아시아 국채 시장에서 위험 프리미엄의 추정과 수익률 스프레드 정보에 관한 연구

다국어 초록 (Multilingual Abstract)

In this study, the existence of a time-variable risk premium in the interest rate structure of government bonds in five Asian countries (Korea, Japan, Malaysia, Singapore and Thailand) was examined by GARCH-M model. In particular, the sample period was separated based on the global financial crisis to observe whether the risk premium was changed, and whether the excess holding yield was influenced by including the yield spread in the mean equation and the variance equation. The results of empirical analysis during the sample period presented in this study are as
follows. First, the risk premium of long-term bonds was estimated to be statistically significant in Korea, Japan, Singapore and Malaysia before the global financial crisis and Japan, Singapore and Thailand after the financial crisis. The risk premium of the medium-term bond was estimated to be negative in all the government bonds before the financial crisis, but after the financial crisis, the value of Thailand was estimated to be positive, while the values of Japan, Singapore and Thailand were estimated to be negative Second, the impact of the yield spread on the excess
return was significant in Korea and Singapore before the financial crisis in the case of long - term bonds but increased to four countries after the financial crisis except Malaysia. In the case of medium-term bonds, statistically significant estimates were obtained for all government bonds before the financial crisis, but fell to two countries (Japan and Thailand) after the financial crisis. Third, the direct effect of yield spread on conditional variance was confirmed in long-term and medium-term bonds in all countries except Thailand. The empirical results of this study, which examined the causes of time-varying risk premiums in the term structure of government bonds, are expected to help understand the trade-off between risk and excess returns, and changes in the relationship between risk premium and yield spreads.

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