구조적 VAR 모형을 이용한 환율전가 효과 분석: 한국의 수입물가와 소비자물가를 중심으로
The Exchange Rate Pass-through Effects on Korean Import and Consumer Prices Using a Structural VAR Model
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초록
본 연구는 구조적 VAR 모형을 이용하여 원/달러 환율변화의 전가효과를 분석하였다. 즉 국제유가, 산출, 환율, 통화량, 수입물가, 소비자물가 등 6개 변수를 VAR 시스템에 포함하여 충격반응을 통해 국내 물가에 대한 환율전가 효과를 분석하였다. 분석결과 환율변화가 수입물가와 소비자물가에 미치는 전가효과는 매우 작으며, 그 영향은 시간이 지남에 따라 점점 감소하는 것으로 나타났다. 따라서 국내 인플레이션을 통제하는 입장에서 환율은 상대적으로 중요한 고려대상이 아닐 수 있다. 대신 인플레이션에 영향을 미치는 국내 요인들을 응시할 필요가 있으며, 특히 안정적 통화정책을 통해 인플레이션을 관리하는 것이 중요하다. 즉, 안정적 통화정책을 통해 국내 인플레이션에 대한 환율변화의 충격을 완화시킴으로써 외부충격이 국내 인플레이션에 주는 스트레스를 최소화 할 필요가 있을 것이다.
Abstract
This paper investigates the pass-through of exchange rate on Korean import and consumer prices using a structural VAR model. The results show that the pass-through of exchange rate on Korean import price and consumer price have statistically significant effect, though they have incomplete degree of response. The exchange rate pass-through effects on import and consumer prices are very small as well as the effects have declining trend as time goes by. This result implies that the exchange rate adjustment is not sufficient to inflation control, and it is necessary to adopt stable monetary policy to isolate the inflation pressure from the shocks of outside world.
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