위안화의 SDR 바스켓 통화 편입에 따른 SDR 채권 수익률 및 리스크 특성 연구

초록

SDR-denominated bonds are synthetic bonds composed of major international currencies, whose returns and risks are determined by the basket currencies. This study conducted Sharpe ratio comparison and spanning test to analyze the effect of the yuan on the SDR bond yield and risk characteristics. The investment performance of SDR denominated bond has been developed by including the yuan which showed continuous appreciation and high interest rate with low volatility during March 2006-September 2016. The Sharpe ratio of SDR with the yuan was much higher than that of SDR without the yuan. Spanning test also shows that the inclusion of the yuan into SDR expands the efficient frontier of existing assets, such as the US dollar, euro, pounds sterling and yen. On the other hand, in spite of the yuan’s weakening during January 2014-September 2016, the Sharpe ratio of SDR with the yuan was still significantly higher than that of SDR without the yuan. The reason is that other SDR basket currencies such as euro and pounds suffered from sharp depreciation, thus made the yuan relatively strong. In addition, China maintained much higher interest rate than other major countries during the period. Spanning test also support that SDR by including the yuan expand the efficient frontier.

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