In this study, the impact of arbitrage resulting from Covered Interest Parity (CIP) deviations on Korea’s long-term interest rates was analyzed, utilizing Vector Error Correction (VEC) models for Granger Causality and Impulse Response Function analyses. This analysis covered the period from February 2002 to September 2023, with a comparative analysis of the periods before and after the Global Financial Crisis (GFC). The Granger Causality analysis indicated that changes in the swap basis reflecting CIP deviation presented a significant Granger causal relationship with the variations in domestic long-term interest rates. Notably, in the post-GFC period, when CIP deviations were relatively pronounced, the incentives for arbitrage trading exhibited a stronger leading effect in terms of inducing changes in domestic long-term interest rates. The Impulse Response Function analysis showed that domestic long-term interest rates significantly and negatively responded to the positive shocks in the swap basis. This response was even more pronounced during the period following the GFC. Additionally, foreign long-term interest rates and monetary policy variables also demonstrated a significant impact on domestic long-term interest rates. These findings imply that the adjustment path back to equilibrium from CIP deviations, driven by arbitrage, was developed more through changes in domestic interest rates rather than exchange rate fluctuations, especially after the GFC.

中文翻译：

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使用涵盖利率平价的偏差分析长期债券收益率

在本研究中，利用矢量误差修正（VEC）模型进行格兰杰因果关系和脉冲响应函数分析，分析了备兑利率平价（CIP）偏差造成的套利对韩国长期利率的影响。本次分析涵盖2002年2月至2023年9月期间，并对全球金融危机（GFC）前后期间进行了比较分析。格兰杰因果关系分析表明，反映CIP偏差的掉期基差变化与国内长期利率变化呈现显着的格兰杰因果关系。值得注意的是，在后全球金融危机时期，CIP偏差较为明显的时期，套利交易的激励在诱发国内长期利率变化方面表现出较强的主导作用。脉冲响应函数分析表明，国内长期利率对掉期基差的正向冲击有显着的负向反应。这种反应在全球金融危机之后的时期更加明显。此外，国外长期利率和货币政策变量也对国内长期利率产生显着影响。这些发现表明，在套利驱动下，从 CIP 偏差回归均衡的调整路径更多地是通过国内利率的变化而不是汇率波动来制定的，特别是在全球金融危机之后。