장기채권시장의 수급요인이 장기금리 행태에 미치는 영향 (How the Imbalance between the Demand for and the Supply of Long-Term Bonds Affects Long-Term Interest Rate Movements in Korea?)

21 Pages Posted: 15 Aug 2017 Last revised: 27 Dec 2018

See all articles by Jeong-Eui Suh

Jeong-Eui Suh

The Bank of Korea - Policy Analysis Team

Date Written: June 30, 2008

Abstract

Korean Abstract: 피셔방정식이 의미하는 바 등을 감안할 때 최근 우리나라의 장기금리는 지나치게 낮은 수준에서 형성되고 있는 것으로 보인다. 장기금리의 움직임은 여러 가지 요인에 의해 영향을 받을 수 있겠으나, 본 연구에서는 최근의 장기금리 움직임이 채권시장의 수급요인에 의해 왜곡되고 있을 가능성에 초점을 두고 실증분석을 시행하였다. 그 결과 실제로 우리나라 장기금리는 채권공급을 상회하는 채권수요의 증가로 인해 2000년 하반기 이후 실물경제활동에서 결정되는 균형금리 수준을 지속적으로 하회하는 것으로 나타났다. 장기금리의 균형수준 하회는 실물경제 과열 및 자산가격급등, 기관투자가의 자산운용수익률 저하 등 여러 가지 부작용을 초래할 수 있다. 따라서 직접금융 관련 금융기관의 대형화를 통한 채권공급기반 강화, 기관투자가의 다양성 제고를 통한 장기채권 수요 완화 등 채권시장의 수급상황을 구조적으로 개선하기 위한 정책적 노력을 다각도로 경주해야 할 것이다.

English Abstract: For the past few years, it seems that long-term interest rates in Korea have remained at a very low level. This study empirically investigates the possibility that the recent movements of Korea’s long-term interest rates have been affected by the imbalance between the demand for, and the supply of long-term bonds. The results strongly imply that Korea’s long-term interest rates have, since the year 2000, moved well below their theoretical level derived from the Fisher equation. It is considered that the low level of Korea’s long-term interest rates has mainly been caused by the strong growth in demand for long-term bonds. Also, it seems clear that the strong growth in demand has mainly been led by institutional investors. If long-term interest rates stay well below their theoretical level for a long time, this can cause many undesirable phenomena such as the over-heating of the real economy and asset price bubbles. Therefore, financial policies aiming at resolving the imbalance in the long-term bond market, such as the restructuring of the securities industry and greater diversification among institutional investors in terms of asset management strategies etc. are urgently needed.

Note: Downloadable document is available in Korean.

Keywords: 장기균형금리, 피셔방정식, 채권시장 수급, 기관투자가, Long-term Interest Rate, Fisher Equation, Long-term Bond Market, Institutional Investors

JEL Classification: C10, E43

Suggested Citation

Suh, Jeong-Eui, 장기채권시장의 수급요인이 장기금리 행태에 미치는 영향 (How the Imbalance between the Demand for and the Supply of Long-Term Bonds Affects Long-Term Interest Rate Movements in Korea?) (June 30, 2008). Financial Stability Studies, Vol. 9, No. 1, Korea Deposit Insurance Corporation(KDIC), 2008, pp. 99-119.. Available at SSRN: https://ssrn.com/abstract=3018312 or http://dx.doi.org/10.2139/ssrn.3018312

Jeong-Eui Suh (Contact Author)

The Bank of Korea - Policy Analysis Team ( email )

United States

Register to save articles to
your library

Register

Paper statistics

Downloads
13
Abstract Views
127
PlumX Metrics