서 채권에 대한 인식이 약화한 상황 속에서 국내 채권시장의 기능 및 신뢰성 강화를 위한 정책적 노력이 필요하고, 불확실성 확대에 대응하여 자본시장의 안정적 발전 및 기능 강화를 위한 재정정책의 중요성 및 변동성 확대에 따른 위험 최소화를 위한 투자자들의 유동적인 포트폴리오 구성의 노력이 수반되어야 함을 시사하였다.
Abstract
This study empirically analyzed the nonlinear relationship between the stock market and the bond market in Korea using the NARDL bounds testing approach with weekly data from January 2000 to March 2024. To examine the impact of major global events such as the global financial crisis and the pandemic on the relationship between the two markets, the analysis period was divided into five segments: pre-global financial crisis, during the global financial crisis, post-global financial crisis, during the pandemic, and post-pandemic. The empirical analysis revealed that increased volatility in the U.S. financial market has a long-term negative impact on the domestic stock market, and the long-term substitutive relationship between the domestic stock market and bond markets ceased to existed following the global financial crisis. Furthermore, these changes in the relationship between the two capital markets are more pronounced during periods of heightened uncertainty. These findings suggest that, given the weakened perception of bonds as safe assets, policy efforts are needed to enhance the functionality and reliability of the domestic bond market. Furthermore, in a environment of increased uncertainty, fiscal policies must play a crucial role in ensuring the stable development and strengthening of capital market functions. Investors are advised to minimize risk by constructing flexible portfolios based on changes in the relationship between the two capital markets.
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