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원/달러 실질환율의 변동요인 분석

Sources of Won/Dollar Real Exchange Rate Fluctuations

조정구
한국경제통상학회 (The Korean Economic and Business Association)|2011.05|경제연구 (Journal of Economics Studies)|제29권 제2호|pp. 71-96

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참고문헌

키워드

실질환율variance decomposition충격-반응분석분산분해분석real exchange ratesimpulse-response analysis
주제분류경제학

초록

본고는 1990년 3월부터 2009년 12월까지의 기간을 외환위기 이전과 이후의 두 기간으로 분류하여 미국과 우리나라의 경제충격들이 원/달러 실질환율에 어떤 경로를 통해, 어떤 방향의, 그리고 어느 정도의 영향을 미쳤는지 분석하였다. 우리나라 양의 공급충격은 원/달러 실질환율의 영구적 절상을, 양의 수요충격은 원/달러 실질환율의 영구적 절하를 초래하며, 양의 통화충격은 실질환율을 일시적으로 절하시키는 것으로 나타났다. 양의 미국 공급충격은 외환위기 이전에는 실질환율을 절하, 외환위기 이후에는 절상시키고, 양의 미국 수요충격은 실질환율을 절상시킨다. 분산분해 결과를 보면 외환위기 이전에는 경제충격들이 골고루 실질환율에 영향을 미치고 있으나, 외환위기 이후에는 단기적으로는 우리나라 통화충격이, 장기적으로는 미국 공급충격이 원/달러 실질환율의 변동을 주도하였다.

Abstract

This study empirically analyzes the sign and magnitude of the effects of domestic and foreign macroeconomic shocks on the Won/Dollar real exchange rate by employing structural VECM approach. The impulse-response analysis demonstrated that a positive domestic supply shock leads to a permanent appreciation, that a positive domestic demand shock leads to a permanent depreciation, and that a positive monetary shock leads to a transitory depreciation. A positive shock to U.S. supply leads to responses of the opposite directions before and after financial crisis. The real exchange rates depreciates in response to a positive shock to U.S. supply in pre-crisis period, but depreciation is insignificant, while it appreciates in post-crisis period significantly. Variance Decomposition results suggest that in the pre-crisis period, all the domestic shocks are the about equally important sources of the real exchange rates, while the U.S. real shocks explain a significant fraction of movements in real exchange rate at longer horizons. In the post-crisis period, a domestic monetary shock are the most important source of the real exchange rate fluctuations at shorter horizons, while real exchange rate fluctuations are dominated by a shock to U.S. supply at longer horizons.

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