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수록정보
수록범위 : 22권1호(2008)~33권2호(2019) |수록논문 수 : 214
금융연구
33권2호(2019년) 수록논문
최근 권호 논문
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KCI등재

1한국경제에서 필립스 곡선의 안정성 및 비선형성에 관한 연구

저자 : 주동헌 ( Donghun Joo )

발행기관 : 한국금융학회 간행물 : 금융연구 33권 2호 발행 연도 : 2019 페이지 : pp. 1-28 (28 pages)

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본 연구는 필립스 곡선의 평탄화 현상에 대하여 검정하고자 하였다. 이를 위해 모형의 안정성과 선형성을 검정하고 검정 결과에 따라 불안정성 및 비선형성을 반영한 모형의 추정이 가능한 TV-STR 모형을 활용하였다. 필립스 곡선의 안정성 및 선형성에 대한 검정은 최근 필립스 곡선평탄화 논란의 대상이 되고 있는 2000-2018년 기간에 대해 우선 실시하고 동 기간이 필립스 곡선의 구조적 변화를 판단하는 데 충분히 긴 기간이 아닐 수도 있다는 점을 감안하여 1992~2018년으로 확장된 기간에 대해서도 검정을 실시하였다. 먼저 2000~2018년 기간에 대하여는 인플레이션의 수준, 지속성 및 생산갭에 대한 반응 계수에서 안정성이 기각되지 않았다. 또 필립스곡선의 선형성도 기각되지 않았다. 반면 1992~2018년으로 확장된 기간에 대하여는 인플레이션의 수준, 지속성 및 생산갭에 대한 반응 계수에서 안정성이 모두 기각되었다. 필립스 곡선의 선형성은 일부 기각되는 결과를 나타내었다. 이와 같은 검정 결과에 따라 1992~2018년 기간을 대상으로 TV-STR 모형을 활용하여 모수의 불안정성 및 비선형성이 반영된 필립스 곡선을 추정하였다. 추정결과 첫째, 인플레이션의 생산갭에 대한 반응 계수는 외환위기 이전에는 음(-)의 값을 가져 이론적 예측과 배치되는 결과를 나타내었으나 외환위기 이후 뚜렷한 양의 관계를 보였다. 둘째, 인플레이션의 생산갭에 대한 반응 계수는 비선형성을 가지는 것으로 보이며 비선형성의 형태가 볼록이 아니라 오목의 형태를 가지는 것으로 나타났다.


This study investigates whether the Phillips curve in the Korean economy is flattening. This issue has an important meaning in the implementation of monetary policy. When the Phillips curve is flattening, the amount of output sacrificed to achieve the lower inflation rate becomes large, while the policy of boosting the output will induce the smaller rise of inflation. However, such expectations can be wrong if the cause of flattening is due to the non-linearity of the curve, not due to the instability of the curve. Hence, the test of Phillips curve flattening should be implemented on both aspects of instability and non-linearity of the curve. The time varying smooth transition (TV-STR) model employed in this paper provides the way of testing both of them in one model. After the tests, the model that reflects the instability or the non-linearity is estimated according to the test results.
The Phillips curve used for the test and estimation is the triangular Phillips curve which reflects the effects of the past inflation and cost factors as well as the effect of demand factor represented by the output gap. The tests are first implemented for the period of 2000~2018 as the recent contentions about the flattening Phillips curve are focused on this period. And then, the tests are implemented for the period of 1992~2018 as the period of 2000-2018 may not be long enough for deciding the structural change of the curve considering the results of previous literatures. The tests of stability are implemented for the level and persistence of inflation as well as the slope of the curve to investigate overall structural change of the Phillips curve in the Korean economy. The test of linearity is implemented only for the slope of the curve. For the period of 2000-2018, the stabilities are not rejected in all three aspects. The linearity of the curve is not rejected either. For the period of 1992-2018, the stabilities are rejected in all three aspects, The linearity is also partly rejected.
Based on these test results, various types of model are estimated for the period of 1992~2018 to investigate the instability and non-linearity of the Phillips curve in Korea. The noteworthy results of the estimation are as following. First, the long term inflation level dropped from 4.8% to 2.2% before and after the currency crisis of 1997. The result does not change regardless of considering the instability of inflation level only or the instabilities of inflation level and slope of the curve together. Second, the slope of the curve was negative before the currency crisis, which contradicts the prediction of the theory, but it evidently turned into positive after the crisis. Third, the slope of the curve kinked at the output gap of -0.16%. The shape of non-linearity was not convex but concave, which contradicts to the usual expectation. The interpretation of non-linearity of the curve needs to be cautious as the statistical significance levels of some coefficients in the model are somewhat low.
For the Korean economy, assuming the structural change in the relationship between the output and inflation after the year of 2000 seems to be not persuasive. Intuitively, however, it is hard to deny that dynamics of inflation in Korea has been changed recently. The candidates for the cause of such changes might be sought at the supply side of the economy such and the structural change in the labor market or the intense competition in the global markets.

KCI등재

2미국 국채 수익률곡선 및 한·미 거시경제변수의 변화가 한국 국채 수익률곡선에 미치는 영향: 거시경제변수를 포함한 2국가 Dynamic Nelson and Siegel 모형을 이용하여

저자 : 권도근 ( Dokeun Kwon ) , 정용국 ( Yong-gook Jung )

발행기관 : 한국금융학회 간행물 : 금융연구 33권 2호 발행 연도 : 2019 페이지 : pp. 29-80 (52 pages)

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본고는 거시변수를 포함한 Dynamic Nelson and Siegel 모형을 2국가로 확장한 후, 이를 2단계 접근법을 사용한 구조적 벡터자기회귀 모형을 통해 분석하였다. 본 연구는 양국의 수익률곡선과 거시경제변수를 전환방정식과 상태방정식으로 구성된 하나의 모형에서 분석함으로써 국가 간, 금융 및 거시변수 간 상관관계를 확인하였다는 점에서 기존 연구와 차별된다. 실증분석 결과의 주요 내용을 살펴보면 우선, 양국의 수익률곡선 변수 간, 거시경제변수 간 유효한 충격반응이 나타나는 것으로 분석되었을 뿐만 아니라 수익률곡선 변수와 거시경제변수 사이에도 유효한 충격반응이 관찰되었다. 또한, 한·미 양국의 수익률곡선 변수 모두에 대해 단기적으로는 수익률곡선 변수의 충격이 장기적으로는 거시경제변수의 충격이 큰 영향을 미치는 것으로 분석되었다. 국채수익률에 대한 분산분해에서는 한국 국채수익률이 미국에 비해 거시경제변수의 영향을 상대적으로 크게 받는 것으로 나타났으며, 한국 단기 국채수익률의 경우 한·미 양국 거시경제지표의 영향력이 50% 내외의 큰 비중을 차지하였다. 마지막으로, 예측력 비교에 있어서 거시경제지표를 포함한 모형이 수익률곡선 변수만을 포함한 모형에 비해 한국 국채수익률 예측시 대부분의 예측시계에 걸쳐 우수한 것으로 확인되었다.


This paper extends the Dynamic Nelson and Siegel model with macroeconomic variables (Diebold and Li, 2006; Diebold et al., 2006) to two countries, U.S. and Korea, with macro variables and analyzes it using the Structural VAR. This study contributes to the literature in that it analyzes the financial and the macroeconomic relationship between two economies, with yield curve factors and macro variables, in a single model composed of transition equations and state equations. In addition, it is confirmed that the predictive power of this model, two-country yield-macro model, is superior to that of the existing model, two-country yield-only model, even when the structural change after the Global Financial Crisis is reflected by separating the period after the GFC.
The results of the study can be summarized as follows. First, there are valid impulse responses between the yield curve factors and the macroeconomic variables, as well as valid responses in the yield curve factors and in the macroeconomic variables of the two countries. We can find that the U.S. Curvature factor has a significant effect on U.S. macroeconomic variables such as the manufacturing capacity utilization index. Korea's Slope factor is shown to be affected by most macroeconomic variables of U.S. and Korea, which means that Slope factor is not only sensitive to Korea's macroeconomic cycle but also to the U.S. and Korean financial and real market conditions, and that the economic conditions of the two countries are reflected in the Korean government bonds' yield curve through the slope variables.
Second, for all of the yield curve factors, shocks of the yield curves are influential in the short run and shocks of the macroeconomic variables are influential in the long run. In particular, the two countries' Slope factors are responsive to the macroeconomic shocks. The variance decomposition of the yields shows that Korean governmen bond yields are affected more by macroeconomic variables than the US yields are, and two countries' macroeconomic variables have strong effects on Korea short-term interest rates.
Lastly, in the predictability of Korean government bond yields, it is analyzed that the Yield-Macro model is superior, across most forecast horizons, to the Yield-only model. This result is valid for analysis focus on the period after the financial crises, and the same result is confirmed regardless of the bonds' maturity.
In light of the results, we believe that the macroeconomic variables of Korea and of the U.S. should be considered as well as the U.S. government bond yields in order to more precisely predict the Korean yield curve, especially the change of the Slope factor and short-term yields. It is also necessary to consider the possibility that the influence of Korean monetary policy can be extended or curtailed by other external factors, as it has been confirmed that Korean Slope factor and short-term yields are affected by U.S. government bond yields and macroeconomic variables as well as domestic monetary policies. As this SVAR model analyzes the impact of shocks in economic variables on the Korean government bond yield curve, the model is expected to be used as a tool to predict changes happening in the Korean government bond market. In addition, the model is expected to be expanded in a useful way to improve predictability and to determine policy validity by adding additional macroeconomic variables of the two countries.

KCI등재

3임대주택유동화증권을 활용한 장기공공임대주택 공급확대 가능성 검토

저자 : 김형준 ( Hyeongjun Kim ) , 조훈 ( Hoon Cho ) , 류두진 ( Doojin Ryu )

발행기관 : 한국금융학회 간행물 : 금융연구 33권 2호 발행 연도 : 2019 페이지 : pp. 81-118 (38 pages)

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임대주택유동화증권(Rental-Backed Securities, 이하 RBS)은 임대주택사업 실시과정에서 발생하는 장래의 임대수익을 상환재원으로 차입을 실시하고 이를 유동화한 증권이다. 장기공공임대주택의 공급확대 요구와 필요성이 높아지는 가운데, RBS는 이를 위한 새로운 재원조달 방법이 될 수 있다. 본 논문은 정책 및 실무적으로 중요한 사안인, 임대주택의 유동화 사례와 구조를 소개하고 발행 가능한 규모를 추정함으로써 RBS를 활용하였을 때 유의미한 재원조달이 가능한지 여부를 분석하였다. 실증분석결과, 최장만기 30년 이상의 RBS를 활용하면 임대주택단지 조성을 위한 사업에 지역 공기업이 직접투자를 하는 기존의 방식보다 더 낮은 금융비용으로 충분한 규모의 재원을 조달할 수 있을 것으로 예상된다. 또한, 공급계수·전월세전환율·보증금전세비율·공실률 등 RBS와 관련된 위험요인을 시나리오 분석을 통해 검토한 결과, 전월세전환율이 미치는 영향이 가장 큰 것으로 나타났다. 본 정책연구에서는 이러한 위험요인을 극복하는 방안으로 콜옵션 조항 설정, 단기채권을 활용한 롤오버(rollover), 변동금리채권 발행, 패스스루(pass-through) RBS 발행을 제시한다.


Rental-backed securities (RBSs) are securitized loans that use future income from a rental housing business as their underlying asset. RBSs can provide a new source of funding to expand the supply of public rental housing as the demand and need for such housing increases. This study introduces example securitization structures for rental housing and analyzes whether RBSs can provide meaningful financing by estimating the sizes of issuance. For this analysis, we use similar conditions and variables as those used for social rental housing development projects conducted by a local government agency and estimate the RBS cash flow.
The results of this analysis show that by using RBSs with maturities of 30 years or above, government-sponsored enterprises (GSEs) can sufficiently finance their projects at a lower cost than that incurred using existing resources. We estimate that RBSs with maturities of up to 20, 30, and 40 years can finance 29.70%, 43.90%, and 50.87% of total project costs, respectively. These results imply that local government agencies can raise funds at a lower cost than that of direct investment by utilizing asset securitization agencies to issue RBSs. In this study, we estimate the size of RBS issuance by applying the interest rates used by the Korea Housing Finance Corporation. Our results show that if RBS credit is enhanced through a trusted agency with a long history, it is possible to secure long-term funding at a reasonable cost and thus stabilize the supply of social rental housing.
In addition, we discuss risk factors related to RBS cash flows, such as the discount rate, vacancy rate, conversion rate of chonsei to monthly rent, and deposit-to-chonsei ratio. Our scenario analyses show that the conversion rate of chonsei to rent directly affects the expected cash flow and size of RBS issuance because it determines the monthly cash flow based on changes in the regional rental market. To manage the risk associated with a social rental housing development project, we propose offering call option provisions on RBSs, executing a rollover strategy using short-term bonds, and issuing floating-rate bonds and pass-through RBSs. The results suggest that it is crucial to study related risk factors and simulate the expected cash flows as different variables change before using RBSs to fund a social rental housing development project.
The results of this study provide policy implications by confirming through simulations that RBSs can be used as a means of financing to increase the supply of social rental housing. RBSs are bond-type investment products that liquidate future income from rental houses. Unlike real estate investment trusts (REITs), which assume that a house will be sold after its mandatory lease term, RBSs do not require the underlying properties to be sold. In Korea, especially in the Seoul metropolitan area, it is difficult to maintain a supply of social rental housing using REITs owing to the lack of adequate locations. RBSs can be used as an alternative financing method to expand the supply of social rental housing in these areas. However, this study has several limitations. Because the simulation is based on a virtual social rental housing development project, more diverse follow-up studies should be conducted before issuing RBSs. Indeed, to issue RBSs and manage the related risks, it is necessary to understand each risk factor and the correlations between these factors. Several simulations of the effects of each risk factor on cash flows should also be conducted. In particular, the distribution of rental income cash flows should be estimated more precisely through research on the effects of interest rate changes on major variables in the housing market, and the correlations among the sale, chonsei, and monthly rental prices in the housing market should be better understood.

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1연안해역에서 석유오염물질의 세균학적 분해에 관한 연구

(2006)홍길동 외 1명심리학41회 피인용

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2미국의 비트코인 규제

(2006)홍길동41회 피인용

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한국행정연구원 연세대학교 서울대학교 한양대학교 Yanbian University
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  • 1 한국행정연구원 (166건)
  • 2 연세대학교 (12건)
  • 3 서울대학교 (11건)
  • 4 한양대학교 (10건)
  • 5 Yanbian University (10건)
  • 6 한국은행 (8건)
  • 7 국회도서관 (8건)
  • 8 고려대학교 (8건)
  • 9 이화여자대학교 (8건)
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