통화정책 및 거시경제 뉴스 충격이 수익률 곡선의 변동성에 미치는 영향
The Effects of Monetary Policy and Macroeconomic News Shocks on the Volatility of Yield Curves
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본 연구는 Bauer (2015)의 모형을 원용하여 통화정책 및 여타 거시경제 뉴스 충격이 채권수익률 곡선 변동성 전반에 미치는 영향을 실증분석함으로써 뉴스 발표 등이 개별 채권수익률에 미치는 영향을 분석하는 기존 연구와 차별화하였다. 이를 위해 본 연구에서는 2005.7월~2020.7월 기간에 대해 만기별 채권수익률 및 통화정책, 거시경제 뉴스 발표일 등 다양한 일자별 및 시간대별 시계열 자료를 구축하고 실증분석을 수행하였다. 주요 분석 결과는 다음과 같다. 첫째, 통화정책 결정일에 향후 경제전망을 발표하지 않았던 2005년 7월부터 2012년 9월까지 분석해 본 결과, 여타 뉴스 발표일 대비 통화정책 결정일에 채권수익률 곡선의 변동성이 상대적으로 큰 것으로 나타났다. 둘째, 2012.7월~2020.7월 기간에 대해 경제전망 미포함 통화정책 및 여타 거시경제 뉴스 발표일과 비교할 경우, 경제전망을 포함한 통화정책 발표일의 경우 채권수익률 곡선의 변동성이 단기 및 중장기 영역 모두에서 더욱 확대되는 것으로 나타났다. 즉, 통화정책 충격이 단기금리는 물론 장기금리의 변동성에도 적지 않은 영향을 미치는 것으로 나타났다. 마지막으로, 통화정책 발표일 내에서의 채권수익률 곡선의 변동성을 분석한 결과, 통화정책 발표 이후 시간이 지날수록 대체로 장기의 수익률 곡선 변동성이 더욱 확대되는 것으로 나타났다. 한편, 경제전망이 포함된 통화정책 발표일과 경제전망이 미포함된 통화정책 발표일 간의 변동성 차이를 분석한 결과, 오전에는 변동성의 기울기 및 곡률을 중심으로 유의한 차이를 보였으며 오후 시간대로 갈수록 변동성의 수준에서 통계적으로 유의한 차이가 있는 것으로 나타났다.
Abstract
We investigated the effects of monetary policy actions and other macroeconomic news shocks on the overall volatility of yield curves in Korea using Bauer (2015) model. To this end, we compiled time series from not only daily and hourly bond yields by maturity, but also daily news releases of monetary policy and macroeconomy for the period from July 2005 to July 2020. The main empirical findings can be summarized as follows. First, the volatility of yield curves was relatively large for the monetary policy decisions dates from May 2005 to June 2012, compared to the dates of other news releases. On the dates of monetary policy decisions for the period, the economic outlook was not announced. Second, the volatility of interest rates across maturities was further expanded in both short- and long-term areas on the dates of monetary policy announcement with the economic outlook, from July 2012 to July 2020, compared to other news dates. In other words, the impact of monetary policy was found to have significant effects on the volatility of both short- and long-term interest rates. Finally, for the volatility of the yield curves within dates of the monetary policy announcement, the volatility of long-term interest rates generally increased as time passed. In addition, we further analyzed the differences of the volatility in yield curves within monetary policy decisions dates between the dates of policy announcement including economic outlook and the dates without the economic outlook. The estimation results indicated that significant differences were found in terms of the slope and curvature in the morning while they were found in terms of the level as it went into the afternoon.
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