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콜시장의 지준시장화에 따른 콜금리 움직임 분석(An analysis of call rate behavior at interbank market) : 시뮬레이션을 중심으로(A simulation study)

Related Document
Frame of Image 시장 건전화 및 단기지표채권 육성 등을 통한 단기 금융시장 개선방안을 발표하였다. 단기적으로는 증권사의 과도한 콜차입을 규제 하는 한편, 중기적으로는 유동성규제 등 건전성규제 정비를 통한 제2금융권 콜 거래 규모를 축소하기로 발표하였다. 특히 장기적으로는 이질적인 자금거래가 혼 재되어 있는 콜시장 거래를 향후 지준거래만이 허용되는 방향으로 제도를 개선 할 필요성이 있는지를 검토하기로 결정하였다. 본 보고서에서는 한국은행이 현재 시행하고 있는 통화정책 운영체계에서 향후 콜시장이 지준적립의무가 있는 은행만이 참가하도록 개편될 경우 콜금리가 어떤 모습을 보일 것인지에 대해 분석하였다. 특히 시뮬레이션을 통해 제도 개편으로 예상되는 다양한 효과를 분석함으로써 관련된 정책 수립에 도움이 될 수 있을 것으로 기대된다.
본 보고서는 본 연구원 국제․거시금융연구실 임형석 박사가 작성하였다. 익 명의 심사위원과 본 연구원 주례세미나에서의 논평은 보고서의 체계개선과 질적 향상에 크게 기여하였다. 수준 높은 심사의견과 건설적인 제안을 한 익명의 심사 위원에게 감사를 표시하고자 한다. 끝으로 본 보고서의 내용은 모두 집필자의 개인 의견이며 연구원의 공식 견해가 아님을 밝혀둔다.
2010년 11월
한국금융연구원 원장 김 태 준
목
요약
차
Ⅰ. 서 론 ··························1 · · ·· ·· · ·· ·· · ·· ·· · ·· ·· ·· · ·· ·· · ·· ·· · ·· ·· · ·· ·· · ·· ·· ·· · · ·· · ·· ·· · ·· ·· · ·· ·· ·· · ·· ·· Ⅱ. 콜시장 환경 변화 ····················· · ·· ··· ·· ·· ·· ··· ·· ·· · 3 ·· ·· ·· ··· ·· ·· ··· ·· ·· · ·· ·· ·· ··· ·· ·· ··· ·· · 1. 통화정책 운용체계 개편 ······················ 3 ······················ ····················· 2. 단기금융시장 개편 논의 ······················ 7 ······················ ····················· Ⅲ. 콜금리 행태 분석 ···················· 13 ···················· ···················· ···················· 1. 기존 연구 ······························ 3 ····························· 1 ····························· 2. 분석방법 개관 ··························· 17 ··························· ·························· 3. 이론 모형 ····························· 21 ····························· ····························· 4. 시뮬레이션


Full Text
Title 콜시장의 지준시장화에 따른 콜금리 움직임 분석(An analysis of call rate behavior at interbank market)
Similar Titles
Sub Title

시뮬레이션을 중심으로(A simulation study)

Material Type Reports
Author(Korean)

임형석

Publisher

서울:한국금융연구원

Date 2010-11
Series Title; No KIF 연구보고서 / 2010-06
ISBN 89-503-0459-7 93320
Pages 83
Subject Country South Korea(Asia and Pacific)
Language Korean
File Type Documents
Original Format pdf
Subject Economy < Financial Policy
Holding 한국금융연구원; KDI 국제정책대학원

Abstract

Call market is a financial market for the trading of temporary funding overs and shorts mainly among financial institutions. However, there remain some pressing issues regarding Korea's call market. The most prominent is the call-market concentration problem, which results in many other problems, such as an inactive RP market, a stagnant CP market, and making the CD rate unable to serve as an adequate benchmark for the money market rate. This problem causes government to consider the possibility of restructuring call market to be an interbank market.
This paper analyses the impact of the change of call market structure on the behavior of the call rate. It constructs the model by combining a profit maximizing behavior by commercial banks with the central bank supplying the liquidity that keeps the market rate on policy rate. The demand side of the market is based on the behavior observed in countries using averaging provision reserve requirement and channel system of standing facilities. The supply side of the market is given by the central bank open market operations, aiming for setting the call market at some target.
To investigate the behavior of the call rate, this paper calibrates the theoretical model and constructs simulation exercises in order to evaluate the impact of the change of market structure.
The main conclusions from calibration are as follows: (1) the spread of call rate compared with policy rate decreases as only banks participate the interbank market (2) the volatility of the call rate depends on the size of spread of standing facility rates compared to policy rate. The main conclusion from calibration is that the behavior of call rate depends mainly on the operating procedures of monetary policy.