우리나라의 수익률 곡선과 경기변동의 관계 분석

Analysis of the Relationship between the Yields Curve and Business Cycles in Korea

Purpose - This paper investigates the relationship between the yield curve and business cycles in Korea. Design/Methodology/Approach - The study employed the Granger causality and impulse response functions based on a VEC (vector error correction) model. Findings - The results of the impulse response function analysis revealed that domestic business cycles showed a statistically significant positive response to a rising shock in the term spread. Moreover, domestic business cycles exhibited significant positive responses to rising shocks in monetary policy variables and the leading composite index, and a significant negative response to a rising shock in the risk spread. Comparing the pre- and post-global financial crisis periods, domestic business cycles showed a more strongly significant positive response to rising shocks in the slope of the yield curve. Research Implications - These results indicate that the predictive power of the term spread for business cycles is valid, and that the predictive power of the yield curve for domestic business cycles is greater in the post-global financial crisis period compared to the pre-global financial crisis period. The enhanced predictive power of the yield curve for business cycles in the post-global financial crisis period is interpreted as being due to the prolonged low-interest-rate policy and sustained stable inflation resulting from the monetary easing policy taken in response to the global financial crisis.