2017년 미국의 단계적인 금리인상 전망을 반영한 우리나라 금리 기간구조 예측

초록

The Federal Reserve raised its benchmark rate to 0.5-0.75% on December 2016 for just the second time since the 2008 financial crisis. At least three further rates increase in 2017 is widely expected with arguably very low uncertainty, and therefore, it may be regarded as an anticipated global shock. This paper attempts to study the impact of the global shocks such as the anticipated 2017 U.S. policy rates increase on predictions of Korea’s yield curves. For this task, this paper adopts the Nogueira’s (2010) PCA-based prediction method which allows to use analyst’s views and to handle the problem of forecasting the vector of interest rates of more than one country. Following the survey results collected by Bloomberg, it is assumed in the empirical analysis that U.S. benchmark rates would increase from 0.625% in December 2016 to 0.67%→0.87%→0.94% →1.17% each quarter in 2017. Assuming 95 per cent confidence of these views, the Korea’s yield curve is predicted to shift upward on average by 0.71%p by the end of year 2017. Korea’s policy rate would more likely to increase by 0.39%p if U.S. benchmark rate increases by 0.55%p according to analysts’ views and if Korea’s policy rate is allowed to adjust freely reflecting the historical correlations with the global factor and yields with different maturities in two bond markets.

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