외환 및 외환스왑시장 관련 연구

양대정 서울시립대학교 대학원 2020 국내박사

The FX spot market is a market in which the transactions between the heterogeneous currencies are traded through exchange rates, and market participants bear the FX risk caused by exchange rate fluctuations. On the other hand, the FX swap market is a market in which borrowing and lending transactions between heterogeneous currencies are carried out through the FX swap rate for contract period, and market participants bear the risk of the interest rate fluctuations. Theoretically, assuming the perfect capital mobility, the former satisfies an uncovered interest rate parity (UCIP) condition and the latter a covered interest rate parity (CIP) condition, otherwise carry trade and risk-free arbitrage incentive exist respectively. This paper empirically analyzes the phenomena in FX spot and swap markets at home and abroad before and after the global financial crisis, mainly based on these conditions. The summaries of each paper are as follows. In the first paper, I analyzes the impact of foreign security investment flow on the Won/Dollar exchange rate. The results show that the impact has risen after the global financial crisis. This is mainly due to that the share of security investments with the low hedging tendency such as mid&long term investors and temporary parking investors for emerging market investment has increased rapidly, while the share of foreign security investments with high hedging tendency has decreased. In addition, This is partly due to that the sensitivity of the Won/Dollar exchange rate to foreign security investment flow has also increased owing to the more strengthening financial linkage between the global financial market and the domestic FX market since the Crisis. Such analysis suggests that the volatility of the Won/Dollar exchange rate may increase more highly than before the Crisis, when the foreign security investments are outflowing such as the Sudden Stop. Meanwhile, the resilience for the global financial shock seems to be enhanced if the domestic economic soundness is stable, because the outlook for the basic economic conditions of the invested country is an important criteria for the investment decision in the case of mid&long-term foreign security investments. Second paper investigates the inter-connectedness and pro-cyclicality by calculating the network index among the swap banks during the period of 2005 ~ 2012, in order to grasp the cause of the suddenly surging instability in the foreign exchange swap market during the global financial crisis. As a result of the investigation, the network structure of the foreign exchange swap market was accumulatively intensified when the liquidity was in good condition, so that the inter-connectedness became stronger. But it was rapidly weakened due to the external shock caused by the global financial crisis. In particular, as a result of investigating with newly adopting SwapRank, which indicates the level of impact on the foreign exchange swap market network by individual swap bank, the influence of swap banks increased considerably during the global financial crisis, futhermore the top rankers of SwapRank decreased swap supply(sell&buy) even more, and consequently the instability in the swap market amplified wide-spreadingly. In addition, the simulation that assumes that external shocks at the level of the global financial crisis may recur on the network structure of the foreign exchange swap market at the end of December 2012, shows that the foreign exchange swap market instability at the global financial crisis level is likely to occur. Third paper analyzes the extraordinary deep deviation from covered interest rate parity(CIP) against US dollar, which has been continuing in the advanced financial market since the global financial crisis. The result shows that this phenomenon has been fairly caused by the demand increasing for US dollar liquidity in the advanced financial market due to the monetary policy differentiation between Fed and ECB/BOJ, as well as due to deleveraging of banking sector by tightened regulations, and this phenomenon is expected to continue at least in the mid-term. Meanwhile, it is necessary to keep in mind that global non-bank financial institutions may be accumulating the position, which is selling US dollar spot, buying US dollar forwards, and buying local currency denominated bonds by US dollar borrowings to take arbitrage gain from the deep CIP deviation. Specially, if interest rate rises and dollar liquidity preference is strengthened in global financial market, there is a potential risk that the global market unstability will be further amplified with the liquidation of arbitrage transaction position, which is buying US dollar spot, selling US dollar forwards, and selling local currency denominated bonds, due to mark to market loss increasing. 외환시장(FX Spot Market)은 이종 통화간 거래가 환율을 매개로 거래되는 시장이며 시장참여자는 환율변동에 따른 환리스크를 부담하게 된다. 반면 외환스왑시장(FX Swap Market)은 특정 계약기간 동안 이종통화간 교환거래가 금리의 일종인 외환스왑레이트를 매개로 이루어지며, 시장참여자는 계약기간 동안 금리변동에 따른 위험을 부담하게 된다. 이론적으로 완전한 자본이동이 전제될 경우 전자는 UCIP(uncovered interest rate parity) 조건을, 후자는 CIP(covered interest rate parity) 조건을 충족시키게 된다. 그렇지 않을 경우 각각 캐리트레이드(carry trade) 유인과 무위험 차익거래 유인이 존재하게 된다. 본 논문은 이들 조건 등에 입각하여 세가지 주제로 글로벌 금융위기 전후 국내·외 외환 및 외환스왑시장에 나타난 현상을 실증분석하고 시사점을 제시하였다. 각 세부 논문의 주제별 요약 내용은 다음과 같다. 첫 번째 논문에서는 글로벌 금융위기 전후 외국인 증권투자자금 유출입의 원/달러환율에 미치는 영향력을 비교분석하였다. 분석결과 위기 이후 상승한 것으로 나타났다. 이는 위기 이후 중장기성 투자자금, 신흥시장국 증권투자자금의 일시적 체류(temporary parking) 등 환헤지 비중이 낮은 투자자금의 유출입이 증가한 반면, 국내 차익거래유인은 줄어들면서 환헤지 비중이 높은 단기성 투자자금의 유출입 비중은 줄어든 데 주로 기인한 것으로 분석된다. 아울러 위기 이후 글로벌 금융시장과 국내 외환시장간 상호연계성(financial linkage)이 강화되면서 외국인 증권투자자금 유출입에 대한원/달러환율의 민감도 또한 높아졌을 것으로 판단된다. 이 같은 분석결과는 외국인 증권투자자금의 이탈이 발생할 경우 원/달러환율 변동성이 더욱 커질 가능성이 있음을 시사한다. 한편 중장기성 투자자금의 경우 투자 대상국의 기초경제여건에 대한 전망이 투자결정에 중요한 요소인 만큼 국내 기초경제여건이 양호할 경우를 전제로 대외충격 흡수력은 제고된 것으로 평가된다. 두 번째 논문에서는 글로벌 금융위기시 국내 외환스왑시장의 급격한 불안정성 증폭원인을 거래물량 측면에서 분석하고자 2005∼2012년중 외환스왑거래 잔액기준으로 네트워크 지표를 산출하여 상호연계성과 경기순응성을 분석하였다. 분석결과, 글로벌 금융시장의 유동성이 양호한 시기에 외환스왑시장의 네트워크 구조가 누적적으로 집적화되면서 상호연계성이 높아지다가 글로벌 금융위기로 대외 유동성 충격이 발생하자 급격히 취약해진 것으로 나타났다. 특히 스왑뱅크별 외환스왑시장 네트워크에 대한 파급 영향력 수준을 나타내는 지표(SwapRank)를 새롭게 도입하여 분석한 결과, 글로벌 금융위기시 스왑뱅크들의 파급 영향력이 크게 확대된 가운데 상위 스왑뱅크들의 외환스왑공급(sell&buy, 현물환 공급/선물환 수요) 감소폭이 더욱 커지면서 불안정성이 연쇄적으로 증폭된 것으로 나타났다. 아울러 글로벌 금융위기로부터 안정화 되었던 시기인 2012.12월말 외환스왑시장 네트워크 기준으로 글로벌 금융위기 수준의 대외충격이 재발할 경우를 상정한 시뮬레이션 결과, 글로벌 금융위기 수준의 불안정성이 재발할 가능성이 존재하는 것으로 분석되었다. 세 번째 논문에서는 글로벌 금융위기 이후 선진 금융시장에서 미달러화 대비 무위험금리평형(CIP : Covered Interest Rate Parity)의 이탈현상이 이례적으로 높은 수준을 지속하고 있는 현상을 분석하였다. 분석결과 미연준과 ECB 및 BOJ간 통화정책 차별화로 인해 유발된 달러유동성 수요우위 압력과 함께 금융규제 강화 등에 따른 은행부문의 디레버리징에 상당부분 기인한 것으로 분석되었으며 앞으로도 상당기간 지속될 것으로 전망된다. 한편 이같은 CIP 이탈확대(스왑베이시스 하락, 재정거래 유인증대)에 따라 금융규제의 영향을 상대적으로 적게 받고 있는 비은행금융기관 등이 달러차입 등을 통해 재정거래 포지션(달러 현물환 매도 & 달러 선물환 매입<또는 스왑베이시스 매도>, 로컬통화 표시 채권매입)을 누적시키고 있는 것으로 평가된다. 따라서 글로벌 금융시장에서 달러유동성 선호현상이 급격히 강화될 경우 재정거래 포지션의 평가손 확대 등에 따라 연쇄적인 반대매매(달러 현물환 매입 & 달러 선물환 매도<또는 스왑베이시스 매입>, 로컬통화 표시 채권매도)가 출회되면서 글로벌 금융시장 전반에 걸쳐 불안정성을 증대시키는 요인으로 작용할 가능성에 유의할 필요가 있다.

資本 自由化와 金融先物市場의 導入

양대정 成均館大學校 1989 국내석사

오버슈트를 갖지 않는 새로운 목표전달함수

양대정 충북대학교 대학원 2001 국내석사

Study on the Wettability of Biomimetic Surfaces for Water Harvesting

양대정 홍익대학교 대학원 2024 국내박사

The survival of all living creatures, including humans, is seriously threatened by the lack of fresh water resources. The increased frequency of extreme weather events like heat waves, droughts, heavy snowfalls, and floods brought on by global warming is upsetting the ecosystem's balance and making the freshwater scarcity worse. In order to get around this problem, scientists have been investigating methods of extracting water from living things (plants and animals, including cacti, bushman grass, prickly devil dragons, and Namib Desert beetles) by studying how these organisms extract water from the atmosphere. Nevertheless, efficiently extracting water from ambient air continues to be a significant obstacle. Fog harvesting is the most interesting use of atmospheric moistures because it doesn't need extra energy, yet it has some regional restrictions. Surface-engineering methods have been used to capture and harvest water droplets from solid surfaces, increasing the effectiveness of fog harvesting. The processes involved in fog harvesting can be reduced to the collection, coalescence, growth, and removal of surface water droplets because there are neither phase transitions nor heat exchanges. There are two types of fog harvesting, according to the biomimetic viewpoint. The first one entails creating the fog harvester's overall geometric structure and topological design. For instance, the references are the conical, furrow-like, and slender shapes of a cactus, a beetle, and a bushman plant; these organisms' structures are made up of micro- or nanostructures. The second category deals with the best possible combination of wettability characteristics to increase the effectiveness of water collection. Recent research has merged two or more bio-inspired designs since the early studies' attempts at a single bio-inspired design were unable to produce an effective fog harvester. In this study, a bushman-grass-like wire structure and a Namib-Desert-beetle-like wettability pattern were combined to create a multi-bio-inspired fog-harvesting device. Several researches have shown how the design that uses wire structures instead of plates enhances the collecting of water. To further increase the effectiveness of this wire-type fog-harvesting system, only a small number of experiments have taken into account the wettability patterning of each wire. Furthermore, the hydrophilic area ratio was varied to determine the significance of both the superhydrophilic and superhydrophobic areas in order to quantify the water harvest efficiency. Moreover, MOF—which is crucial for capturing atmospheric water—was applied to the wire surface in order to assess and compare the effectiveness of fog collecting. This work will serve as the foundation for securing fresh water in arid regions since it immediately impacts obtaining clean water through increasing water harvesting efficiency.