수익률곡선 정보를 활용한 기대수익률추정 및 금리정책 효과 분석

초록

We propose a method to extract information about market expectations of future yields using market yield curve. In addition, we empirically analyze the effects of market participants’ expectations on the interest rate channel of monetary policy.To this end we first set up a theoretical term-structure model and then estimate it with Korean market yield data. After verifying the validity of the model with empirical results, we then use it to assess the effects on market yields of the demand on domestic bonds from foreign investors which have showed wide fluctuations since 2007.Next, we propose a method to extract information about market expectations of future policy rate as well as market yields using market yield curve. We then investigate into the accuracy of those market expectation-based forecasts. In addition to this theoretical term-structure model approach, we also use regression-based approaches to estimate market expectations implied with market yield curve.Using these estimates of market expectations about monetary policy,we then decompose actual policy rate changes into the expected portions and the unexpected ones. This decomposition enables us to analyze the relative importance of the two components in the interest rate channel of monetary policy.This paper contributes to the literature by providing an analysis of monetary policy shock with respect to the interest rate channel of monetary policy which has not been extensively studied yet. In addition, growing effects of foreign investors on bond yields have been rarely studied, which is another contribution of this paper. This paper also provides empirical results for the forecasting ability of market expectations extracted from market yield curve.Our empirical results show that market expectations extracted from yield curve turn out to be useful for yield forecasting. Secondly, after decomposing changes in policy rates into unexpected changes and expected ones, we found that the unexpected changes in policy rate exert impacts no less than the expected changes in policy rate. Lastly, by conducting counter-factual exercises, we found that market yields have been significantly affected by foreign investors’ demand on Korean bonds, which has been suspected from the fact that foreign investors’ Korean bond holdings has greatly increased since 2007 and then fluctuated widely during the recent global financial crisis period.

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