통화정책 투명성과 환율변동성
Monetary Transparency and the Exchange Rate Volatility
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초록
본 논문은 Dincer and Eichengreen(2009)의 투명성지수 자료를 이용하여 환율변동성에 대한 통화정책 투명성의 효과를 실증분석 하였다. 1998년부터 2006년까지 총 9년간 92개국을 대상으로 패널 분석을 실시한 결과 다음의 사실을 확인하였다. 첫째, 환율의 변동성을 설명하는 기존의 전통적 변수에 투명성 변수를 추가하여, 투명성이 제고될수록 환율의 변동성이 축소됨을 확인하였다. 둘째, 환율 변동성에 영향을 주는 이자율차의 변동성과 인플레이션차의 변동성간 상충관계가 투명성제고를 통해 개선됨을 발견하였다. 환율안정을 위해 통화정책을 수행하는 경우, 이러한 사실은 통화당국 정책운용의 폭을 확대시킨다는 면에서 정책 시사점이크다고 사료된다.
Abstract
The object of this paper is to empirically analyze the effect of monetary transparency on the exchange rate volatility with 92 countries as its samples. Using the transparency index data for 1998~2006 from Dincer and Eichengreen (2009), we could find the following. First, the more the monetary transparency increases, the more the volatility of exchange rate is improved. Second, it is found that the trade-off between the volatility of interest rate and the volatility of inflation was upgraded through monetary transparency of the central bank,so that the volatility of exchange rate was abridged. The empirical results of this study provides grounds for this theory: an increase of transparency will deliver the stability for the macroeconomic variables, and improve the volatility of exchange rate in a positive way.
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