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불완전한 금융시장과 비동질적 선호하에서의 환율결정론

Spot Exchange Rate Dynamics in the Presence of Incomplete Financial Markets and Home-biased Preferences

김영재|안건미
한국경제통상학회 (The Korean Economic and Business Association)|2005.06|경제연구 (Journal of Economics Studies)|제23권 제2호|pp. 283-308

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참고문헌

키워드

불완전한 금융 시장비 동질적 선호상대적 생계비실질 환율Incomplete Financial MarketsHomebiased PreferencesRelative Cost of LivingReal Exchange Rates
주제분류경제학

초록

국제간 금융시장이 불완전하고 각 국가의 소비 형태가 국내에서 생산된 재화에 편향되어 있을 때, 자국의 불리한 공급측면의 충격에 의한 국내 산출재화 가격의 상대적 상승은 자국민의 생계비를 외국민의 생계비에 비해 상대적으로 더 높게 상승시켜 (실질 환율의 절상), 자국민의 소비를 상대적으로 감소시킨다. 자국의 불리한 공급측면의 충격은 외환시장에서 실질환율을 절상시켜 자국의 상대 실질화폐공급을 감소시키고 상대 소비를 감소시켜 상대 화폐수요를 감소시킨다. 즉, 소비에 대한 화폐수요의 탄력성이 1보다 작으면 상대 실질화폐공급이 상대 화폐수요보다 더 많이 감소되어 자국화폐의 가치가 상승한다.

Abstract

When agents across countries have a home-biased preference in a world of incomplete financial markets, an increase in the relative price of homeproduced goods [caused by an adverse home output shock] makes the cost of living of home agents higher than that of foreign agents [real exchange rate appreciation], reducing home relative consumption. In the foreign exchange market, an adverse home output shock decreases home relative real money supply [due to real appreciation] faster than home relative money demand [due to the decrease in relative consumption] if the elasticity of money demand is less than unity, appreciating home currency.

참고문헌 (34)

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