파생상품시장에서 지표금리 활용 현황 및 개선 방안

초록

This study investigates the global reforms of IBORs (Interbank offered rates) after the global financial crisis and stresses the importance of the reform of Korean Won’s short term reference rate. As the countries with major currencies have almost completed the reform of reference rates, we should prepare the reform of reference rates such as the CD rate, which is actively used in Won-linked derivatives contracts. We also should develop the new reference risk-free rate which is consistent with the new reference rates of developed countries. In particular, the fact that UK, EU, Japan and US adopted the SONIA, ESTER, TONA and SOFR respectively, as the new reference rate makes known the appropriateness of reform for Korean Won’s reference rate. In this paper, we compare the pros and cons of Call rates and Repo rates, which are potential candidates for the new reference rate in Korea, and provide the policy implications for the sound development of Korean financial markets.

키워드