서강대학교

초록/요약

After research of Stock and Watson(1989), term spread has been a main research theme for its characteristic of leading indicator. Similary credit spread is focused on its special feature of leading indicator. However, in korea, because of immaturity of bond market and restriction of bond interest rate, there are few researches for characteristic of term spread and credit spread as leading indicator, especially after monetary policy changing affect term spread and credit spread. So in this study, using korea bond data, whether term and credit spread have nature of leading indicator in korea or not after moneatry policy changing at 1998. Term spread can be defined difference of riskless long term bond rate and risk less short term bond rate. For this study, term spread is composed of 2 different long term bond rate and 3 short term bond rate. Long term bond are consist of 3year government bond and 5year government bond and short term bond are consist of call rate, 3month cd rate and 1year monetary stabilizing bond. Credit spread is specified difference of high risk bond and low risk bond with same maturity. In this study, credit spread is difference of 3year AA- rate corporate bond and 3year government bond. Entire economic state proxy variable is Index of industrial product. The span of analysis is form January 1998 to December 2008 monthly for considering monetary policy change at 1998 and data frequency is monthly. For this research, I look cross-correlation between term spread. Also I use long horizon regression. Finally difference of previous, I use structural VAR model for decomposition of macro shock as supply side shock and demand(from financial sector) shock and search characteristic of leading indicator when there is identified macro shock. The results are as following. Term spread has characteristic of leading indicator and leading term is 5~7months compare with changing of IP. Using Structural VAR for decomposition of macro shocks, term spread has 7~9month leading term for supply side shock and 6~8month leading term for demand(from financial sector)shock, respectively. But I cannot find that difference of long term bond rate and 1year monetary stabilization bond has nature of leading indicator. This point is huge difference of previous research and this phenomenon cause of changing monetary policy that I think. Similarly credit spread has nature of leading indicator and leading term is 3~5month. And when supply side shock has been arisen, credit spread has 7~9month leading term and when demand side shock has been arisen, credit spread has 5~7month leading term. So I can find that in korea, term spread and credit spread has characteristic of leading indicator and leading term is about 5~9month and changing of characteristic of 1year monetary stabilization bond after changing monetary policy.