통화정책이 환율에 미치는 영향분석과 정책적 시사점: 기축통화 보유 여부를 중심으로(The Impact of Monetary Policy on Exchange Rate and Its Policy Implications)

Deok Ryong Yoon (), Soyoung Kim and Jinhee Lee ()
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Deok Ryong Yoon: Korea Institute for International Economic Policy, Postal: Building C, Sejong National Research Complex, 370, Sicheong-daero, Sejong-si,Korea, http://www.kiep.go.kr/index.do
Jinhee Lee: Korea Institute for International Economic Policy, Postal: Building C, Sejong National Research Complex, 370, Sicheong-daero, Sejong-si,Korea, http://www.kiep.go.kr/index.do

No 18-6, Policy Analyses from Korea Institute for International Economic Policy

Abstract: 본 연구에서는 국제통화를 가지지 못한 소규모 개방경제의 통화정책과 기축통화국의 통화정책이 환율에 미치는 영향이 다른지를 확인하고자 했다. 왜냐하면 일반적인 경제학 이론에서는 이러한 구분 없이 모든 국가에서 동일하게 이론에서 제시하는 효과가 발생할 것으로 설명하고 있기 때문이다. 2장에서는 먼저 본 연구에서 비기축통화국의 의미가 무엇인지를 명확하게 규정하고자 했다. 그리고 비기축통화국의 환율 특성을 상술하였다. 이를 통해 왜 기축통화국과 비기축통화국을 분리해서 볼 필요가 있는지를 확인할 수 있었다. 이를 위해 외환위기, 글로벌 금융위기, 그리고 안정기 등으로 나누어 환율의 상대적 변동성을 측정하였다. 그 결과, 위기 기간의 상대적 변동성이 기축통화국보다 비기축통화국에서 더 높게 나타났다. 두 집단의 무위험 이자율 차이에 대한 통계적 특성도 살펴보았다. 기축통화국에서는 무위험 이자율 차이의 평균이 0에 가까웠고 변동성도 상대적으로 더 낮은 것으로 나타났다. 이자율평가도 검정하였지만 여기서는 두 집단간 차이를 특정하기는 어려웠다. This study empirically investigates whether monetary policy of small open economy that does not have international currency and monetary policy of small open economy that has international currency have a different effect on exchange rate. This is because general economic theory explains that the same effect will occur in all countries without explicit distinction between these distinctions. Chapter 2 defines the meaning of the international currency and details its exchange rate characteristics. This allowed us to see the importance of distinguishing between international currency and non-international currency. Next, the relative volatility of exchange rates was measured by dividing the period into the Asian financial crisis, the global financial crisis, and the stabilization period. As a result, the relative volatility of the crisis period was higher in the non-international currency than in the international currency. We then looked at the statistical characteristics of the difference between the two groups’ covered interest differentials. In the international currency, the average of the covered interest differentials was close to zero and the variability was relatively lower.

Keywords: 통화정책; 환율 (search for similar items in EconPapers)
JEL-codes: A10 (search for similar items in EconPapers)
Pages: 153 pages
Date: 2018-12-28
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