중국 위안화 환율에 대한 거시 펀더멘털의 예측력 변화 측정
A Study on Predictability of Macroeconomic Fundamentals under China’s Exchange Rate System Reform
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초록
중국의 관리변동환율제도 하에서 위안화 환율이 거시 펀더멘털과 얼마나 괴리되어 운영되었는지를 통화모형을 통해 시기별로 살펴본다. 즉 환율이 미국과 비교한 중국의 상대적 통화량 및 산출과 어떤 장기관계를 가지고 움직였는지 공적분 검정을 통해 도출하며, 공적분 관계는 고정 계수뿐 아니라 시간에 따라 계수가 변동할 가능성을 고려하여 추정하였다. 2015년 전후로 계수의 크기가 줄어들고 균형으로부터 이탈의 크기가 이전보다 커져 환율 움직임에 대한 통화모형의 설명력이 다소 감소한 것을 발견하였다. 다음으로 임의보행(RW), 구매력 평가(PPP), 유위험 이자율평가(UIP), Harrod-Balassa-Samuelson 효과(HBS), 통화모형을 기반으로 각각 표본 외 예측을 실시하고, MSPE(Mean Squared Prediction Error) 기준에서 예측력을 평가하였다. 양국 물가 차이 펀더멘털의 경우 모든 예측 구간에서 RW보다 통계적으로 유의한 수준에서 높은 환율 예측력을 나타냈다. 2015년 환율제도 변경 이후 통화모형과 HBS의 예측력은 낮아진 반면 이자율 차이 펀더멘털의 2년 이후의 환율 예측력은 향상되었다. 또한, 코로나19 이후 통화모형과 HBS의 장기 예측력은 더욱 악화된 것을 발견하였다.
Abstract
This study examines the extent to which the exchange rate has been disconnected from macro fundamentals under China's managed floating exchange rate regime through a monetary model of the RMB exchange rate. It derives the long-run relationship between the exchange rate and the relative money and income of the U.S. and China through cointegration analysis, which is estimated considering the possibility of coefficient variation over time, not only with fixed coefficients. The explanatory power of the model for exchange rate movements has declined around since 2015. By deriving the predictive power of the models such as the random walk (RW), purchasing power parity (PPP), Harrod-Balassa-Samuelson effect (HBS), uncovered interest rate parity (UIP), and monetary model, this study investigates which macroeconomic fundamentals could predict future yuan exchange rates through out-of-sample forecasts. The fundamentals of the price differentials show a significantly higher predictive power for the yuan exchange rate in all forecast horizons compared to RW. The MSPE of the UIP or interest rate differential fundamental is smaller than that of RW in certain horizons. However, the predictive power of the HBS or monetary fundamentals weakened since the 2015 exchange rate regime change and has further deteriorated since COVID-19.
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