_092-124p_4 2011.10.

28 10:29 AM 94 g5

94 (2011 3/4)

Part 03

. -

(KDI )

2007 2008
, 2008 9 16 2008 4/4
GDP -3.2%, -3.5% .
.

, GDP , , ,

,
(Term Spread) (Risk Spread)

(VAR)

,
.

,
2010 102% OECD , GDP
52% .
_092-124p_4 2011.10.28 10:29 AM 95 g5

Part 03_ . - 95

-1 | (: %)

120

100

80

60

40

20

0
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

: OECD.

. : MBS(Mortgage Back Securities)

, .

2011 2/4 GDP

0.2% .

- 7 3.8%, 6.7%
2008 .
2010 1/4 10.4% , 2/4 8.9%
.
_092-124p_4 2011.10.28 10:29 AM 96 g5

96 (2011 3/4)

-2 | (: , %)

15

10

-5

-10
3 6 9 12 3 6 9 12 3 6 9 12 3 6 9 12 3 6
2007 2008 2009 2010 2011

: U.S. Bureau of Labor Statistics.

-3 | (: , )

12 6

4
10
2

0
8
-2

6 -4

-6
4
-8

2 -10
3 6 9 12 3 6 9 12 3 6 9 12 3 6 9 12 3 6
2007 2008 2009 2010 2011

() ()

: U.S. Bureau of Labor Statistics.

, 2011 2010 1 2,940 2011 1 2,800

8), .
_092-124p_4 2011.10.28 10:29 AM 97 g5

Part 03_ . - 97

2/4 0.2%

-4 | GDP, (: , %)

4 40

2 20

0 0

-2 -20

-4 -40

-6 -60
I II III IV I II III IV I II III IV I II III IV I II
2007 2008 2009 2010 2011

GDP() () ()

: BEA.

-1 | (, SA) (: , %)

2010 2010 2011

10 GDP
1/4 2/4 3/4 4/4 1/4 2/4
(%) (%)
GDP 13,088 3.0 100 1.0 0.9 0.6 0.6 0.1 0.2
9,221 2.0 70 0.7 0.7 0.7 0.9 0.5 0.1
1,715 17.9 13 7.1 6.0 2.2 -1.8 0.9 1.6
1,648 2.6 13 0.3 4.6 0.6 1.8 0.3 2.1
1,319 4.4 10 1.5 4.4 2.7 2.1 0.5 2.4
331 -4.3 3 -4.1 5.3 -7.8 0.6 -0.6 0.8
-422 17.6 -3 8.6 16.1 4.9 -9.7 2.5 -0.7
1,663 11.3 13 1.8 2.4 2.4 1.9 1.9 0.8
2,085 12.5 16 3.0 5.0 2.9 -0.6 2.0 0.5
2,557 0.7 20 -0.3 0.9 0.2 -0.7 -1.5 -0.2
( /GDP, %) - 2.5 - 2.6 2.7 2.4 2.4 2.4 2.4
(%) - 9.6 - 10.4 9.5 9.5 9.2 9.5 8.9

: BEA, Current Population Survey(BLS).

8) (Budget Congress Office).

_092-124p_4 2011.10.28 10:29 AM 98 g5

98 (2011 3/4)

MBS(Mortgage Back Securities) 2000 ,

.

MBS 2000 (Treasury) 2007

290% 190% .
2007 2009 (2.1) MBS
(2.04) , 2008 2006 MBS
.
2011 2/4 MBS 3,300 5,552
.
MBS 1996 .

-5 | MBS (: 10)

: 1996~2010 : 1996~2010

3,500 10,000
9,000
3,000
8,000
2,500 7,000
2,000 6,000
5,000
1,500
4,000
1,000 3,000
2,000
500
1,000
0 0
1996 1998 2000 2002 2004 2006 2008 2010 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010
Treasury MBS Corporate Treasury MBS Corporate

: 2010~11 : 2010~11

700 9,500

600
9,000
500
8,500
400

300 8,000

200
7,500
100
7,000
0 1 2 3 4 1
1 2 3 4 1 2
2010 2011 2010 2011
Treasury MBS Corporate Treasury MBS Corporate

: Thomson Reuters.
_092-124p_4 2011.10.28 10:29 AM 99 g5

Part 03_ . - 99

. (Risk Spread) (Term Spread)

(Term Spread) (Risk Spread)

2008 4/4 7.34% GDP 2009 2/4 -4% (2

).
2008 2009 4.9% .
2011 4/4 GDP .
2007 1/4 (inverted yield curve) 2008
2010 1/4 3.4% 2/4
3.16%

-6 | (: , %, %)

7 6 4 8
5
6 3 6
4
5 3 2 4
4 2
1 1 2
3 0
-1 0 0
2
-2 -1 -2
1
-3
0 -4 -2 -4
1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 1985 1988 1991 1994 1997 2000 2003 2006 2009
(Baa.-10yr)() (Baa.-3yr)() GDP () (10yr-3mn)() GDP ()

: BEA, Board of Governors of the Federal Reserve System.

(Treasury Yield Curve) 2011 9 22 6

, .

3 (FOMC)
(operation twist)9)
- (Federal Fund Rate) 0.1% .

9) .
_092-124p_4 2011.10.28 10:29 AM 100 g5

100 (2011 3/4)

-7 | (: %)

4.5

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0
3 6 1 2 3 5 10 30

(2011. 9. 20) 1 (2011. 9. 13) (2011. 8. 1)

: Board of Governors of the Federal Reserve System.

(2007 12~2009 6: 1.6) (duration) 1930

,

,
.10)
2009 3 2011 .
.

10) , : Bear Stearns, Fannie Mae, Freddie Mac, Lehman Brothers and AIG.
GM Chrysler .
_092-124p_4 2011.10.28 10:29 AM 101 g5

Part 03_ . - 101

-8 | (CMHPI) (% deviation from the trend)

8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

: Fraddie Mac, .

.
, LA .

-9 | ( ) (: , %)

, , LA

12 8
10 7
8 6
6 5
4
4 3
2 2
0 1
-2 0
-4 -1
-6 -2
-8 -3
-4
-10 -5
-12 -6
-12 -7
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
LA

: CMHPI, Freddie Mac.

_092-124p_4 2011.10.28 10:29 AM 102 g5

102 (2011 3/4)

2011 .
- 3/4
.

-10 | , ,

(, %)
60 (, %)
15
40 10

20 5

0
0
-5
-20
-10
-40
-15
-60
-20
3 6 9 12 3 6 9 12 3 6 9 12 3 6 9 12 3 6
3 6 9 12 3 6 9 12 3 6 9 12 3 6 9 12 3 6
2007 2008 2009 2010 2011
2007 2008 2009 2010 2011

(, %)
60 (=60)
250 45
40 40
200 35
20
30
150
0 25
20
-20 100
15
-40 10
50
5
-60
3 6 9 12 3 6 9 12 3 6 9 12 3 6 9 12 3 6 0 0
3 6 9 12 3 6 9 12 3 6 9 12 3 6 9 12 3 6
2007 2008 2009 2010 2011
2007 2008 2009 2010 2011

() ()

: National Association of Realtors; National Association of Home Builders; U.S. Census Bureau; standardandpoors.com.
_092-124p_4 2011.10.28 10:29 AM 103 g5

Part 03_ . - 103

. VAR

-11 |

11)

(VAR) :
(Unrestricted VAR) .

: yt=A1Yt-1+A2Yt-2+ +ApYt-p+B+t
yt 4 : Federal Fund Rate, GDP Deflator, CMHPI(
), GDP 4 .12)
VAR (Covariance Stationary) I(0).13)

11) Muellbauer(2011) .
12) A B . 5 . t
(uncorrelated) .
13) CMHPI HP (Hodrick-Prescott Filter)
=1600 ().
.
_092-124p_4 2011.10.28 10:29 AM 104 g5

104 (2011 3/4)

, ,14) ,15) GDP16) .

1981 1/4 2011 1/4 .

( 1% )

.
- ,
.
1% ,
1.5% 0.2% .
, 2011
.

-12 | 1% (: %)

0.5 0.50
0.0 0.25
-0.5 0.00
-1.0 -0.25
-1.5 -0.50
-2.0 -0.75
-2.5 -1.00
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

0.2

-0.2

-0.4

-0.6

-0.8
1 2 3 4 5 6 7 8 9 10

GDPdeft
14) 100log{ }
GDPdeft-1

15) HP (Hodrick-Prescott Filter)

=1600 .
=1600 log(GDP) .
16) GDP Gap HP (Hodrick-Prescott Filter)
_092-124p_4 2011.10.28 10:29 AM 105 g5

Part 03_ . - 105

- , 23%
0.7% 5.2% .

-2 |

S.E. GDP

1.875520 98.12448 0.000000 0.000000

1 0.664366
(3.29988) (3.29988) (0.00000) (0.00000)
2.555163 93.63571 0.086007 3.723124
2 0.887323
(3.71983) (3.97971) (0.70321) (2.28670)
5.304418 88.85284 0.350688 5.492052
3 1.002413
(5.20468) (5.57605) (1.02799) (3.51932)
9.532569 83.99714 0.580543 5.889747
4 1.069425
(6.84130) (7.20729) (1.48819) (3.96184)
14.00307 79.39302 0.680993 5.922921
5 1.109682
(8.23090) (8.51187) (1.76562) (4.09026)
17.88041 75.58820 0.726178 5.805211
6 1.137614
(9.26573) (9.36837) (1.90092) (4.09975)
20.71535 72.91289 0.734707 5.637050
7 1.159771
(9.97920) (9.86824) (1.96588) (4.10372)
22.45391 71.34440 0.723767 5.477931
8 1.177906
(10.4554) (10.1574) (2.00456) (4.13610)
23.31428 70.62653 0.708063 5.351131
9 1.192118
(10.7557) (10.3220) (2.03512) (4.18898)
23.60295 70.43995 0.696346 5.260748
10 1.202421
(10.9132) (10.4025) (2.06200) (4.24444)

(1% )

1% .17)
- 0.05% 0 .

17) .
_092-124p_4 2011.10.28 10:29 AM 106 g5

106 (2011 3/4)

-13 | 1% (: %)

0.0 0.3

0.2
-0.5
0.1

0
-1.0
-0.1
-1.5 -0.2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

-14 | VAR- (: %)

GDP

1.5 1.5 1.5 1.5

1.0 1.0 1.0 1.0
0.5 0.5 0.5 0.5
0.0 0.0 0.0 0.0
-0.5 -0.5 -0.5 -0.5
-1.0 -1.0 -1.0 -1.0
1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19

0.3 0.3 0.3 0.3

0.2 0.2 0.2 0.2
0.1 0.1 0.1 0.1
0 0 0 0
-0.1 -0.1 -0.1 -0.1
1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19

1.5 1.5 1.5 1.5

1.0 1.0 1.0 1.0
0.5 0.5 0.5 0.5
0.0 0.0 0.0 0.0
-0.5 -0.5 -0.5 -0.5
-1.0 -1.0 -1.0 -1.0
1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19

GDP GDP GDP GDP

0.8 0.8 0.8 0.8

0.4 0.4 0.4 0.4
0 0 0 0
-0.4 -0.4 -0.4 -0.4
-0.8 -0.8 -0.8 -0.8
1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19 1 3 5 7 9 11 13 15 17 19
_092-124p_4 2011.10.28 10:29 AM 107 g5

Part 03_ . - 107

, , GDP
- Fed Federal Fund Rate, GAP_P , GAP_QSREAL , GAP_Y
GDP .
- [ -14] (1 )
.
- GDP .
- .

, .

.
2/4
- Home Equity Loan

- , MBS (Federal Reserve)
.
- MBS 1.3 , 0.9
.

1.5% 0.2%
.

,
.

, .

GDP .
_092-124p_4 2011.10.28 10:29 AM 108 g5

108 (2011 3/4)

- 2007 2008
2008 9 16 2008 4/4
GDP -3.2%, -3.5% .
- 1% , 0.44%18) .
.
- .
- 2011 8 1 S&P AA+ KOSPI -18.5%, -
12.2% .

18) .
_092-124p_4 2011.10.28 10:29 AM 109 g5

Part 03_ . - 109

, : SVAR
,
, 14 3, 2008.

KDI,
, 2011 2/4, 1 2, 2011.

KDI,KDI
, 2011 , 28 1, 2011.

Cecchetti, Stephen G., Money, Banking, and Financial Markets, 2nd Edition, McGraw-Hill,
2007.

Muellbauer, John, Housing markets and the macro-economy, Nuffield college, May 2011.