장 · 단기 채권수익률간의 장기균형에 관한 연구

다국어 초록 (Multilingual Abstract)

Economic variables maintain a long-run equilibrium if linear relationships are stable among them, even though they are unstable individually. That is, the differentials in interest rates caused by the difference in maturity are stable in the long run if short rates and long term rates are cointegrated. The present study tests empirically the existence of long-term equilibrium relationship between short-term interest rates and long-term interest rates by performing contegration test among them. The result largely denies the existence of the long-term equilibrium relationship, which means that the market has not fulfilled its pricing function. The result reflects that financial market function in Korea has been restricted by the capital rationing imposed by the government for fast economic growth. Noteworthy of the result, the cointegration relationship has been improved after implementation of the first stage of interest rate liberalization plan. It is conjected that Korean financial market moves ahead to enhance the long-term equilibrium relationship in line with the government`s liberalization policy.