위험이 조정된 수익률과 이자율평가
Risk Adjusted Rate and Interest Parity
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참고문헌
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초록
이 연구는 국제 포트폴리오 자본이동의 결정요인으로서 수익률뿐 아니라 위험을 고려하여 “위험이 조정된 수익률(Risk Adjusted Rate of Return)”의 개념을 개발 하였으며, 이를 사용하여 이자율평가가 성립되는지를 살펴보았다. 또한 국가별로 자본시장의 특성이 서로 달라서 위험과 거래비용이 상이하게 되는데, 수정된 이 자율 평가모형(Revised Interest Parity)을 사용하여 선진국 간, 선진국-아시아 국 가, 아시아 국가 간 자본시장에서 위험의 크기를 추정하였다. 1994.1-2008.7 동 안 선진국과 아시아 국가의 월별자료를 사용한 실증결과에서 선진국의 경우 포트 폴리오 자본이동이 나타나면서 이자율평가가 성립하지 않는데 반해, 아시아 국가 에서는 차익거래를 목적으로 하는 자본이동이 발생하면서 이자율평가가 성립하 는 것으로 나타났다. 위험조정계수는 선진국 간에는 양(+)의 부호를, 선진국-아 시아 국가 간에는 음(-)의 부호를 보이고 있다.
Abstract
This paper purposes to empirically examine whether UIP holds, using “risk adjusted rate of return” for international portfolio flows. This study also examines the coefficient of risk factor between countries in estimating the adjusted UIP model. Using the monthly data of the developed and Asian emerging markets during 1994.1-2008.7, evidence strongly supports our research hypothesis. When using the risk adjusted rate of return, the UIP holds between the emerging and the developed markets, while the UIP does not hold between the developed markets. Risk factors are statistically significant and different, which are positive between the developed markets, and are negative between the emerging and the developed markets.
참고문헌 (39)
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