글로벌 금융위기 이후 선진 금융시장의 미달러화 대비 무위험금리평형 이탈확대 유발요인 분석 및 잠재리스크 평가
Analyzing Deep Deviation from Covered Interest Rate Parity for US dollar in the Advanced Financial Market after Global Financial Crisis and its Potential Risk
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글로벌 금융위기 이후 선진 금융시장에서 미달러화 대비 무위험금리평형(CIP: Covered Interest Rate Parity)의 이탈현상이 이례적으로 높은 수준을 지속하고 있다. 이는 미연준과 ECB 및 BOJ간 통화정책 차별화로 인해 유발된 달러유동성 수요우위 압력과 함께 금융규제 강화 등에 따른 은행부문의 디레버리징에 상당부분 기인한 것으로 분석되었다. 앞으로도 미연준의 통화정책 정상화가 지속적으로 추진되면서 선진 중앙은행간 통화정책 차별화가 이어질 것으로 보여, 동 현상은 상당기간 지속될 것으로 전망된다. 한편 이같은 CIP 이탈확대(스왑베이시스 하락, 재정거래 유인증대)에 따라 금융규제의 영향을 상대적으로 적게 받고 있는 비은행금융기관 등이 달러차입 등을 통해 재정거래 포지션(달러 현물환 매도 & 달러 선물환 매입<또는 스왑베이시스 매도>, 로컬통화 표시 채권매입)을 누적시킬 가능성이 높은 것으로 보인다. 만약 미연준의 통화정책 정상화 추진과정에서 글로벌 금리의 상승속도가 예상보다 빨라지는 가운데 달러유동성 선호현상이 더욱 강화될 경우 동 포지션의 평가손 확대 등에 따라 연쇄적인 반대매매(달러 현물환 매입 & 달러 선물환 매도<또는 스왑베이시스 매입>, 로컬통화 표시 채권매도)가 출회되면서 글로벌 금융시장 전반에 걸쳐 불안정성을 증대시키는 요인으로 작용할 가능성에 유의할 필요가 있는 것으로 보인다.
Abstract
The extraordinary deep deviation from covered interest rate parity(CIP) for US dollar, which has been continuing in the advanced financial market since the global financial crisis, has been fairly caused by the demand increasing for US dollar liquidity in the advanced financial market due to the monetary policy differentiation between Fed and ECB/BOJ, as well as due to deleveraging of banking sector by tightened regulations. This phenomenon is expected to continue for a while, as the monetary policy normalization of Fed is expected to continue and differentiated monetary policy among the advanced central banks will continue at least in the mid-term. Meanwhile, it is necessary to keep in mind that global non-bank financial institutions may be accumulating the position, which is selling US dollar spot, buying US dollar forwards, and buying local currency denominated bonds by US dollar borrowings to take arbitrage gain from the deep CIP deviation. Specially, if interest rate rises and dollar liquidity preference is strengthened in global financial market during the normalization process of US monetary policy, there is a potential risk that the global market instability will be further amplified during the liquidation of arbitrage transaction position, which is buying US dollar spot, selling US dollar forwards, and selling local currency denominated bonds, due to mark to market loss increasing.
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