국제자본조달유동성과 우리나라의 경기변동에 대한 연구

Abstract

This study investigates the significance of the U.S. funding liquidity measure, TED spread, obtained by subtracting 3-month T-bill rate from 3-month Libor, in explaining the business cycle of South Korea and takes a look at recent changes pertaining to the transition to SOFR(Secured Overnignt Financing Rate) from Libor. This study contributes to the existing literature by empirically demonstrating the statistical significance of the global funding liquidity on the business cycle of South Korea, thereby enhancing the understanding of the business cycle in South Korea, and by examining SOFR which is gaining increasing attention. In applying the probit estimation model, a binary dependent variable is generated based on the business cycle stages and descriptive variables are constructed using term spread, short rate, and funding liquidity measures. The estimation results show that TED spread is significant in explaining the business cycle of South Korea, while the domestic funding liquidity measure proves to be insignificant, and considering U.S. term spread and TED spread along with domestic variables remarkably enhances the explanatory power. Under the circumstance that TED spread is no longer available due to the transition to SOFR, it is necessary to reassess the measurement of funding liquidity, considering recent studies which demonstrate that SOFR is less informative than Libor concerning credit and liquidity risks. Especially in case of the term SOFR, which covers vulnerabilities of overnignt rate and promotes practical use of the new benchmark rate, further research is required to figure out its informational contents on the funding conditions.