금융자산 가격들의 경기예측력 연구 (Financial Market Variables as Predictors of Korea’s Real Economic Activity)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 32권 / 1호 / 121 ~ 167페이지
· 저자명 : 김기범, 구자천, 구본일

초록

본 연구는 기간 스프레드, 신용 스프레드 및 주식 수익률과 같은 채권과 주식시장의 가격변수가미래 경제상황에 대한 정보를 갖고 있는지를 분석했다. 미래 경제상황의 변화에 대한 척도로는1996년 1월부터 2017년 7월까지의 산업생산지수의 전기대비 증가율을 활용했고 분석 방법은Estrella and Hardouvelis(1991)가 제시한 선형예측모형을 적용했다. 연구 결과는 다음과 같다.
첫째, 미래 경제활동의 추세적인 측면에서 신용 스프레드는 6개월, 주가 수익률은 1년 이내의단기적인 예측력을 갖는 데 반하여, 기간 스프레드는 1년 이상의 장기적인 예측력을 갖는 것으로나타났다. 둘째, 전체 기간을 2007년 이전과 이후로 구분할 때 기간 스프레드가 갖는 예측력의변화가 존재했다. 이전 시점과 비교하여 2007년 이후에는 기간 스프레드의 예측력이 상대적으로더 커진 것으로 나타났다. 셋째, 정책변수로서 콜금리를 모형에 포함시키더라도 기간 스프레드의예측력은 줄어들지 않는 것으로 나타났다. 마지막으로 해외 금융시장 변수가 미래 우리나라경제상황의 변화에 대한 추가적인 정보를 갖고 있는지 알아보기 위하여 미국의 기간 스프레드를고려했다. 그 결과, 2007년 이전에는 예측력이 존재하지 않았으나 2007년 이후로는 우리나라의미래 경제상황에 대하여 18개월 정도의 시차를 갖는 예측력이 존재하는 것으로 나타났다.

영어초록

Throughout the media, it is often said that the steepening of the yield curves has indicated confidence in economic growth and that there has been a relationship between equities and the yield curve. In the early 1990s, usually in the US, forecasts of future economic activity highlighted the usefulness of financial market price variables. Previous researches have also shown that the financial market variables lead the real economic activity by a few quarters and can therefore help predicting future business cycle. Because liberalization of the Korea financial market started in the 1990s, it is believed that not many studies have been conducted to analyze the predictive power of financial market variables.
This study aims to enhance the understanding of financial market variables as predictors of Korea’s real economic activity. To this end, we regress the annualized cumulative and marginal percentage change in the monthly Industrial Production Index on the financial market variables in the stock and bond market by adopting the econometric method of Estrella and Hardouvelis (1991).
The financial market variables consist of two parts. First is composed of Korea’s term spreads, credit spreads and KOSPI return as domestic variables.
Second is US term spread as a foreign variable. We can think of the local business cycles in the countries as having two components; a part affected by movements in the world business cycle, and a country specific component (Campbell, 1991).
The main results are summarized as follows. First, on the annualized cumulative percentage change in the monthly Korea’s Industrial Production Index, KOSPI return or credit spreads are likely to provide short-term forecast for less than six months. It turns out that the term spread has long-term predictability over the past year. Second, there was a shift in the predictive power of the term spread when we divided the entire period before and after 2007. Compared with the previous period, it was found that the predicted power of the period spread was relatively better after 2007. Third, even if the call rate is included in the model as a monetary policy variable, the predictive power of the term spread has not been decreased.
Finally, we considered the US term spread to see if the foreign financial market variables have further information on changes in the future Korean economy. It was revealed that the forecast power did not exist before 2007, but the prediction power was most widely held about the future economic situation in Korea for about 18 months since 2007.
To sum up the results, The first and third results are thought to be similar to the results of previous studies, such as Estrella and Hardouvelis (1991). The second is judged to be that the quality of information distributed by the financial market has improved as Korea’s financial market has become more liberalized. The fourth is believed to be in line with the earlier domestic studies showing that the integration between Korea’s real economy and the United States has grown since 2007.

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