수익률곡선 평탄화에 대한 불확실성의 영향

From the global financial crisis to the recent COVID-19 pandemic, high uncertainty in economic conditions has prevailed. And a flattening of the yield curve has become significant in the financial market. Considering these developments, this study analyzes the relationship between uncertainty and the yield curve based on the no-arbitrage affine term structure model. When adding uncertainty to the term structure model, it has acted as a downside factor for both the future average expected short-term interest rate and the term premium. The effects on the expected short-term interest rate reflect the relationship between uncertainty and the policy interest rate, and the term premium exhibits the increase in demand for safe assets. Regarding the flattening of the yield curve, as the expected short-term interest rate stabilizes beyond five years of maturity, the term premium plays a leading role in the movements of long-term interest rates. When estimating the expected short-term interest rate only through intrinsic determinants such as level/slope/curvature, it has shown a fairly low level compared to the model including uncertainty, requiring considerable attention in the operation of monetary policy. If monetary policy is more relaxed than the expectations of market participants, they will adjust expectations in the direction of prolonged low interest rates which results in deepening the financial imbalance.