금융시장 국면의 구조적 변화 추정
Estimation of Structural Changes with Regime of Financial Markets
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본 논문은 1993년 4월부터 2022년 3월까지 중남미 국가인 멕시코, 칠레, 브라질 및 페루의 주식수익률과 환율 변동 간의 동적 상호관계를 분석하고자 하였다. 일변량 Markov Switching 모형(MS-AR)과 다변량 Markov Switching 모형(MS-VAR)이 사용되었다. 일변량 분석은 중남미 국가의 주식수익률과 환율이 저변동성 국면과 고변동성 국면에 따라 변화된다는 증거를 제공하였다. 다변량 Markov Switching 모형(MS-VAR)은 환율이 주식시장에 미치는 영향보다 주식시장이 환율에 더 큰 영향을 미친다는 결과를 나타내었다. 본 연구의 MS-VAR 모형결과는 1-국면의 브라질만 환율변동에서 주식수익률로 통계적으로 유의하게 양(+)의 영향을 미친다는 본 연구의 결과와 Dornbusch와 Fisher(1980)의 결과와 일치하였다. 반면에 1-국면의 멕시코와 브라질의 주식수익률은 환율변동에 미치는 음(-)의 영향이 유의하였고 2-국면의 멕시코의 주식수익률은 환율변동에 양(+)의 유의한 영향을 미쳤다는 본 연구의 결과는 주식수익률에서 환율변동으로 음(-)의 영향을 미친다는 Branson(1983), Frankel(1983)의 결과와 일치하였다. 이러한 멕시코과 브라질 시장의 결과는 주식시장과 외환시장 간의 전이효과와 전염효과에 대한 증거를 제공할 수 있다. 따라서 MS-AR과 MS-VAR 모형을 통해 남미 국가의 주식시장과 외환시장은 자국의 고유한 충격을 내포하고 현저히 대칭이거나 비대칭 변동성충격(volatility shocks) 등으로 인해 동시적인 구조적 변화(simultaneous structural changes)가 통계적으로 유의하게 존재하였다는 것을 확인하였다.
Abstract
This paper was to analyze the dynamic interrelation between stock returns and exchange rate fluctuations in Mexico, Chile, Brazil and Peru, which are Latin American countries from April 1993 to March 2022. Univariate Markov Switching Model(MS-AR) and Multivariate Markov Switching Model(MS-VAR) were used. Univariate analysis provided evidence that stock returns in Latin American countries changed through two regimes: a low volatility regime(1-regime) and a high volatility regime(2-regime). Multivariate Markov Switching model(MS-VAR) showed that the stock market had a greater effect on the exchange rate than the exchange rate did on the stock market. The results of the MS-VAR model of this study were consistent with the results of Dornbusch and Fisher (1980), which showed that the exchange rate fluctuations in Brazil only had a statistically significant positive effect on the stock return in the 1-regime. On the other hand, this study found that the stock returns of Mexico and Brazil in 1-regime had a significant negative effect on exchange rate fluctuations, and that the stock returns of Mexico in 2-regime had a significant positive effect on exchange rate fluctuations. The results of this study were consistent with those of Branson (1983) and Frankel (1983) that exchange rate fluctuations had a negative effect on stock returns. These results from the Mexican and Brazilian markets can provide evidence for the spillovers and contagion effects between the stock markets and the foreign exchange markets. Therefore, through the MS-AR and MS-VAR models, it was confirmed that most stock markets and foreign exchange markets of Latin American countries, including their own shocks, had significant simultaneous structural changes due to statistically significant symmetrical or asymmetric volatility shocks.
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