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한국 채권 초과수익률 예측요인에 관한 연구

  • 강장구 KAIST 경영대학 교수
  • 강한길 KAIST 경영대학 박사과정
  • 이순희 KAIST 경영대학 박사과정
  • 이은미 KAIST 경영대학 박사과정
본 연구는 미국 시장에서 채권 초과수익률 예측요인으로 제시된 여러 요인들이 한국 시장에서도 초과수익률을 잘 예측하는지에 대하여 실증적으로 분석한다. 대표적으로 알려진 Cochrane and Piazzesi(2005)의 선도이자율 요인과, 채권 수익률에 영향을 미칠 것으로 여겨지는 인플레이션과 실질생산 충격에 대한 거시변수들인 Cieslak and Povala(2014)의 인플레이션 순환요인, Cooper and Priestley(2009)의 산업생산갭 요인을 주요 예측 변수로 사용한다. 실증분석 결과로, Cochrane and Piazzesi(2005)의 선도이자율 요인은 조정결정계수 50% 정도의 강한 예측력을 가졌다. 선도이자율 요인은 미국 선도이자율 요인이나 스왑금리와 같은 국제 요인이나 이자율 기간구조 3요인 (수준, 기울기, 곡도) 이외의 설명력을 가졌으며, 금융위기 이후로는 설명력이 약간 감소하였다. 그러나, 인플레이션 순환요인이나 산업생산갭 요인과 같이 단일 거시경제 변수로부터 얻어진 요인은 선도이자율 요인에 비해 추가적인 설명력을 가지지 못하였다. 따라서, 한국 시장에서는 수익률곡선의 정보가 초과수익률 예측에 효과적이며, 단일 거시경제 변수로부터 얻어진 요인들의 설명력은 상대적으로 미약함을 실증적으로 확인하였다.
채권 초과수익률,예측회귀분석,선도이자율 요인,인플레이션 순환요인,산업생산갭

Predicting Bond Excess Returns in the Korean Market

  • Jangkoo Kang
  • Hankil Kang
  • Soon Hee Lee
  • Eunmee Lee
The analysis of long-term bond excess returns is an important issue in portfolio management and risk dynamics. Under the classical expectation hypothesis, which assumes that long-term yield represents future short-term rate expectations, the excess return on a long-term maturity bond is constant over time. However, it is well known that this assumption does not hold empirically. In the U.S. and other international markets, the forward rate factor suggested by Cochrane and Piazzesi (2005) strongly predicts bond excess returns. Thus, the bond excess return is time-varying and the current yield curve contains information on bond risk premia. Given that the bond price reflects the market participants’ expectations regarding future economic states, it should be closely related to macroeconomic variables, such as inflation and real growth. There is a growing area of research called “macro-finance” that tries to explain the term structure of interest rates and bond risk premia with macroeconomic variables. In this paper, we empirically investigate the predictability of bond excess returns in the Korean market. We use information from the current yield curve, inflation shock, and real production shock. Specifically, we use the forward rate factor from Cochrane and Piazzesi (2005), the inflation cycle factor from Cieslak and Povala (2014) and the output gap factor from Cooper and Priestley (2009) as candidate variables to predict bond excess returns. First, we construct the three candidate factors: forward rate, inflation cycle and output gap. The forward rate factor is defined as the fitted value from the regression of the mean excess return on the forward rates. Under the Fisher hypothesis, a long-term yield can be decomposed into an expectation hypothesis term, a long-term inflation expectation term, and a cycle term. The inflation cycle factor summarizes information in the residuals from the regressions of the yields on the long-term inflation expectation. The output gap factor is generated by removing the time trend from the industrial production index. The empirical result shows that the forward rate factor strongly predicts the excess returns of all maturities, with an adjusted higher than 50%. Consistent with the other markets’ results, the information in the yield curve is important in predicting bond excess returns. Compared to the forward rate factor, the inflation cycle and output gap factors, which are individual macroeconomic variables, have weak or no predictive ability. Although the cycle factor has comparable forecasting ability in relation to the forward rate factor, it does not have any additional predictive power when the forward rate factor is taken into account. Even worse, the output gap factor does not have any explanatory power alone. Overall, the results indicate that the macroeconomic variables in our analysis do not have information above the yield curve. We also conduct further analyses of the forward rate factor, which exhibits strong predictive power. The explanatory power of the forward rate factor is beyond the conventional yield curve factors (level, slope and curvature). It does not come from the multicollinearity of forward rates. In addition, the forward rate factor survives after controlling for the effect of international variables; specifically, the U.S. forward rate factor and the currency swap rate. As with the results from the international market data in Sekkel (2011), the explanatory power of the forward rate factor decreased after the financial crisis. Finally, the forward rate factor effectively explains the longer maturity bonds with maturities longer than five years. Focusing on the failure of the inflation cycle factor, which theoretically contains refined information about bond risk premia, we find that the long-term inflation expectation does not have explanatory power in addition to bond yields. Cieslak and Povala (2014) argue that the forward rate factor is a restricted version of the cycle factor, and they remove the long-term inflation term from the bond yields. In contrast, the inflation cycle factor becomes a noisier measure of bond risk premia in the Korean market and the predictive power of the forward rate factor is very strong in our sample period in the global market. The empirical results in this study imply the possibility that bond prices in the Korean market can be expressed as an affine model of yield curve factors, as in Cochrane and Piazzesi (2005). Although the macroeconomic factors do not seem to contain information about bond risk premia above the yield curve, we do not strongly reject the macro-finance models from our empirical results, as the macroeconomic factors in this paper are from a small subset of macroeconomic variables. We remain open to the possibility of more explanatory macroeconomic variables of bond risk premia.
Bond Excess Returns,Predictive Regression,Forward Rate Factor,Inflation Cycle Factor,Output Gap