장단기 금리스프레드와 신용스프레드가 경기동행지수에 미치는 영향 분석

This dissertation investigate whether a positive slope of the yield curve is associated with a future increase in coincident composite index as proxy measure of real business cycle and a flatting and a negative slope of the yield curve is associated with a future decrease in coincident composite index. The findings are as follows: For whole sample period, the effect of yield spread to coincident composite index lasts for 10 months and maximum effect is after 5 months. Yield spread have predictive power 1 to 3 quarter ahead to business variables(coincident composite index). Chow testing results about whether a break occurs at global financial crisis in September 2008 show that there is a break in the population regression coefficients. Credit spread(using spread between treasury bond(3 year) yield and BBB- corporate bond yield) will be reduced in business expansion, but will be increased in business recession. after regression analysis, the coefficient of regression is (-) as expected and the effect of credit spread to coincident composite index lasts for 10 months.