비선형모형을 이용한 거시경제적 불확실성과 펀드 현금흐름의 관계 분석

The purpose of this study is to examine the nonlinear relationship between macroeconomic uncertainty and fund flow in Korean equity funds. We adopt the principal component analysis to derive the common factor of five different macroeconomic variables such as the interest rate, stock index returns, the term spread, the credit spread and the industrial production. The empirical results show that when macroeconomic uncertainty is low(i.e., when the transition function equals zero) the long-run mean of fund flow is positive, while that of fund flow is positive when macroeconomic uncertainty is high. According to the risk hypothesis, this is because when macroeconomic uncertainty is high, higher risk aversion on the part of investors would lead to a reallocation of assets away from more risky securities and into less risky securities. In addition, from examining the relationship of the growth rate of the inflow into funds and the outflow from funds with macroeconomic uncertainty, we found that the relation between the growth rate of inflow and macroeconomic uncertainty is not statistically significant. However, we found that from empirical relation between the growth rate of outflow and macroeconomic uncertainty, it is found that the long-run mean of outflow is positive when macroeconomic uncertainty is high. This result suggests that when macroeconomic risk is high, fund flow decreases because outflow of money from fund increases, not because inflow of money into fund decreases.