국면전환모형을 이용한 선진국 채권시장간 변동성 행태분석 (Regime Switching Volatility Analysis on International Bond Markets: Evidence from Developed Countries)

32 Pages Posted: 19 Aug 2017 Last revised: 10 Jan 2019

See all articles by Yongjin Park

Yongjin Park

The Bank of Korea

Kyuho Kang

Washington University in St. Louis - Department of Economics

Date Written: December 31, 2005

Abstract

Korean Abstract: 본고에서는 대규모 외환보유액을 운용하는 대형투자자입장에서 중앙은행 외환보유액의 주요 투자처인 미국, 유럽, 일본, 영국 등 최선진국 채권시장을 대상으로 변동성의 존재, 상호 파급여부 및 동시확대국면 지속기간을 분석하였다. 분석결과 상대적으로 안정적으로 평가받는 미국 등 최선진국 채권시장에서도 역시 변동성(volatility clustering)이 존재하고 분석대상 채권시장 상호 간에 서로 영향을 주고받는 것으로 확인되었다. 또한 미국과 여타지역 채권시장간에는 변동성 동시확대국면 지속기간이 매우 짧거나 드문 것으로 나타난 반면 미국이외지역 상호간에는 변동성 동시확대국면이 상대적으로 자주 발생하고 지속기간도 길었던 것으로 드러났다. 이와 같은 결과를 바탕으로 여러 가지 정책적 시사점을 도출할 수 있었다.

English Abstract: This paper highlights the dynamics of volatility among international bond markets, Especially focusing on the developed countries, we analyze the regime shifts in volatility between mutual bond markets, along with the existence of volatility and its spillover effect. From the estimation results, we could find that the expected duration of high volatility between U.S. bond market and the other bond market was relatively short. However, the regime of high volatility between the international bond markets except U.S. was not only more frequent, but the expected duration was more persistent compared with the case that U.S. was included. Based on those empirical results, we could derive some policy implications.

Note: Downloadable document is in Korean.

Keywords: 주요선진국 채권시장 변동성, Bivariate Markov-Switching GARCH Model, 변동성 파급, 동시확대국면 지속기간, International Bond Market Volatility, Bivariate Markov-Switching GARCH Model, Regime Shifts in Volatility

JEL Classification: G15, C32

Suggested Citation

Park, Yongjin and Kang, Kyuho, 국면전환모형을 이용한 선진국 채권시장간 변동성 행태분석 (Regime Switching Volatility Analysis on International Bond Markets: Evidence from Developed Countries) (December 31, 2005). Financial Stability Studies, Vol. 6, No. 2, Korea Deposit Insurance Corporation(KDIC), 2005, pp. 49-80.. Available at SSRN: https://ssrn.com/abstract=3019837 or http://dx.doi.org/10.2139/ssrn.3019837

Yongjin Park (Contact Author)

The Bank of Korea ( email )

39, Namdaemun-ro, Jung-gu
Seoul, 04531
Korea, Republic of (South Korea)

Kyuho Kang

Washington University in St. Louis - Department of Economics ( email )

One Brookings Drive
St. Louis, MO 63130
United States

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