한국 국가CDS 스프레드가 FX옵션 및 이자율 스왑션 시장에 미치는 영향

We examine whether Korean sovereign CDS spreads affect volatility of won-dollar FX options and interest rate swaptions. We perform empirical tests for three sub-periods: (i) before the global financial crisis (2004-2007), (ii) during the crisis (2008-2009) and (iii) after the crisis (2010-2012). We find no significant relation between Korea sovereign CDS spreads and option volatility before the financial crisis. Since 2008, however, the association between CDS spreads and FX volatility has strengthened, with CDS spreads leading FX volatility. After 2010, one-year CDS spreads led FX volatility and FX volatility, in turn, led interest rate swaption volatility. In the case of 5-year CDS spreads, CDS spreads led swaption volatility and swaption volatility, in turn, led FX volatility. We conclude that CDS spreads have shown a significant relation with option volatility only after the financial crisis. We also find that CDS spreads can be a leading indicator for FX option volatility. In addition, we document an increasingly deepening relation between CDS spreads and interest rate swaption volatility in recent period.