이표채는 표면이율과 이자지급 단위기간의 차이에서 발생하는 현금흐름에 의해 수익률형성이 영향을 받는 것으로 알려져 있다. 이 연구는 우리나라 국채시장에서 형성된 2001년부터 2007년 전반기까지의 제 1종 국민주택채권과 국고채의 자료를 기초로 이표효과를 실증적으로 분석한다. 이와 같은 분석은 투자대상 국채들의 가격적정성과 이들 간의 차익거래 기회가능성을 제공하기 때문이다. 분석결과 지표채권인 국고채권과 제 1종 국민주택채권의 수익률은 높은 상관관계를 보였다. 한편 만기기간이 3년인 경우는 표면이율의 차이변화가 수익률차이의 변화에 미치는 영향이 어느 정도 통계적 유의성을 보였으나 계수값과 모형의 설명력이 매우 낮게 나타났다. 또한 이들 변수들을 종속변수들로 한 VAR모형 및 이들 결과를 이용한 그랜져 인과관계분석 결과 수익률의 차이는 표면이율의 차이변화에 원인이 된다는 사실이 통계적인 유의성을 보이고 있다. 그러나 그 역은 그렇지 않는 것으로 나타나고 있다. 결과적으로 주요 국채들 간의 수익률차이는 표면이율의 차이에 의한 이표효과보다는 다른 요인들에서 찾아보아야 할 것으로 생각된다. 도리어 이 연구의 실증분석 결과는 수익률차이가 표면이율 결정에 영향을 미친다는 사실을 보다 명확히 확인시켜 주고 있다. 전체적으로 볼 때 국채시장에서의 이표효과는 국채의 운용 시 고려 되어야할 의미 있는 요인으로 간주되기 어렵다고 보인다.

The coupon bond is known that the yield is affected by its cash flow such as coupon interest rate and coupon period. This study investigates the coupon effects of the government bond markets. For this purpose, the empirical analysis is made with the data from 20001 to 2007 of the Korean Treasury Bond(KTB) and the National Housing Bond(NHB). This analysis provides the valuation of the fair price on the government bonds as well as the possibility of arbitrage trading in the secondary government bond markets. Estimation results show that there was high correlation among the yields of KTBs and NHBs. However, there were little empirical evidence that the differences of the coupon rates of these bonds have made effects on their market yields. In contrast, the empirical analysis by VAR model and Granger causality test show that the coupon rates of the new issuing bond were highly affected by the market yield in the secondary markets. The inverse is not. As a results, the yield difference among the principal government bonds are thought to be caused not by coupon effects but by some other factors such as market participants and liquidity. Rather than this, this study confirms that the yield difference made in the secondary markets tend to decide the coupon rate in the primary markets. As a whole, the coupon effects are not likely to be treated as a major decision factor for the bond management strategy in the Korean Government bond markets.

The coupon bond is known that the yield is affected by its cash flow such as coupon interest rate and coupon period. This study investigates the coupon effects of the government bond markets. For this purpose, the empirical analysis is made with the data from 20001 to 2007 of the Korean Treasury Bond(KTB) and the National Housing Bond(NHB). This analysis provides the valuation of the fair price on the government bonds as well as the possibility of arbitrage trading in the secondary government bond markets. Estimation results show that there was high correlation among the yields of KTBs and NHBs. However, there were little empirical evidence that the differences of the coupon rates of these bonds have made effects on their market yields. In contrast, the empirical analysis by VAR model and Granger causality test show that the coupon rates of the new issuing bond were highly affected by the market yield in the secondary markets. The inverse is not. As a results, the yield difference among the principal government bonds are thought to be caused not by coupon effects but by some other factors such as market participants and liquidity. Rather than this, this study confirms that the yield difference made in the secondary markets tend to decide the coupon rate in the primary markets. As a whole, the coupon effects are not likely to be treated as a major decision factor for the bond management strategy in the Korean Government bond markets.

Coupon Effects, Treasury Bond, Coupon Rate, Coupon Period, Yield to Maturity