글로벌 금융시장 간의 변동성 추정
Estimating Volatility between Global Financial Markets
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초록
본 논문은 일반화 분산분해방법을 사용하고 신속하게 이용가능한 다변량 Markov 국면전환모형(MS)을 벡터자기회귀모형(VAR)과 결합하여 글로벌 금융시장 간의 변동성 전이지수를 분석하고자 하였다. 결과로 첫째, 단일 국면모형의 변동성 전이지수에 따르면, 유럽 금융시장은 타시장으로부터영향을 받는 것보다는 더 영향을 미치는 시장이었고 한국과 일본은 타시장에 영향을 미치지 못하고 타시장으로부터 영향을 받는 시장으로 나타났다. 둘째, MS－VAR 모형에서 금융위기 동안한국시장은 최대의 변동성을 보여주었고 한국은 선진국과의 통합이 강화되어 타국가 간의 평균및 분산이 현저히 급등하였고 한국, 미국 및 유럽 간의 강력한 선도－지연 상호작용이 존재하였다. 셋째, MS－VAR 모형하의 변동성 전이지수에 따르면, 혼란기(2－국면)에서 한국, 프랑스 및일본은 타시장의 변동성 충격에 의해 더 크게 영향을 받는 정도가 단일 국면모형의 결과와 거의동일하였으나, 미국의 경우, 변동성 충격을 통해 파급된 총전이지수는 가장 높아 타시장의 금융어려움에 현저하게 영향을 미쳤다. 넷째, 평활화 국면확률에서 금융위기 동안 글로벌 금융시장간의 국제적 통합과 이와 연계된 구조적 변화를 보여주었다. 따라서 MS－VAR 모형을 통해 한국을 포함한 8개의 금융시장의 변동성 전이지수와 이를 바탕으로 혼란기 동안의 강력한 전이효과와 안정기 동안의 완화된 전이효과를 파악할 수 있는 글로벌 금융시장 간의 변동성 전달 메커니즘을 이해할 수 있었다.
Abstract
This paper aims to incorporate the multivariate Markov regime switching model (MS) with the vector autoregressive model (VAR), and analyzing the volatility spillovers index between global financial markets. As a result, first, according to the spillovers index of the single regime model, European financial markets were more affected than other markets, and Korea and Japan had no influence on other markets but were affected by other markets. Second, in the MS－VAR model, the Korean market showed the highest volatility during the financial crisis, Korea strengthened its integration with developed countries, significantly increased the mean and variances among other countries, and strong lead－lag interactions between Korea, the United States, and Europe. Third, in the spillovers index under the MS－VAR model, Korea, France, and Japan were more affected by volatility shocks in other markets, which was almost the same as that of the single regime model in the turbulent period (2－regime). Specifically, in the United States, the total spillovers index through the volatility shocks had the greatest impact on the financial difficulties of other markets. Fourth, the probability of smoothing regime showed the integration and structural changes linked to global financial markets during the financial crisis. Therefore, the MS－VAR model has helped us understand the volatility spillovers index and the mechanisms of volatility spillovers to detect the strong spillovers effect among global financial markets including Korea during the chaotic period.
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