동아시아 주요국의 수입물가에 대한 환율전가효과
Exchange Rate Pass-Through into Import Prices in East Asian Countires
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초록
본 연구에서는 수입물가에 대한 환율전가효과를 우리 나라를 포함하여 동아시아 주요국의 자료를 활용하여 추정하였다. 또한 한국과 일본에 대해서는 품목별로 환율이 수입물가에 미치는 장․단기 영향을 분석하였다. 일본의 경우는 장기관계가 존재하지 않았으며, 한국, 호주, 싱가포르의 경우를 살펴보면 수입물가지수에 대한 장기환율탄력성은 각각 0.75, 0.72, 0.91을 나타냈다. 이는 명목실효환율이 10% 상승하는 경우 수입물가지수가 각각 7.5%, 7.2%, 9.1% 상승하게 되는 것을 의미한다. 즉 소규모 개방경제의 경우 환율변동의 수입물가에 대한 전가효과가 큰 것으로 나타나고 있다. 이와 같은 실증분석 결과는 소규모 개방경제의 물가안정에 있어 환율안정이 중요할 수 있다는 점을 시사한다.
Abstract
This research estimates exchange rate pass-through into import prices using data on the major East Asian countries, including Korea. In addition, for Korea and Japan, this paper analyzes the long- and short-term effects of exchange rates on import prices by product. In Japan no long-run relationship existed, while the long-run elasticity of exchange rate on import prices respectively reached 0.75, 0.72 and 0.92 in Korea, Australia and Singapore. It means that the import price index will respectively rise 7.5%, 7.2% and 9.1% in those countries if the nominal effective exchange rate rises 10%. That is the pass-through effect of exchange rate on import prices is large in a small open economy. These empirical results imply that exchange rate stability can be important in achieving price stability in a small open economy.
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