통화정책 충격과 환율반응: 일중 고빈도 자료 분석
Monetary Policy Shocks and the Exchange Rates: Intraday High-Frequency Data Analysis
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본 연구는 일중 고빈도 자료 event window 접근법을 통해 금융통화위원회의 통화정책 발표 서프라이즈가 원/달러 환율에 미치는 충격효과를 분석한다. 통화정책 발표의 서프라이즈 요소는 비교적 좁은 30분 윈도우 구간에서 통화선물 가격과 현물환율에 분명한 충격효과를 주는 것으로 나타났다. 통화정책의 서프라이즈 효과는 정책발표 전 10분에서 발표 후 20분까지의 30분 윈도우 구간에서만 나타났고, 윈도우 구간을 60분, 당일시가-당일종가, 전일종가-당일종가로 확대하면 사라지는 것으로 나타났다. 또 30분 윈도우라 하더라도 정책발표 후 30분 단위의 연속구간이나 누적구간으로 시간구간을 연장하면 충격효과가 신속히 고갈되는 것으로 나타났다. 통화정책 발표 정보가 원/달러 환율에 신속하게 체화되기 때문에(발표 후 약 20분) 상대적 저빈도 자료인 일별 자료에는 정보효과가 고갈된 것으로 나타난다
Abstract
This paper examines the high-frequency responses of the USD/KRW exchange rates to monetary policy surprises using the event window approach with intraday tick data. The surprise components of Monetary Policy Committee’s announcements are shown to have instantaneous effects both on futures and spot rates. Exchange rates respond to monetary policy surprises significantly with a narrow 30-minute window, especially within 20 minutes after the news are announced. The observed surprise effects deplete afterwards, over the consecutive and cumulative 30-minute windows. The surprise effects are not observed with wider windows such as 60-minute, open-close and daily intervals. Also, the policy surprises are not well anticipated until the policy announcements.
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