GDP 연계채권과 환리스크 프리미엄

• 영문명: GDP Linked Bonds and Currency Risk Premiums
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 손경우(Kyoung-woo Sohn)
• 간행물 정보: 『아태비즈니스연구』제12권 제3호, 379~396쪽, 전체 18쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2021.09.30

영문 초록

Purpose - The purpose of this paper is to study the rational payoff from the standpoint of foreign investors and the government when the government issues GDP-linked bonds to foreign investors. Design/methodology/approach In this paper, the prices of 12 types of GDP-linked bond structures, which are classified according to the calculation cycle of the rate of change of linked GDP, the currency issued, and whether options are embedded, were evaluated. The Fama-French 3-factor model and the GMM-SDF model are used in the asset pricing model, and domestic and overseas investors used different basis assets. Findings - The KRW premium for US investors is estimated to be 43bp on a quarterly basis and 30bp on an annual basis, respectively, meaning that when the government issues bonds in KRW, the interest rate paid to US investors will be reduced by 30bp to 160bp (annually converted). Using the Fama-French 3 factor model, the KRW premium is the risk premium for the US market beta, meaning that if US investors do not intend to invest in US market beta, it is advantageous to receive an additional interest rate by investing in USD-denominated GDP-linked bonds. Korea s GDP- linked bond give US investors diversified investment utility, so they are willing to incorporate Korean GDP-linked bonds even if -150bp of interest is deducted from the structure issued to Korean investors. And as a result of estimating the value of the option through the GDP-linked bond with options that provides a floor for guaranteeing the principal, the value of the option linked to the annual GDP issued in dollars was the lowest. Research implications or Originality Issuing dollar-denominated GDP-linked bonds linked to annual GDP with the option of guaranteeing the principal by the government is a way to increase investment opportunities for US investors and achieve financial stability of the government.

목차

Ⅰ. 서론

Ⅱ. 실증분석

Ⅲ. 결론 및 시사점

References

키워드

Currency risk premium GDP linked bond Global asset pricing GMM-SDF Hedging against macro risk