소파동 분석을 이용한 주식과 채권수익률 관계 분석 = On the relationship between changes in stock prices and bond yields via Wavelet analysis

국문 초록 (Abstract)

본 연구의 주요 목적은 경제시계열에 대한 다양한 시간주기에서의 분해를 실시할 수 있다는 소파동 분석의 장점을 활용하여, 주식수익률과 채권수익률을 분해하고 다양한 주기에 따른 경제변수의 의미를 살펴보는데 있다. 기존의 연구에서는 주식수익률과 채권수익률과의 관계가 정(+)의 관계인지, 부(-)의 관계인지에 대해 많은 논쟁이 있다. 본 연구에서는 이러한 논의를 바탕으로 주식수익률과 채권수익률의 관계에 대해 소파동 상관관계를 통한 분석을 실시하였다. 분석결과 소파동 상관관계는 일정하지는 않지만 전반적으로 양(+)의 값을 갖는 것으로 나타났다. 주식수익률의 분산이 채권수익률 변화분의 분산에 비해 대체로 큰 것으로 나타나, 주식시장이 채권시장보다 충격에 대한 반응이 더욱 크게 나타난다는 것을 의미한다. 주식수익률과 채권수익률의 변화분에 대한 소파동 분석 결과 장기주기에서는 두 변수의 수익률이 함께 움직이는 것으로 나타났다. 이러한 결과는 장기에 주가와 채권수익률이 함께 움직이면서 전략적인 자산배분이 가능하다는 것을 의미한다.

다국어 초록 (Multilingual Abstract)

In this paper, we analyzed the economic time series and financial data using the wavelet methods. Some decisions are taken with respect to long-term plans, while other decisions are taken with respect to short-run variations. At different time-scales, a variety of activities of heterogeneous economic agents will interact along the economic variables with different characteristics. Such structures at a different time horizons can be unveiled by the decomposition of time series on a scale-by-scale basis via wavelet. Our main purpose is to present a wavelet methodology for decomposing time series data and to discuss the implications of the wavelet decomposition. The advantage of the wavelet approach is to analyze different time series based on various time-scales. In this paper, we examined the relationship between the stock prices and the bond yields. As theoretical studies argue that this relationship may be either negative or positive, we developed a wavelet correlation analysis model for investigating the relationship. The empirical result shows that the correlation is basically positive although the value is not constant. The variance of changes in stock prices is more volatile in all time-scales than those of changes in the bond yield. From the analysis of the correlation over the wavelet time domain, we found that changes in stock prices and bond yields are more bound in the long scale. The result of the wavelet analysis reveals that changes in stock prices and bond yields does move together in the long scale. The results indicate that a tactical asset allocation may hold in the long-run, because changes in stock price and bond yield move together.

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