우리나라 이자율 차익거래 유인과 주식시장 변동성의 연관성에 관한 연구:2007-2008년 세계 금융위기를 전후하여

We investigate the relationship between the dollar-based covered interest rate disparity (CIRD, violation of the interest rate parity) and the stock market implied volatility in South Korea before and after the 2007-2008 global financial crisis. Since the advent of the global financial crisis in July 2007, the observed disparity exhibits a high positive correlation with the V-KOSPI. We propose the following explanation: the sovereign credit risk of South Korea had larger effects on the CIRD and on the stock market implied volatility during the crisis than it had had previously, and hence the linkage among them became tighter. The Granger causality test shows that there had been no causality between the V-KOSPI and the CIRD before the crisis, but the V-KOSPI has caused the CIRD since the advent of the crisis. The impulse response analysis also verifies that external impacts to the V-KOSPI consistently have had influences on the CIRD after the crisis. This contrasts to the fact that there has been no clear causality between the Credit Default Swap (CDS) spread of South Korea and the CIRD. The empirical evidence coincides with the extant literature which shows that stock market volatility has a larger influence on credit risk during a crisis period than when the market is normal and the volatility is related to the frequency of interest rate arbitrage opportunities.