일본의 경상수지와 엔화환율간 관계분석
Japan's Current Account and the Exchange rate of the Yen
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1990년대초부터 지속되고 있는 일본의 장기침체는 경제학자들뿐 아니라 정책담당자들에게 중요한 관심사가 되고 있다. 일본경제의 해외의존도를 고려할 때 주목할 만한 요인중의 하나는 엔화가치의 고평가이다. 그러나, 흥미롭게도 일본의 경상수지흑자는 경기침체기간중 상승세를 보여왔다. 본고는 포트폴리오 균형접근에 기초한 구조적 벡터자기회귀모형을 이용하여 일본의 경상수지와 엔화환율변화간의 관계를 중점적으로 분석하였다. 실증분석결과 1980년대초부터 2010년까지의 전 기간중 환율은 경상수지에 중요한 영향을 미쳐 온 것으로 나타났다. 다만 장기침체기간에는 환율이 경상수지에 미치는 효과가 단기에 그치는 것으로 나타났다. 따라서 엔화가치의 상승에도 불구하고 일본의 경상수지가 흑자기조를 유지한 것은 우호적인 해외수요와 같은 여타 요인들의 영향이 컸다는 것을 시사한다. 한편 경상수지가 환율에 미치는 효과는 명확치 않은 것으로 나타났다. 1980년대에는 경상수지가 환율에 유의한 영향을 미치지 못하였으나, 장기침체기간에는 경상수지 흑자가 환율하락 효과를 가져오는 것으로 나타났다. 본 연구는 일본의 경상수지가 결코 환율에 반응하지 않는다는 주장은 과장되었다는 것을 보여준다. 또한 경상수지 충격이 실질소득에 유의한 영향을 미치는 것을 감안하면 엔화의 고평가가 경기진작에 걸림돌로 작용하였을 개연성이 크다고 하겠다. 일본정부가 국내경기를 진작하기 위하여 간헐적으로 외환시장개입을 추진하였다는 사실도 이와 일맥상통한다고 한다. 그러나, 자본시장이 완전히 개방된 상황에서 외환시장의 개입효과는 제한적일 수 밖에 없다. 환율상승을 통하여 경상수지 개선이 이루어졌다 하더라도, 그 효과는 일시적일 수 밖에 없는 것으로 나타나, 근본적으로 국내 소비와 투자의 활성화가 경기회복의 관건이라고 할 수 있다. 이러한 점은 장기침체에 시달리고 있는 일본경제뿐 아니라 성장률의 둔화와 실업률상승으로 고민하는 한국경제에도 중요한 교훈을 제공한다고 하겠다.
Abstract
The appreciation of the Japanese yen is pointed out as one of the important factors for Japan s stagnation. ’ However, Japan’s current account surplus has shown a increasing trend, in contrast to the worsening deficit of the U.S. This paper analyzes the relationship between Japan’s current account balance and exchange rate of the yen using a structural vector autoregressive model based on the portfolio balance approach. Our empirical analysis on the period between 1980 and 2010 shows that the yen’s exchange rate has a significant effect on current account balance. However, such an effect does not last long during the recession period (1996:I-2010:IV). Meanwhile, current account surplus appears to have appreciated the yen during the same period. These findings indicate that Japan’s increasing current account surplus may have been driven by other factors such as the favorable foreign demand. The hypothesis that Japan’s current account surplus does not response to exchange rate changes is highly exaggerated. The appreciation of the yen should have exerted a negative effect on overall economic activities. The yen depreciation may help increase exports and improve economic conditions of Japan. But, such an effect will not last long. However, the effect of intervention is limited, if any. Accordinlgy, vitalization of consumption and investment is prerequisite to coping with economic recession.
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