단기지표금리스프레드의 분해와 주식수익률 예측에 관한 연구

초록

This study examines the predictive power of the money market spreads on equity index returns and analyzes the economic source of the predictability. By decomposing the short-term reference interest rate spreads defined by the differences between 3 month CD (Certificate of Deposit) rate and KOFR (Korea Overnight Financing Rate) into the short-term credit spread (3 month CD rate minus 3 month Treasury rate) and the short-term term spread (3 month Treasury rate minus KOFR), it is confirmed that short-term reference rate spread has a predictive power on cumulative KOSPI returns for horizons more than two months and that the predictability of the short-term reference rate spread is attributed to the informativeness of short-term term spread. According to the empirical results with macro variables, the predictability of short-term index spreads is closely related to the VKOSPI (the implied volatility index of KOSPI 200), which reflects macroeconomic uncertainties implied in financial markets. In the presence of the volatility mean-reversion phenomenon, investors will interpret the increase in VKOSPI as an increase in future risks, demand more risk premiums, and at the same time cause prices to fall. However, as volatility mean-reverses, the risk premium decreases and the future returns increases. This study has a contribution in that it verified the informativeness of the reference interest rate spread in Korean money markets. The risk-free rate (i.e. KOFR in Korea) will serve as a major benchmark interest rate in international money markets in the future, and will also produce vast amounts of academic research. This study can serve as the starting point for research on RFR in the Korean market. In addition, the short-term credit spread used in this study is already used in practice as a crisis warning indicator under the name of TED spread, and this study can be interpreted as verifying the information power of TED spread in the normal market.

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