주식수익률에 대한 적절한 이자율지표 = The Appropriate Interest Rate Index for Stock Returns

다국어 초록 (Multilingual Abstract)

This study investigates the effects of interest rate on stock returns, and finds out the appropriate interest index
explaining stock returns. For this purpose, I empirically apply 15 indices of interest rate and KOSPI during the
period of January, 2000 to December, 2020. Empirical results are as follows: First, in static model, all interest rate
indices have significantly negative effects on KOSPI. In particular, policy rates, call rates, and loan rate of banks
have relatively bigger effects on KOSPI. Second, in static model, loan rate to government, loan rate of bank, and
rate of national housing bond type 1 show relatively higher significance and explanation power. But the statistics
of this static model have credibility problems because of autocorrelation. Third, in dynamic model, all interest rate
indices have significantly negative effects on KOSPI, too. Especially, loan rate to government and call rates have
relatively bigger effects on KOSPI. Forth, in dynamic model, rates of CD or CP, deposit rate of bank, and rate of
monetary stabilization bond show relatively higher significance and explanation power. Nevertheless, the statistics of
this dynamic model don’t have credibility problems at all. Fifth, in dynamic model, all statistics of interest rate
indices have similar results. Therefore, the policy rates decided earlier by interest rate path can be appropriate for
convenience of forecasting. This study implies that the policy rates, like base rate, government loan rate, and so on,
can be used as a proper interest index for forecasting stock returns.