금융시장
Determinants and Applications for Term Spreads on Domestic Bond Market
2009-10-15KIM, Wan-Joong
목차
요약
Background and Assessment of recent term spread
The Importance of managing capital profit and loss increases
Major Institutional investors raises the rate of return and sophisticates the risk management by using yield curve after Asian crisis.
The importance of managing capital profit and loss increases as a bond market grows.
Expectation that B.O.K would raise interest rate makes a treasury yield curve raise
Recent expansion of treasury bond spread is impossible to last so that the key interest rate would raise or index rate fall.
The market concerns that institutional investor of bond should change their position of
portfolio.
The Behavioral and Dynamic feature of yield curve in Korean bond market
The behavioral feature of yield curve
Most yield curve in Korea have a rising feature. Volatility of return of 10-year matured treasury bond is lowest than others because only pension funds and insurance companies demand them.
The result of VAR analysis shows that 9month-6month spread adjoining short-term spread and 5year-3year spread response immediately as a result of impulse in 6month-3month spread. on the other hand, long-term slope response strongly to an impulse of index spread.
The determinants of yield curve and the dynamic feature
Inflation rate and increasing rate of a leading composite index are key determinants of slope of yield curve in both economic upturn and downturn.
The result of impulse-response analysis using data in a business upturn shows that long-term rate response strongly to a leading composite index shock and short-term rate tumble to in response to call rate shock.
Short-term rate response strongly to the response of impulses of leading composit index and total loan of the bank.
The Importance of managing capital profit and loss increases
Major Institutional investors raises the rate of return and sophisticates the risk management by using yield curve after Asian crisis.
The importance of managing capital profit and loss increases as a bond market grows.
Expectation that B.O.K would raise interest rate makes a treasury yield curve raise
Recent expansion of treasury bond spread is impossible to last so that the key interest rate would raise or index rate fall.
The market concerns that institutional investor of bond should change their position of
portfolio.
The Behavioral and Dynamic feature of yield curve in Korean bond market
The behavioral feature of yield curve
Most yield curve in Korea have a rising feature. Volatility of return of 10-year matured treasury bond is lowest than others because only pension funds and insurance companies demand them.
The result of VAR analysis shows that 9month-6month spread adjoining short-term spread and 5year-3year spread response immediately as a result of impulse in 6month-3month spread. on the other hand, long-term slope response strongly to an impulse of index spread.
The determinants of yield curve and the dynamic feature
Inflation rate and increasing rate of a leading composite index are key determinants of slope of yield curve in both economic upturn and downturn.
The result of impulse-response analysis using data in a business upturn shows that long-term rate response strongly to a leading composite index shock and short-term rate tumble to in response to call rate shock.
Short-term rate response strongly to the response of impulses of leading composit index and total loan of the bank.
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