DCC-MGARCH모형을 이용한 우리나라 금융시장의 동태적 조건부 상관관계 분석

An Analysis on Dynamic Conditional Correlations among Korean Financial Markets using DCC-MGARCH Model

1992년 주식시장을 개방한 이후 자본자유화라는 제도적 변화를 경험하면서 외환시장, 주식시장, 회사채시장 등의 금융시장간의 동태적 조건부 상관관계가 어떻게 변화하는가를 Engle(2002)의 동태적 조건부 상관관계에 근거한 다변량 GARCH (dynamic conditional correlation-multivariate general1zed auto regressive conditional heteroskedasticity : DCC - MGARCH) 모형을 이용해 분석해본 결과, 우선 DCC의 평균회귀 속도와 DCC의 움직임의 진폭이 증가했음을 발견하게 된다. 이는 금융위기 이후 자본자유화가 진전되면서 국내 금 융시장이 국내외 금융시장의 정보에 더 민감하게 반응하게 됨에 따라 외환시장이나 주식시장의 변동성이 증가했기 때문인 것으로 사료된다.

In this paper, volatilities of financial markets and dynamic conditional correlations between financial markets are explored using Engle(2002)'s DCC-MGARCH(dynamic conditional correlation-multivariate generalized autoregressive conditional heteroskedasticity) model. The won/dollar foreign exchange market. the domestic stock market. and the corporate bond (three-'year maturity) market are considered. After the financial crisis, volatilities of domestic stock and won/dollar foreign exchange markets are increased as a result of widening liberalization of stock and foreign exchange markets. The volatility in the corporate bond. however, was decreased as a result of a change in the monetary policy regime that the volatility of the call rate was restricted by the central bank after introducing the inflation targeting. Regarding the behavior of conditional correlation, the speed parameter of mean-reversion and the width of DCC's oscillation are larger after than before the financial crisis. This is because volatilities of both stock and won/dollar foreign exchange markets increased after the crisis as domestic financial markets response sensitively to information of domestic and foreign financial markets in the era of more open domestic financial markets.