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원/달러 실질균형환율의 추정:행태균형환율 접근법

Estimating Equilibrium Won/dollar Real Exchange Rate: the BEER approach

김정한|전선애
한국경제통상학회 (The Korean Economic and Business Association)|2006.06|경제연구 (Journal of Economics Studies)|제24권 제2호|pp. 1-24

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참고문헌

키워드

공적분cointegrationF4Balassa-Samuelson effect행태균형환율(BEER)장기균형환율발랏사-사뮤엘슨효과칼만 필터 주 제 분 류 : F0behavioral equilibrium exchange rate(BEER)long run equilibrium ratekalman filter
주제분류경제학

초록

본고에서는 원/달러 실질환율과 기초경제변수 사이의 장기균형관계를 이용하여 행태균형환율(Behavioral Equilibrium Exchange Rate, BEER)을 추정한 후 이를 실제환율과 비교하여 원화의 과소과대평가여부(misalignment)를 살펴보았다. 분석 결과 원화는 생산성과 같은 기초경제변수에 기초한 균형수준에 비해 1986년도에는 과대평가, 1987～88년에는 과소평가되었고, 88년 후반 이후 1997년 후반까지 지속적으로 과대평가 된 것으로 나타났다. 실질환율의 영구적 요소를 추출하여 균형환율을 추정한 결과도 1990년대 원화가 지속적으로 과대평가 되었음을 확인해 주어, 우리나라 외환위기 발생이 실질환율의 고평가와 무관하지 않음을 보여주었다.

Abstract

In this paper, a BEER-based measure of the Korean Won/dollar real exchange rate has been estimated. Using the multivariate cointegration methods of Johansen (1995), we were able to find a long-run equilibrium relationship between real exchange rate and a set of fundamental variables. Long run equilibrium value of Won recovered from estimated cointegrating equation is used to assess the misalignment of exchange rate. We note periods of overvaluation and under valuation of Won during 86 and 87~88 respectively, and overvaluation during late 1988 to 1997:3Q.

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