글로벌 유동성이 신흥국으로의 자본이동에 미치는 영향과 시사점
The Effect of Global Liquidity on Capital Inflows to Emerging Economies and the Policy Implication
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초록
2008년 글로벌 금융위기 이후 글로벌 유동성이 신흥국으로의 자본이동에 미치는 영향에 대한관심이 크게 증가하였다. 이에 본고는 글로벌 유동성을 ‘G3 국가(미국, 유로지역, 일본) 통화표시신용총량’으로 정의하고 우리나라를 포함한 25개 신흥국 분기 패널 자료를 이용하여 글로벌유동성이 신흥국으로의 자본이동에 미친 영향을 분석하였다. 추정결과 민간부문 신용창출에의해 증가한 글로벌 유동성이 장기추세에 비해 높은 초과유동성 상황일 경우 신흥국의 자본유입이 증가하는 것으로 나타났다. 또한 글로벌 금융위기 이전에는 글로벌 유동성 과잉이 신흥국의 자본유입을 증가시켰으나 위기 이후에는 민간신용 창출이 제약된 가운데 대규모의 공적유동성(G3 국가의 본원통화) 공급으로 증가된 글로벌 유동성의 일부가 신흥국으로 유입된것으로 추정되었다.
Abstract
Since the Global Financial Crisis (GFC), concerns about the effects of global liquidity oncapital inflows to emerging economies have increased. This is because massive QuantitativeEasing implemented by major economies leads to a strong rebound in capital inflows toemerging economies after the GFC, while the excessive expansion and reduction in crossborderinvestments of large international commercial banks were blamed for the maintransmission channel of the GFC. With these backgrounds, this paper defines global liquidityquantitatively as ‘G3 currency (US dollar, Euro, Japanese Yen)-denominated credits to nonfinancialsectors in the world’ and analyzes the effect of global liquidity on capital inflowsto emerging economies using quarterly panel data of twenty five emerging economies includingKorea. Estimation results show that capital inflows to emerging economies increase in aexcessive liquidity situation when global liquidity created by the private sector exceeds itslong term trend. Moreover, while excess of global liquidity created by the private sectorincreased capital inflows to emerging economies before the GFC, part of increased globalliquidity due to massive supply of public liquidity (defined as the sum of the G3’s high-poweredmoney) seems to flow to emerging economies despite limited credit creation in the privatesector.
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