Granger 인과관계를 활용한 미국 기준금리 인하의 주요 글로벌 자산별 영향분석 = Impact of U.S. Policy Rate Cuts on Major Global Assets: An Empirical Analysis Using Granger Causality

다국어 초록 (Multilingual Abstract)

This study examines the short-term predictive relationship, based on Granger causality, between the U.S. 3-month Treasury yield and major global assets during U.S. policy rate-cut periods, using data from January 13, 1999, to December 30, 2024. The asset set includes seven equity indices (KOSPI 200, Nikkei 225, Hang Seng, EuroStoxx 50, Dow Jones Industrial Average, Nasdaq, and S&P 500) and two commodities (gold and crude oil futures).
To capture temporal heterogeneity, the analysis incorporates both rate-cut episodes and structural breaks caused by global shocks such as the September 11 attacks and the Lehman crisis. The results show that Treasury yields exert significant Granger causality for several equity indices in the full sample, but the set of significant variables differs across easing periods and between pre- and postshock regimes, indicating regime-dependent effects.
Linkages between Treasury yields, safe-haven assets, and interest-sensitive sectors strengthen during rate-cut periods, while predictive relationships for global equities shift after major shocks. These findings provide implications for portfolio allocation and hedging under changing monetary policy conditions.