유가 불확실성과 주가지수 수익률: 비선형모형을 이용한 분석
Oil Price Uncertainty and Stock Index Returns: Evidence from the Nonlinear Model
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본 연구는 유가 불확실성의 변화가 우리나라 주가지수 수익률에 어떠한 영향을 미치는지를 LSTAR모형을 이용하여 분석한다. 본 연구에서 유가 불확실성은 유가에 대한 옵션가격을 통해 산출되는 내재변동성지수인 원유변동성지수(OVX)를 이용하였다. LSTAR모형을 추정한 결과, 유가 불확실성의 변화 정도에 따라 주가가 비대칭적으로 반응하는 것으로 나타났다. 환율 변화율을 추가하였을 경우 유가 불확실성이 감소할 때보다 유가 불확실성이 크게 증가하는 시기에 환율 상승(원화의 평가 절하)으로 인한 주가 상승효과가 더 큰 것으로 나타났으며, 미국 달러화 가치의 변화를 추가적으로 고려한 추정결과에서도 큰 차이를 보이지 않았다. 이러한 결과는 유가 불확실성의 변화가 큰 시기에 환율 변화에 더 주의할 필요가 있음을 의미한다.
Abstract
The purpose of this study is to examine the nonlinear effect of oil price uncertainty on stock index returns in Korea. To do this, we adopt a LSTAR model by utilizing the daily KOSPI index obtained from Fn-Guide database and the OVX index from COBE. The empirical results from the LSTAR model indicates that the long-run mean of stock index returns is positive (negative) when the changes in oil price uncertainty is relatively low (high). Additionally, we found the greater effect of the changes in Won/dollar exchange rate on stock index returns when the changes in oil price uncertainty is high compared with when those in oil price uncertainty is low. This result is robust when we include the changes in the US dollar value (proxied by the changes in the broad index obtained from FED) in the LSTAR model. This result suggests that investors and policy makers should concern the changes in exchange rate more when the changes in oil price uncertainty is high.
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