주택저당증권(Mortgage Backed Securities, MBS)과 채권 상품 간 상호연계성 분석

This study analyzes the interconnectedness between the mortgage-backed securities (MBS) index and other bond indices, such as government, public agency, financial, and corporate bonds, from January 2017 to December 2024. We employ a Bayesian vector autoregressive (VAR) model to identify the relationships between MBS and other bonds and then estimate spillover effects using Diebold & Yilmaz’s spillover index. The main findings of this study are twofold. First, we find that changes in MBS are highly synchronized with corporate bonds, while government and public agency bonds show significant co-movement with MBS fluctuations. Second, the impulse response analysis reveals that a 1% positive shock to other bonds causes a greater than 1% increase in MBS over the entire period. However, the sensitivity between MBS and other bonds has recently been alleviated, suggesting a more stable relationship between them bonds in the bond market. Our findings indicate that MBS is an intermediary between public- and private-sector bonds and substantially influences the Korean bond market. Therefore, we recommend meticulous planning of the issuance and management of MBS to promote qualitative growth in the domestic bond market.