통화량을 고려한 원화균형환율의 측정
On the Measurement of Korean Won/dollar Long-run Equilibrium Exchange Rate based on Money Stock
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본 연구는 통화량을 고려한 소규모 개방경제인 한국의 원화 장기균형실질환율을 행태균형접근법과 균형실질환율접근법을 이용하여 추정하고, 실질실효환율과의 괴리수준을 제시한다. 2008년 이후 주요국의 확장적 통화정책이 자국의 통화가치를 변화시켰다는 사실을 반영하여, 기존연구와 다르게 주요교역국의 이자율차이가 아닌 통화증가율차이를 사용하여 모형을 구축하였다. 주요 실증분석결과로 2016년 전후의 통화량증가는 원화의 평가절하를 초래하였으며, 이는 미재무부의 환율보고서와 IMF 연간 환율보고서에서 제시한 원화의 저평가상태와 일치된 결과를 보였다. 또한 2017년 이후부터 한국의 상품수출증가는 원화의 저평가보다 세계경기의 회복에 기인된 것으로 예측된다.
Abstract
This paper tries to measure the Korean Won/Dollar long-run equilibrium exchange rate featuring the importance of money stock with the property of a small open economy by employing two alternative approaches of behavioral equilibrium exchange rate (BEER) and equilibrium real exchange rate (ERER), and provides the gap between its real effective and equilibrium exchange rate. For this purpose, we used the differences in money growth rates of major trading partners instead of the usual interest rate differentials to reflect the fact that the change in exchange is directly attributed to the change in money supply since the 2008 global financial crisis. The main empirical outcomes show that the recent boom in exports since 2016 depend on the recovery of world economy rather than the depreciation of Korean currency though the expansionary monetary policy lowered the value of Korean Won as insisted by US Treasury report and IMF annual report.
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