한국 채권시장의 비대칭적 변동성에 관한 재고찰

A Re-examination on Asymmetric Volatility in Korean Bond Market

Purpose This paper re-examines whether volatility is asymmetric in the Korean bond market and also if the volatility asymmetric response is stable in spite of time period. In addition, we analyze the relationship between the volatility asymmetry and the key interest rate trend in the Bank of Korea. Design/Methodology/Approach Three bond price indexes published by the Korea Exchange are used. The sample period is from the beginning of 2010 up to December 31, 2019. A total of 2,466 daily data observations are analyzed using the univariate and bivariate EGARCH in mean model with student t error distribution. Also, the parameter stability is tested using the Nyblom framework. Findings The result are as follows. First, for the full time period, it seems that there is no asymmetric volatility in the Korean bond market. However, the volatility asymmetry parameter is found to be unstable. Second, there is a close relationship between the trend of volatility asymmetry parameter and the key rate trend. Third, there is a strong volatility asymmetry during the key rate downward trend period, while there is an inverse asymmetric volatility in the key rate upward trend period. These seem to support the argument of Glosten, Jagannathan and Runkle (1993) that the asymmetric volatility is related to the insufficient adjustment of bond price when the expectation of future cash flows are changed. Finally, these results are unaffected by considering the asymmetric volatility in stock market. Research Implications This study re-examines the volatility asymmetry in Korean bond market, focusing on the existence of it depending on the economic factors such as key interest rate. For this, the Nyblom test is used for verifying the stability of asymmetric volatility parameter. We show that the asymmetric volatility is existent particularly during the key rate downward trend period. This implies that the asymmetric volatility response is more vivid when the bond market is bullish.