금융위기 이후 경제정책불확실성의 회사채스프레드에 대한 영향 분석

The Korean bond market is very sensitive to the economic policies and directions implemented by countries around the world including the United States. This study analyzed the effect of economic policy uncertainty on the credit spread of Korean corporate bonds using the Economic Policy Uncertainty Index (EPUI) published by US policyuncertainty.com. In addition, considering that the current domestic corporate bond market over 10 years after the financial crisis has changed a lot compared to before the financial crisis, I tried to approach the credit spread determinants discussed in past studies in accordance with the characteristics of the current bond market. As for the analysis model, a multiple regression analysis model was applied. It was based on the structural model of Colin-Dufresne et. al.,(2001), and three of the US EPUs (EPU 3 components, fiscal policy EPU, monetary policy EPU) considering the United States has great influence on the Korean financial market and Korea EPU were sequentially applied to the multiple regression model. From September 2009, shortly after the financial crisis, to the end of 2020, bank bonds, corporate bonds, and credit finance corporation bonds were examined by credit ratings. As a control variable related to the business cycle, the ‘monthly GDP’ estimate using Lee Geung-hee(2008)’s Chow-Lin benchmarking method was used. As a result of empirical analysis, the US EPU (3 components) was found to have a very high significance with the domestic credit spread. The US EPU (fiscal policy) had the next highest significance, and the US EPU (monetary policy) and Korea EPU had low significance. Based on the U.S. EPU (3 components), bank bonds, corporate bonds, and credit finance corporation bonds all showed positive relationships above grade AA, which is consistent with the results of studies by Nodari(2014) and Kaviani et. al. (2020). Monthly GDP used as a business cycle indicator was also found to be very significant in most all categories and credit ratings. In addition, the slope of the yield curve (10-year KTB∼3-year KTB), which newly defined the short- and long-term interest rates, was also found to be very significant in all categories and credit ratings. Noteworthy is that in previous studies, when economic indicators improve or the slope of the yield curve becomes steep (long-term interest rate rise), the credit spread was reduced by interpreting it as an economic recovery signal, but the results of this study were reversed. This is presumed to be because the credit spread in the domestic bond market, which is formed mainly of bonds with very low default risks under the global quantitative easing and low-interest rates that continued after the financial crisis, moves in the same direction as the increase or decrease in investment attractiveness of general bonds rather than the increase or decrease in default risk. In addition, it was confirmed that the fact that Ryu and Lee (2015) raised the possibility that corporate bonds of grade A and below BBB grades are being treated like speculative grade bonds has continued to this day. Additionally, for the robustness of the empirical analysis results, the bond maturity was applied to 2 years instead of 3 years, and Industrial production index was applied instead of monthly GDP. Both showed similar results.