한-중 채권시장내 변동성 전이효과

This paper analyzes volatility spillover effects between two Asian bond markets of Korea and China as a way of finding market synchronization in the global bond markets, using the bivariate GARCH(generalized autoregressive conditional heteroscedasticity) BEKK(Baba, Engle, Kraft, and Kroner) framework. During the sample period of 3,914 days from the end of 1997 to the end of 2012, a positive volatility spillover from Korea to China is shown to exist significantly but that from China to Korea turns out to be significantly negative from the estimation results of the symmetric GARCH model. However, downward shock from China is found to have a significantly positive impact on the conditional volatilities of Korean bond market returns in the estimation of asymmetric GARCH model, which is used to differentiate downward and upward shock transmission from the general unexpected shocks . In the analysis of the subsample period of Global Financial Crisis Times from July, 2008 to June, 2009 for the improvement of estimation efficiency, only a shock from China is shown to affect Korea significantly in the symmetric model, which is perfectly contrary to the whole sample case. Additionally, in the asymmetric model estimation for the subsample period, the mutual downward shock spillovers between these two countries are found to be significant. Conclusively, Korean bond market is found to be vulnerable to external shocks from the above analyses of two cases. It is strongly required to develop policy designs to mitigate external shocks for the stabilization of the bond market in Korea.