홈바이어스가 위험분담 및 소비평준화에 미치는 영향
The Effect of Home Bias on Risk Sharing and Consumption Smoothing
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초록
본 논문은 OECD국가를 대상으로 하여 주식 및 채권투자의 홈바이어스가 개선되고 있음을 확인하고, 이러한 변화가 어떠한 경제적효과를 가지는 지 검증하였다. 특히 홈바이어스의 개선이 위험분담과 소비평준화에 미치는 영향에 대해 살펴보았다. 위험분담은 개별국가의 총소비증가가 전세계 소비증가에 의존하는 정도에 의해 측정하였으며, 소비평준화는 소비변동성이 소득변동성에 비해 얼마나 낮은지를 통해 측정하였다. 본 논문의 결론은 다음과 같다. 보다 최근의 데이터를 사용한 경우 주식투자의 홈바이어스 개선은 위험분담을 증진시킴을 확인할 수 있었다. 하지만 채권투자의 홈바이어스 개선은 위험분담을 증진시키지 못하였다. 뿐만 아니라 주식 및 채권의 홈바이어스 개선은 소비평준화를 개선시키지 못하였다. 반면 일인당 GDP의 상승은 위험분담과 소비평준화를 모두 개선시켰다. 일인당 GDP의 상승이 위험분담과 소비평준화를 개선시키는 현상은 금융발전, 무역개방도, 금융위기 등을 적절히 통제하고도 계속되어 이러한 효과가 어떠한 경로를 통해 이루어지는지 구체적인 분석이 필요해 보인다.
Abstract
This paper confirms that both stock and bond home bias among OECD countries are improving and examines the economic impact of such change, with particular focus on its effect on risk sharing and consumption smoothing. Risk sharing is measured by how much the increase in a country’s total consumption depends on the global consumption growth; and consumption smoothing is measured by how low consumption volatility is compared to the income volatility. This study finds that improvement in stock home bias increases risk sharing in more recent data, but it is not the case in the bond home bias improvement. In addition, both stock and bond home bias improvement does not better consumption smoothing. On the other hand, per capita GDP growth improves both risk sharing and consumption smoothing. Such phenomenon persists after controlling financial development, trade openness, and financial crisis that it requires more detailed analysis on finding the exact channel of the effect.
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