한국의 금융 ·자본자유화가 금융 · 외환위기에 미친 영향에 대한 실증분석
Financial Liberalization and the Twin Crises: The role of Capital Account Liberalization Reexamined
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본고는 자본자유화가 외환위기의 주원인이었는가라는 종래의 논의에서 벗어나 대내적 금융자유화와 대외적 자본자유화의 효과를 균형적으로 고찰하였다. 또한 금융자유화와 자본자유화의 정도를 정책변화를 중심으로 정의하는 일반적 관행과 달리 자유화의 실제효과에 근거하여 정의하였다. 이들 자유화 및 위기변수로 이루어진 벡터자기오차모형을 추정한 결과, 금융자유화나 자본자유화가 외환위기를 초래하였다는 근거는 찾기 어려웠다. 금융자유화는 신용경색을 심화시켜 금융위기를 초래하였을 확률이 상당히 높지만, 금융위기가 외환위기로 발전하였다고 보기는 어렵다. 본격적인 금리자유화나 자본시장개방이 1990년대초부터 부분적으로 이루어지기 시작한 현실을 감안하면, 이러한 결과는 별로 이상할 것이 없다고도 할 수 있다. 자유화정책이 실제로 얼마나 충실하게 실행되었는가 의문시되는 상황이라면 더욱 그럴 것이다. 한편, 금융위기가 외환위기로 연결되었다는 가설을 증명하려면 금융위기를 초래한 요인에 대한 면밀한 검토가 이루어져야 할 것이다.
Abstract
Capital Account liberalization, particularly the premature liberalization of short-term capital flow, has been criticized as responsible for Korea’s currency crisis in 1997. However, it remains controversial what are the characteristics and the fundamental causes of the crisis. This paper aims to clarify the role of the capital account liberalization in the currency crisis from the broader perspective of financial liberalization, which began in the 1980s. After defining indices of domestic and external financial liberalization, we analyze how these variables affected the banking crisis (measured as the degree of credit crunch) and the currency crisis (measured as the foreign exchange market pressure). The empirical evidence from Korea show that it is too naive to insist that the capital account liberalization was a major cause for currency crisis. It turns out to be groundless that the banking crisis resulted in the currency crisis. Meanwhile, deregulation of interest rate in Korea seems to have substantially affected the banking crisis.
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