통화정책이 환율에 미치는 영향 분석
The Impact of Monetary Policy on the Foreign Exchange Rate: An Empirical Evidence from Korea
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본고는 우리나라 통화정책이 환율에 미치는 영향을 실증분석 하였다. 먼저 동태적 영향 분석을 위해 1999～2010년중 월별자료를 사용한 semi-structural VAR 모형을 추정한 결과 오차구조에 관한 가정에 따라 그 결과가 달라져 유의한 정책적 시사점을 얻을 수 없었다. 이에 2001～2010년중 통화정책방향이 결정되는 당일의 데이터만을 사용하여 통화정책의 즉각적 영향을 분석하였다. 동 분석에서도 금리와 환율간의 내생성이 남아 있어 명확한 결론을 얻기는 힘들었다. 하지만 내생성은 물론 환율 변동성을 대부분 설명하는 것이 시장개입일 가능성을 확인하였으며 개입규모가 크지 않았던 시기에는 이론이 제시하는 것처럼 긴축적 통화정책이 환율을 하락시키는 것으로 나타났다. 이에 따라 통화정책은 환율을 직접 고려하기보다는 거시경제안정에 초점을 맞추되 외환시장 안정을 위해서는 적절한 외환건전성 규제방안 등을 마련해야 할 것이다. 한편 시장개입에 따른 제반비용 상승 등을 고려해 시장개입에 바탕을 둔 독립적 통화정책과 외환정책의 현행체계도 검토할 필요가 있다.
Abstract
This paper is to empirically examine the effect of monetary policy on the exchange rate in Korea. First, the reaction of exchange rates to monetary policy shocks through semi- structural VAR is found to vary depending upon the structural assumptions, leading to little policy implications. Second, the approach is next taken to study the immediate responses of exchange rates to the policy rate decision. Endogenous problem is persistent even over the analysis on the same day responses of the exchange rates. Third FX intervention is found to explain most of endogeneity as well as movement of exchange rate. Especially, controlling FX intervention produces the conventional relations of interest rates and exchange rates during the periods of less intervention. Therefore, monetary policy should focus on price stabilization without worrying its adverse impact on exchange rate. Foreign exchange market should be closely monitored all the time because raising interest rate is likely not to be effective in stabilizing the exchange rate. There is a need to examine the current system of separate monetary and exchange rate policies, which is based somewhat on the FX intervention whose costs are increasing.
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