유로존 위기와 유럽 국채금리의 결정요인에 관한 연구
Determinants of the Sovereign Bond Yield Rate of Eurozone Countries in the Context of the Euro Crisis
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
본 연구는 재정위기의 확산현상을 연구함에 있어 유로존 회원국 국채금리의 결정요인을 분석하였다. 유로화 도입을 전후하여 각국의 국채금리는 하락하여 장기간 독일 국채금리를 중심으로 수렴현상이 유지되었다. 그러나 글로벌 금융위기 이후 취약국의 국채금리가 연쇄적으로 상승하면서 국채 간 금리격차는 확대되었으며, 이는 유로화 체제에대한 위기의식으로 이어졌다. 이 현상은 유럽중앙은행의 국채매입 선언 이후 완화되었다. 본 연구에서는 시기별 유로존 국채금리의 결정요인을 분석하고, 비유로존 국가와의비교를 통해 유로존만의 특수성을 도출하고자 하였다. 실증분석 결과 유로화 도입 이전 재정 및 거시경제상황과 관련된 일반적인 설명변수들은 유로존과 비유로존 회원국의 국채금리에 대해 높은 설명력을 보였다. 반면에 유로화 도입 이후에는 재정관련 변수는 유로존 국채금리 형성에 점차 영향을 미치지 못하였고, 이 현상은 글로벌 금융위기 직전까지 지속되었다. 반면에 2008년의 글로벌 금융위기 이후 국채금리는 각국의 재정상황에 대해 보다 민감하게 반응하기 시작하였으며, 특히 경상수지가 국채금리에 큰 영향을 미치는 것으로 나타났다. 유럽중앙은행의 국채매입 선언 이후 경상수지가 국채금리에 미치는 영향은 현저히 줄어들었으나, 재정수지는 과거에 비해 더 큰 영향을 미치는 것으로 나타났다. 한편 과거에 비해 글로벌 리스크 요인이 유로존 국채금리에 미치는 영향력도 크게 증가한 것으로 나타나는 바, 유로존 국채시장 또한 국제적 차원의 불확실성 증가에 큰 영향을 받는 것으로 나타났다.
Abstract
This study focuses on determinants of sovereign bond yield rate of Eurozone countries in the context of the Euro crisis. Sovereign bond yield rates had been considerably lowered during the preparation of introducing euro and remained converged to German bund level. However, sovereign bond yield rates started to diverge each other from the global financial crisis and fragile countries in Eurozone faced sovereign crisis. European Central Bank has intervened in financial market in increasingly active manner and the crisis was mitigated by its announcement of the Outright monetary transaction (OMT). This study analyzes determinants of sovereign bond yield rates focusing on different periods and examine them in comparative manner for euro and non-euro countries. The empirical study shows that fiscal and macroeconomic variables explained well yield rates of sovereign bond before the introduction of euro. However, fiscal variables increasingly lost their explanatory powers since the introduction of the single currency and this trend had continued till the global financial crisis in 2008. After the crisis, the yield rats started to respond increasingly to fiscal deficit and current account. Since ECB's OMT announcement, influence of current account to yield rate reduced, while fiscal deficit have relatively strong effect on yield rate. In addition, global risk perception seems to exert increasingly strong impact to government bond yield rate of Eurozone countries. This means that Eurozone sovereign markets have been increasingly sensitive to global risk factors.
참고문헌 (43)
- "국제금융센터"[URL]
- 대신증권, "1년 전과 비교해본 유럽 재정위기", 투자포커스 (2011)
- The Determinants of Sovereign Bond Yield Spreads in the EMU, "Afonso, Antonio", School of Economics and Management, Technical University of Lisbon, ~, pp.School of Economics and Management, Technical University of Lisbon Working Paper. No. 36 (2012)
- External Imbalances and Financial Fragility in the Eurozone, "Alessandrini, Pietro", MoFiR, ~, pp.MoFiR Working Paper. No. 66 (2012)
- The EMU Sovereign-debt Crisis: Fundamentals, Expectations and Contagion, "Arghyrou, Michael G.", Cardiff Economics, ~, pp.Cardiff Economics Working Papers. E2010 (2010), 9
- What Explains the Surge in Euro Area Sovereign Spreads during the Financial Crisis of 2007-09?, "Attinasi, Maria-Grazia", ECB, ~, pp.ECB Working Paper. No. 1131 (2009)
- What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk, "Aizenman, Joshua", NBER, ~, pp.NBER Working Papers. No. 17407 (2011)
- Determinants of Intra-euro Area Government Bond Spreads during the Financial Crisis, "Barrios, Salvador", European Economy Economic, ~, pp.European Economy Economic Papers. No. 388 (2009)
- Do Credit Markets Discipline Sovereign Borrowers?“, "Bayoumi, Tamim", CEPR, ~, pp.CEPR Working Paper. No. 1081 (1995)
- Beber, Alessandro, "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market", Review of Financial Studies, 22(22), pp.925~957 (2009)
- Sovereign Risk Premia in the European Government Bond Market, "Bernoth, Kerstin", ECB, ~, pp.ECB Working Paper Series. No. 369 (2004)
- Sovereign Bond Yield Spreads: a Time-varying Coefficient Approach, "Bernoth, Kerstin", DIW, ~, pp.DIW Berlin Discussion Papers. No. 1078 (2010)
- [URL]
- Codogno, Lorenzo, "Yield Spreads on EMU Government Bonds", Economic Policy, 18(37), pp.503~532 (2003)
- The ECB's Non-standard Monetary Policy Measures: the Role of Institutional Factors and Financial Structure, "Cour-Thimann, Philippine", ECB, ~, pp.ECB Working Paper Series. No. 1528 (2013)
- "Datastream"[URL]
- The European Central Bank: Lender of Last Resort in the Government Bond Markets?, "De Grauwe, Paul", CESifo, ~, pp.CESifo Working Paper. No. 3569 (2011)
- Only a More Active ECB an Solve the Euro Crisis, "De Grauwe, Paul", CEPS, ~, pp.CEPS Policy Brief. No. 250 (2011)
- Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone, "De Grauwe, Paul", CEPS, ~, pp.CEPS Working Document. No. 361 (2012)
- Recent Estimates of Sovereign Risk Premia for Euro-area Countries, "Di Cesare, Antonio", Bank of Italy. Questioni di Economia e Finanza, ~ (2012)
- "European Central Bank"[URL]
- Decision of the European Central Bank of 14 May 2010 establishing a securities markets programme), "European Central Bank.", ~, pp.ECB, 2010[DOI]
- "Verbatim of the remarks made by Mario Draghi"[URL]
- "Press Release. 6 September 2012 - Technical Features of Outright Monetary Transactions" (2012)[URL]
- "Eurostat"[URL]
- Faini, Riccardo., "Fiscal Policy and Interest Rates in Europe, Economic Policy", Economic Policy, 21(47), pp.443~489 (2006)
- Favero, Carlo, "Sovereign Spreads in the Eurozone: Which Prospects for a Eurobond?”", Economic Policy, 27(70), pp.231~273 (2012)
- Banking and Sovereign Risk in the Euro Area, "Gerlach, Stefan", Deutsche Bundesbank, ~, pp.Discussion Paper Series 1. No. 09 (2010), 2010
- The Impact of Monetary Union on EU-15 Sovereign Debt Yield Spreads, "Gomez-Puig, Marta", University of Barcelona, ~, pp.Working Paper in Economics. No. 147 (2006)
- Goldstein, Morris, "Establishing a Central Bank" (1992), Cambridge University Press
- What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area, "Haugh, David", OECD Economics Department, ~, pp.Working Paper. No. 718 (2009)
- “Expected Budget Deficits and Interest Rate Swap Spreads - Evidence for France, Germany and Italy, "Heppke-Falk, Kerstin", Deutsche Bundesbank, ~, pp.Deutsche Bundesbank Discussion Paper. No. 40 (2004), 2004
- International Monetary Fund, "IMF Fiscal Monitor Update", ~ (2012)
- Laubach, Thomas, "New Evidence on the Interest Rate Effects of Budget Deficits and Debt", Journal of the European Economic Association, 7(4), pp.858~885 (2009)
- Maltritz, Dominik, "Determinants of Sovereign Yield Spreads in the Eurozone: A Bayesian Approach", Journal of International Money and Finance, (31), pp.657~672 (2012)
- "Oxford Economics"[URL]
- Pagano, Marco, "The European Bond Markets under EMU", Oxford Review of Economic Policy, 20(4), pp.531~554 (2004)
- Shambaugh, Jay C, "The Euro's Three Crises", Brookings Papers on Economic Activity, 44(Spring), pp.157~231 (2012)
- "Are You Still Loyal to Europe?': Euro Crisis Damages Germany's Reputation" (2010)[URL]
- "Development in Interest Rates on 10-year Government Bonds"[URL]
- The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments?, "Szczerbowicz, Urszula", CEPII, ~, pp.CEPII Working Papers 2012-36 (2012)
- Von Hagen, Jürgen, "Government Bond Risk Premiums in the EU Revised: The Impact of the Financial Crisis", European Journal of Political Economy, (27), pp.36~43 (2011)
- "They still don’t get it" (2011)[URL]