산업별 무역수지의 환율민감성 : 패널분석기법을 이용하여
Exchange Rate Sensitivity of Trade Balance at the Industry Level: Using Panel Approach
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초록
본 연구는 업종별 환율영향력의 차이를 고려하면서 합산편의(Aggregation bias)를 줄이기 위하여 업종별 무역수지자료를 이용하여 환율의 무역수지에 대한 영향력을 분석하였다. 또한 최근의 패널기법들을 적용함으로서 소표본문제(small sample problem)를 완화함과 동시에 추정과 검정의 효율성을 높였다. 분석결과, 모든 패널공적분 통계량들은 공적분이 존재하지 않는다는 귀무가설을 강력히 기각함으로서 실질무역수지, 실질실효환율, 국내실질소득 및 외국실질소득 사이에는 장기균형관계가 성립하는 것으로 나타났다. Between-dimension panel DOLS와 between-dimension panel FMOLS를 적용한 결과, 실질실효환율의 탄력성이 국내실질소득이나 외국실질소득보다 월등히 큰 것으로 나타나 실질실효환율이 무역수지변화의 무엇보다 중요한 요소인 것으로 확인되었다. 개별업종별로는 5개 업종을 제외한 25개 업종에서 실질실효환율의 장기탄력성이 통계적으로 유의한 양(+)의 값을 가지는 것으로 나타났다. 따라서 본 연구의 결과는 환율안정정책이 대외수지의 균형 내지 안정을 기하는데 장기적으로 도움이 될 수 있다는 정책적 함의를 제공한다.
Abstract
The main aim of this research is to examine the effects of real exchange rate on the trade balance at the industry level. To reduce the aggregation bias and the small sample problems we employ recently developed panel cointegration techniques, thereby improving the power performance of the relevant estimation and inference procedures. The panel cointegration statistics reject the null hypothesis of no cointegration in all tests with/without time dummies, implying that real trade balance has a long run relationship with the real effective exchange rate, domestic real income, and foreign real income. The richer information set created by the industrial trade data enables this research to utilize the methodologically sound “between-dimension" DOLS and FMOLS to generate consistent estimates of the relevant panel variables in the cointegrated equation. In both between-dimension panel DOLS and FMOLS the panel coefficient of the real exchange rate is higher than that of domestic and foreign real income. The most important implication of this panel study is that, in the long run, real exchange rate remains as one of the most effective determinants of Korean trade balance. Out of 30 industries, 25 industries respond positively to a depreciation of the won in the long-run. These results support that the Marshall-Lerner condition holds in the long-run in the Korean trade market. Thus, the policy implication of our results is that the use of an exchange rate policy in the case of external imbalances can be considered from the long term perspective.
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