거시건전성정책 및 자본통제의 유효성에 대한 실증분석
An Empirical Analysis on the Effectiveness of the Macroprudential Measures and Capital Controls
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본 연구에서는 글로벌 금융위기 이후 자본유출입의 변동성을 완화하기 위해 신흥국을 중심으로 도입한 거시건전성정책과 자본통제의 유효성을 실증분석하였다. 2005～2013년간 28개국의 분기패널 자료를 이용하여 은행대출 및 주식・채권 포트폴리오투자 등 자본유출입에 미치는 영향을 고정패널회귀분석과 2단계 최소자승법을 적용하여 분석하였다. 추정결과 자본유출입에는 선진국 중앙은행의 완화적 통화정책 전이효과에 따른 글로벌 유동성 및 위험회피성향 등 해외 요인뿐만 아니라 자본수여국의 거시경제 여건과 법제도 특성 등 국내요인도 중요하게 영향을 미치는 것으로 나타났다. 다음으로 거시건전성정책수단은 자본유출입을 유의하게 축소시키는 데 유효한 것으로 추정되었으며 자본통제도 유사한 결과를 보였다. 지역별로 보면 거시건전성 정책의 은행대출에 대한 민감도가 한국의 경우 취약 5개국(fragile 5)이나 남미국가들보다 더 유의하게 저하된 것으로 나타난 한편 자본통제도 브라질 및 남미의 경우 취약 5개국과는 달리 은행대출을 축소시키는 것으로 추정되었다.
Abstract
This paper empirically analyses the effectiveness of the macroprudential measures and capital controls adopted mostly by emerging market economies to reduce the volatility of international capital flows since the global financial crisis. Using panel data from 28 countries for the period of 2005 through 2013, we construct a fixed effect panel regression model with two stage least squares to estimate the impact of capital flows such as bank lending, bond and equity portfolio investment. Our results suggest that the most important drivers of capital flows are not only push factors that was caused by risk aversion and global liquidity spill-over primarily due to quantitative easing by major central banks, but also pulling factors such as macroeconomic fundamentals and legal compliance arrangements of capital receiving countries. Moreover it is suggested that both macroprudential measures and capital controls were effective in mitigating capital inflows. By region, we find that the sensitivity of macroprudential measures’ effectiveness has been significantly lower in Korea than in fragile 5 or Latin America. We also find that capital control reduces bank lending more significantly in Brazil and Latin America than in fragile 5.
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