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Journal of Money & Finance

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수록정보
수록범위 : 1권1호(1988)~32권4호(2018) |수록논문 수 : 441
금융연구
32권4호(2018년) 수록논문
최근 권호 논문
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1주택담보대출규제가 주택가격에 영향을 미치는 경로 분석

저자 : 김영도 ( Young Do Kim )

발행기관 : 한국금융연구원 간행물 : 금융연구 32권 4호 발행 연도 : 2018 페이지 : pp. 1-35 (35 pages)

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본 연구는 우리나라에서 주택담보대출과 주택가격의 관계를 살펴보고, 이를 기반으로 주택담보대출 규제의 변화가 주택담보대출의 양과 주택가격에 미치는 영향을 살펴봄으로써 주택담보대출 규제가 영향을 미치는 경로를 파악하고 있다. 우선 주택가격과 주택담보대출 시계열 분석을 기반으로 장기적으로 주택담보대출과 주택가격은 안정적인 양의 관계를 가지고 있지만, 두 변수간의 영향은 다소 차이가 있음을 보이고 있다. 이를 바탕으로 우리나라에서 주택담보대출 규제(LTVㆍDTI 규제)의 변화가 주택담보대출과 주택가격의 미치는 영향을 파악하기 위해 패널 데이터를 구축하고, 이를 이용하여 규제변화 시점을 기준으로 시기의 전후로 주택담보대출의 관련 환경과 반응이 변화했는지 살펴보고 있다. 분석 결과 실제 주택담보대출 규제의 변화가 직접적으로 주택담보대출의 규모에 미치는 영향은 규제의 변화시점을 전후로 크게 두드러지지 않는 반면, 주택담보대출 규제의 변화는 주택가격에 유의미한 변화를 가져다 주고 있는 것으로 나타났다. 따라서 주택담보대출 규제변화가 주택담보대출의 공급을 변화시키고, 이에 따라 주택수요를 변화시켜 주택가격에 영향을 미친다는 직접적인 수요 변화의 경로 이외의 경로를 통해 주택가격에 영향을 미치는 것으로 파악할 수 있다.


In this study, we, first, try to investigate the relationship between mortgage loans and housing prices in Korea. Based on this result, we further examine the impact of the changes in mortgage regulation on mortgage loans and housing prices, so that we could trace the path of the impact. The two most typical type of mortgage regulations are the Loan to Value (LTV) and the Debt to Income (DTI). In Korea, the LTV limit is higher and DIT limit is lower than other major countries. Generally, LTV regulation is used for limiting the risk of collapse of the collateral value to borrowers, so that it helps to keep the soundness of financial institutions. DTI measure also helps to protect the soundness of financial institutions by restricting the risk of borrowers' income shock. However, despite their original purpose of mortgage regulations, people believe that these regulations are used to control the housing price in Korea. In this regard, we are motivated to analyze the impact channel of mortgage regulations, LTV and DTI, on housing prices.
For analyzing the effect of mortgage regulations on mortgage amount and house price, first, we test cointegration relation between the amount of mortgage loan and housing price. Then, we extend our analysis to examine the long-run and short-run relationship between the two variables by applying the VECM model and Granger Causality test. The results show that the two variables, the amount of mortgage and housing price, have a stable relation in the long-run. Based on the results, we construct panel data set in order to analyze the effect of the mortgage regulation change (LTV and DTI) on mortgage itself and housing price and examine whether there exist changes in mortgage response before and after the application of revised regulation. According to the analysis, the impact of changes in mortgage regulation on the mortgage amount is not so dominant, while the impact on housing price is quite significant. The results imply that the regulation change had an indirect impact on housing price, rather than through the originally intended channel―which was to limit the supply of mortgage loans and thereby change the demand for housing and its price.

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2모멘텀 현상과 투자자 유형별 주식거래 행태의 관련성 분석

저자 : 김근수 ( Keunsoo Kim )

발행기관 : 한국금융연구원 간행물 : 금융연구 32권 4호 발행 연도 : 2018 페이지 : pp. 37-74 (38 pages)

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본 연구는 외환위기 이후에 외국인투자자의 거래가 한국 주식시장에서 모멘텀 현상을 발생시키는 핵심적인 역할을 한다는 분석 결과를 제시한다. 외국인이 집중적으로 매수하는 승자 포트폴리오와 집중적으로 매도하는 패자 포트폴리오에서 모멘텀 현상이 뚜렷하게 나타난다. 이들 포트폴리오에서 외국인투자자는 모멘텀 거래를 추구한다. 그러나 국내 기관투자자가 집중적으로 매수 및 매도하는 모멘텀 포트폴리오에서 모멘텀 현상은 뚜렷하게 발생하지 않고, 외국인투자자와는 달리 국내 기관투자자는 모멘텀 거래의 행태를 보이지 않는다. 횡단면 회귀분석 결과에 의하면 외국인투자자의 순 매수세는 미래 수익률과 양(+)의 관련성을 지닌다. 또한 외국인투자자가 활발히 거래하는 주식에서만 수익률의 모멘텀 현상을 확인할 수 있다. 그러나 외국인투자자가 활발하게 거래하지 않는 주식의 경우 과거 수익률은 미래 수익률과음(-)의 관련성을 지닌다. 한국 주식시장의 모멘텀 현상은 외국인투자자 집중적으로 거래하는 주식에서 주로 발생하는 현상이고, 외국인투자자의 모멘텀 거래와 개인투자자의 추세 역행적 거래의 상호작용으로 발생한다고 이해할 수 있다.


Recent papers document that price momentum appears in the Korean stock market after the Asian financial crisis, while earlier papers find only return reversal before the crisis. This paper, however, presents that price momentum in Korea is limited because past winners do not outperform other stocks except past losers in the Korean stock market. Momentum strategies, based on past six-month compounded returns, tend to have positive returns which are only attributed to low returns of past losers. Thus, the positive returns of the momentum strategy in Korea may not be classified as price momentum since past winners are not future winners.
This paper presents that foreign investors play a critical role in generating price momentum in the Korean stock market after the Asian financial crisis by showing the following empirical results. First, when stocks are sorted based on the turnover ratio of foreign investors, past winners (losers) become future winners (losers) in the KOSPI market for stocks with high turnover ratios of foreign investors. Second, the winner portfolio that foreign investors intensively buy achieves the highest B/M and size adjusted returns, while the loser portfolio that they intensively short has the lowest B/M and size adjusted abnormal returns. Third, the trade imbalance of foreign investors has positive impact on stock returns in the Fama and MacBeth' cross-sectional regression analysis, but that of domestic institutional investors do not. Fourth, past six-month returns have positive effects on future returns for stocks with top 20% highest turnover ratios of foreign investors. However, for KOSPI stocks excluding those stocks, past six-month returns have negative effects on future returns. This result suggests that return reversal appears among stocks even after the financial crisis that foreign investors do not actively participate in.
In addition, foreign investors are momentum traders before and after portfolio formation in case of the winner (loser) portfolio that they actively buy (short), while individual investors are contrarian traders. However, domestic institutional investors are not momentum traders even in case of the winner (loser) portfolio that they actively buy (short). Thus, the trade interaction of foreign investors and individual investors is essentially important in generating price momentum. Specially, since price momentum is not found among stocks that foreign investors do not actively trade, momentum trading of foreign investors is essential in generating price momentum in Korea after the Asian financial crisis.
This result is not consistent with the risk-premium hypothesis that attempts to explain price momentum. If price momentum is due to rewards for high risk of winner stocks, it is difficult to find any reason why this risk premium depends on the trading activities of foreign investors. On the other hand, two possible hypotheses in behavioral finance can account for the dependence of price momentum on the trade imbalance of foreign investors. According to Chui, Titman, and Wei (2010) and Daniel et al. (1998), foreign investors pursue momentum trading in the process of overreaction caused by their overconfidence and biased self attribution. On the other hand, foreign investors may pursue momentum trading in the process of correcting underreaction as Hvidkjaer (2006) suggests. In this scenario, the contrarian trading of individual investors delay reflection of foreign investors' private information on the prices of winners and losers. Thus, the contrarian trading of individual investors is regarded as irrational behavior, while the momentum trading of foreign investors is as rational one.

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3기간스프레드의 분해와 기간프리미엄의 정보효과: 저금리 기간에 대한 함의

저자 : 윤선중 ( Sun-joong Yoon )

발행기관 : 한국금융연구원 간행물 : 금융연구 32권 4호 발행 연도 : 2018 페이지 : pp. 75-114 (40 pages)

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2000년대 이후 전 세계적으로 저금리 기조가 유지됨에 따라 기간프리미엄에 대한 관심이 높아졌음에도 불구하고, 국내에서 기간프리미엄의 정보력에 대한 연구는 매우 제한되어 있었다. 본 연구는 Adrian, Crump, and Moench(2013)의 방법론을 활용해 채권시장의 기간스프레드를 기간프리미엄과 기대단기이자율로 분해한 후, 산업생산지수 변동률 및 주식수익률에 대한 예측 능력을 검증하였다. 이후, 소규모 개방경제로 대외경제에 대한 높은 민감도를 가진 국내 경제의 특성을 반영하여, 미국의 기간스프레드 및 기간프리미엄의 영향력에 대해 분석하였다. 연구의 결과는 다음과 같다. 첫째, 10년물과 1년물 국채수익률의 차로 정의된 기간스프레드는 산업생산지수의 3개월 이상 누적변화율을 유의하게 예측하고 있었으며, 기간스프레드의 예측력은 기간프리미엄에 의한 것으로 나타났다. 둘째, 기간스프레드 및 기간프리미엄은 매우 짧은 미래(1개월 이상)의 KOSPI 수익률을 예측하고 있음을 확인하였다. 기간스프레드를 분해한 예측력 분석에서는 저금리 기간 동안 기간프리미엄이 중요한 수익률 예측요인임을 확인하였다. 마지막으로, 미국의 금리정보를 포함한 분석에서는 미국의 기간스프레드가 단독으로 국내 경기에 대한 예측력을 보유하지 않았지만, 국내시장의 기간스프레드를 함께 설명변수로 추가했을 때, 경기예측력이 급격히 증가하는 것을 확인할 수 있었다. 미국의 금리스프레드를 분석한 연구에서 국내 기간프리미엄의 예측력이 주로 미국의 미래 기대단기이자율에 의해 결정되고 있음을 확인하였다.


Prior to the financial crisis, it is known that the term premium reflects uncertainty about future short term interest rates and does not retain significant information about future economic conditions (Hamilton and Kim, 2002; Rudebusch et al., 2007). Rather, the term premium is likely to distort the informativeness of the term spreads regarding the predictability. Consistently, extant literature has shown that the expectation for future short term interest rates, which is extracted from term spreads by excluding term premium, is more informative for predicting future economic conditions.
However, as the low interest rate period began after the 2007 financial crisis, some empirical facts have provided new concerns about the forecasting power of term premium. In a situation where expectations for future short-term interest rates are extremely low, the long-term interest rate movement is largely determined by the term premium, thereby raising a question as to whether the forecasting power of the term premiums is still invalid. Many studies, including Dudley (2006), have reported that the term spreads have become less predictable than in the past. This argument results from the fact that the expectation component of the pre-crisis short-term interest rates did not drop significantly, even though the expectation component has been believed to be related to economic forecasting.
Under this circumstance, this paper uses the methodology of Adrian et al. (2013, ACM method) to break down the term spreads into risk-neutral expectation component and term premium component, and verifies their predictability on the growth rate of industrial production indices and equity index returns of Korea. In addition, we analyze the impact of the U.S. term spread components on the Korean economy, which is a small open economy with high vulnerability to external shocks.
The results of the study can be summarized as follows. First, the term spreads defined as the difference between 10-year spot rate and 1-year spot rate have significant explanatory power for predicting future industrial production index for 3 months or longer horizons. However, the source of predictability is based on the term premium, not the expectation for future short-term interest rates, which is in contrast to the previous studies that had been conducted before the recent low-interest rate period.
Second, the KOSPI returns can predict future economic conditions measured by the growth rate of industrial economic index for horizons of 3 months to 9 months, which is inconsistent to the results for the U.S. in that the forecasting horizon of the stock index is much shorter than that of term spreads in the U.S. As a result, the term premiums as well as term spreads predict the future KOSPI returns for very short horizon of 1 month. Third, the unsecured call rate, which can represent the monetary policy stance of a central bank, does not predict future economic condition as well as KOSPI returns.
Finally, the U.S. term spreads cannot solely predict the changes in industrial economic index and the stock index returns of Korea. However, when the term spread components of Korea are added together as an explanatory variable, the predictable power of the models with components of both countries sharply increases. In particular, the expectation for short rates alone is not significant, but the inclusion of the U.S. expectation for short rates improves the predictability significantly. These can be interpreted as the result that the future interest rate changes (volatility) of Korea are significantly affected by the expected short-term interest rates of the U.S.
This study contributes to the literature in the following aspects. First, this study is the first academic attempt in Korea that use the decomposition method of Adrian et al. (2013). Adrian et al. (2013) is recognized as a standard by the most central banks, including the FRB, and by major financial institutions. Currently, FRB, New York uses the ACM model to disclose the behavior of term premiums on daily basis and the central banks of major countries are also actively analyzing the term premium using this model. Second, recently, the information content of the term premium during the period of low interest rates we use in this study is receiving much attention, as shown by the terminology called Greenspan's Conundrum. In fact, many recent studies have reported that changes in the U.S. long term interest rates are determined by the term premium, not by expectation for short term rates. Thus, this study is the first study that examines the predictability of the term premium in the low interest rate periods of Korea.

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4순국제투자가 국내경제에 미치는 영향

저자 : 이근영 ( Keun Yeong Lee )

발행기관 : 한국금융연구원 간행물 : 금융연구 32권 4호 발행 연도 : 2018 페이지 : pp. 115-150 (36 pages)

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본 연구에서는 국제투자대조표와 거시금융 자료를 이용하여 순국제투자의 증가가 국내거시 경제에 어떤 영향을 미치는가를 다양한 VAR 모형을 통해 살펴보았다. 실증분석결과 순국제투자가 증가할 때 추정모형에 관계없이 실질GDP가 하락하고 원/달러환율이 상승한다. 실질 GDP의 하락은 자산가격, 유동성, 소비 및 투자 등 다양한 경로를 통해 일어나며 원/달러환율의 상승은 경상수지를 개선시킨다. 또한 실질GDP의 하락은 평상시보다는 위기시 또는 자본유입 기간보다는 자본유출기간에 더 크게 나타난다. 하지만 순국제투자가 실질GDP에 미치는 부정적인 효과는 글로벌 금융위기 이후 기간에는 그 이전 기간에 비해 크게 줄어든다. 한편 순국제투자가 금리나 물가에 미치는 영향은 전반적으로 명확하지 않다.


The paper examines the effect of net international investment on domestic macroeconomy using the International Investment Position (IIP) and macro financial data. The empirical analysis results of the various VAR models show that as net international investment(net foreign financial assets) increases, the real GDP declines and the won/dollar exchange rate rises regardless of the estimation model. The decline in real GDP comes through various paths such as asset price, liquidity, and expenditure. In the case of an increase in net international investment, that is, in case of net capital outflow, because of the deviation of domestic and foreign capital in the domestic stock market, not only the stock price and housing price fall, but also liquidity such as broad money (M2) and liquidity aggregate of financial institutions (Lf) decreases in spite of the supply of monetary base (MB) through policy rate cuts. This reduces real GDP through declining private consumption and fixed investment. Meanwhile, the rise in the won/dollar exchange rate due to the net capital outflow acts as a buffer against falling real GDP over time by improving goods and current accounts.
The impact of net international investment on interest rates and prices is unclear as well as the impact of call rates on net international investment. Therefore, in light of the results of the empirical analysis, there seems to be much controversy as to whether it is desirable for the monetary authority to raise the policy rate to prevent capital outflow. As we have already seen, the empirical analysis does not support the Mundell-Fleming model. What is clear, however, is the fact that the negative impact of this phenomenon on macro and financial variables in the event of a net capital outflow is certain, and the negative effect is more pronounced during crisis periods or during capital outflow periods than usual. Accordingly, in the case of Korea, which is a small open economy, it is necessary to devise additional policy measures such as swap agreements in addition to accumulation of foreign exchange reserves and policy rate hikes.
One good thing seems to be that the negative effects of net international investment, as demonstrated by the empirical analysis, have significantly decreased in the post-global financial crisis period compared to the previous period. Of course, I think it is more necessary to study whether this is due to a decline in potential growth or due to ancillary benefits such as increase in export of parts and transfer revenues coming from leaps to a net foreign bond country. It should also be noted that these results may be attributed to small sample size problems.
Finally, Korea's overseas direct and portfolio investment has increased significantly compared to foreign direct and portfolio investment recently. Evidence suggests that the resulting increase in net international investment is one of the main reasons why the won/dollar exchange rate is rising despite the ongoing current account surplus.

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5ETF 괴리율 결정요인은 유형별로 상이한가?: 국내 ETF 시장의 실증 분석

저자 : 김세완 ( Sei-wan Kim ) , 김영민 ( Young-min Kim ) , 김경록 ( Gyung-rok Kim )

발행기관 : 한국금융연구원 간행물 : 금융연구 32권 4호 발행 연도 : 2018 페이지 : pp. 151-178 (28 pages)

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본 연구는 우리나라 ETF 시장에서 유형별로 괴리율에 미치는 요인을 GMM 모형을 이용하여 실증분석하였다. 유형으로는 기초자산, 투자지역, 투자전략 등이 고려되었다. 실증분석 대상은 2017년 9월 기준 3년 이상 설정된 국내 ETF 중 순자산 규모가 가장 큰 19개 종목이다. 괴리율 발생은 비효율적 시장에서의 마찰적 현상이라는 인식 하에, 괴리율 결정요인으로 시장에서의 거래에 마찰(friction)을 일으키는 변수를 최대한 수용하고 기존의 연구결과를 참고하여 대체투자수단 여부 및 기관투자자 거래비중 등을 괴리율의 설명변수로 사용하였다. 유형 전체를 포함한 분석에서는 전기 괴리율, 거래대금, 호가스프레드율, 대체투자수단, 기관투자자 거래비중, 가격 변동성 등이 유의한 영향을 주었다. 유형별로 나누어 추정한 결과에서는 국내주식형의 괴리율에 가격변동성을 제외한 모든 변수가 유의한 영향을 준 반면 국내채권형 괴리율에는 전기 괴리율, 거래대금, 호가스프레드율만이 영향을 미치는 것으로 나타났다. 해외주식형 괴리율에는 호가 스프레드율을 제외한 모든 변수들이 유의한 영향을 주었다. 섹터주식형 괴리율에는 전기 괴리율, 기관투자자 거래비중, 가격변동성이 유의한 영향을 주었다. 본 연구는 전기 괴리율이 익일에도 해소되지 않는 시계열의 관성효과(momentum effect)를 발견하고, 유형별로도 ETF 괴리율의 결정요인이 상이함을 밝혔다. 최근 ETF의 종류가 다양해지면서 시장의 활성화를 위하여 괴리율을 줄이는 것이 중요한 과제다. 본 논문의 연구결과는 기관투자자의 거래 활성화 및 LP 역할의 확대 등이 필요함을 시사한다.


Nowadays ETF (Exchange Traded Fund) is one of the most important asset management financial products in Korea. In fact, ETF of trading volume account for 17% of the total stock market as of July of 2017 from 1.1% in 2002. The market size also reaches at 31.9 trillion won from 0.3 trillion won during the same period. In particular, the number of ETF has grown up to 315 from 4. Due to the fast growth of the ETF market, institutional investors utilize the ETF products: for example, GEPS (Government Employees Pension Service) invest more than 200 billion won in EMP (ETF Managed Portfolio). Therefore, the differentials of ETF, the difference between price and net asset value of ETF, is very important topic to be discussed. There are not many previous studies about differentials of ETF yet.
This study aims to investigate the determinants of ETF differentials by type based on underlying assets, investment region, and investment strategy. For the study, we employ the largest assets of 19 ETFs which have been listed more than three years as of August of 2017. The independent variables include previous differentials, trading volume, spread, dummy of alternative investment vehicles (whether the underlying index has futures and options or not), institutional investors' trading ratio and price volatility of ETF. In particular, we choose two new independent variables: alternative investment vehicles as dummy and institutional investors' trading ratio. Alternative investment vehicles such as futures and options might contribute to lessen the differentials through arbitrage. And institutional investors have better information and their trading volume is bigger than individuals, so their trading ratio could lessen the differentials. Moreover, GMM (Generalized Method of Moments) has been used considering the endogeneity among independent variables.
The hypotheses to be addressed are as follows.
Hypothesis 1 : Bond ETFs do not have alternative investment vehicles such as futures and options and institutional investors' trading volume for Bond ETFs is relatively lower than Stock ETFs. Therefore, determinants of differentials might be different by underlying assets.
Hypothesis 2 : Investors have relatively less information about overseas stocks compared to domestic. Also, there is time difference between home country and overseas. Therefore, the affecting factors for the differentials might be different by investment region.
Hypothesis 3 : Sector ETFs has relatively less alternative investment vehicles and trading volume. Therefore, the differentials of determinants might be different by investment strategy.
Before the estimation by type, at first, we estimate the total. We find that all of independent variables affect the differentials: previous differentials, trading volume, spread, dummy for alternative investment vehicle, institutional investors' trading ratio, and price volatility. Based on this result, we estimate by type and the results are as follows. First of all, the differential of domestic stock ETFs is affected by all variables except price volatility of ETF while that of domestic bond ETFs is affected only by previous differential, trading volume and spread. Second, the differential of overseas equity ETFs is affected by all variables except spread. Third, the differential of sector ETFs is affected by previous differentials, institutional investors' trading ratio, and price volatility. In summary, we find that the differentials of ETFs is differently affected by type.
The estimation results reveal the policy implications. First of all, since trading volume and institutional investors' trading ratio affect negatively to the differentials, we need to develop various portfolio strategy for especially institutional investors. Moreover, since Kim et al. (2014) shows that individuals herd institutions, more institutional investors' trading is needed to activate the market.
Second, the role of Liquidity Provider (LP) should be expanded. We find there are momentum effect in the differentials of ETFs. However, the momentum effect with high institutional investors' trading ratio is relatively less. Therefore, LP should be more actively involved to lessen differentials.
Third, providing more information about ETFs might be activated the market. For example, ETFdb.com in US provide various information on ETF such as liquidity, performance, volatility. Fund evaluation company, asset evaluation company in Korea could play this role.

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