국가 신용파산스왑 프리미엄 결정요인 및 동조화 행태 분석

This study analyzes the determinants and co-movements of sovereign credit default swap (CDS) premia. First, the empirical results for Korea show that there are significant relationships between the Korean CDS premium and its determinants—an negative(-) relationship for the rate of real economic growth, and positive(+) relationships for external debt and the VIX index. The results of both the cointegration tests and error correction models for the four variables confirm that a long-run equilibrium relationship among them exists. Although a certain variable may allow deviation from the long-run equilibrium, it shows that the equilibrium relationship is again recovered by shortening the deviation gap up to 93% within a mere quarter-period. Second, the empirical results of panel data analysis for 29 countries reveal the CDS premia of those countries to be negatively related to their rates of real economic growth and to U.S. Treasury yields, while being positively related to the VIX index and to external debt. Third, co-movements of sovereign CDS premia after the global financial crisis were increased. Principal component analyses show that the first principal component explains 80 percent of the variation in sovereign CDS premia after the global financial crisis(4Q2008-4Q2011), while it explains 64 percent of the variation in sovereign CDS premia during the former period(1Q2002-3Q2008). Co-movements of sovereign CDS premia by region were also observed. In particular, principal component analyses of the PIGS(Portugal, Italy, Greece, Spain) countries show that the first principal component explains 95 percent in the variation in PIGS' sovereign CDS premia. The explained variation of sovereign CDS premia by the first principal component is lower for Eastern Europe(85%), Latin America(82%) and Asia(76%). Meanwhile, for Asia the coefficient of correlation between the first principal component and the VIX index came out the highest at 0.93, while that for the PIGS countries was the lowest at 0.33. This may be interpreted as indicating the risk tendencies of international investors (reflected in the VIX index) to be the most significant factor explaining the movements of Asian sovereign CDS premia. In the case of the PIGS, however, U.S. Treasury yields exert more influence in determining their CDS premia. It is anticipated that the three findings above effectively contribute for government, central bank, and monetary authorities to monitor sovereign default using CDS premia and take timely action in regards to this.