자본통제와 거시건전성 조치가 자본유출입에 미치는 영향 : 자본자유화 지수 추정을 중심으로

Abstract

This paper aims to investigate the impacts of capital control and prudential measures on capital flows in Korea. Emerging market economies have implemented capital controls to neutralize the negative impacts of negative foreign shocks on domestic economy. However, the effectiveness of capital controls has been controversial. Pervious literature concludes the capital control has little or no influence on the capital flow, while some of recent papers show that capital controls are effective to change the size and patterns of capital inflows. Against this background, this paper empirically analyzes the impacts of capital control and prudential measures on capital flows in Korea. To analyze the effectiveness of capital control or prudential measures, it is important to construct the capital liberalization (or control) index. The previous capital liberalization index constructed based on yearly data and could not contain full information on capital control measures. We construct the monthly capital liberalization index based on the economic policy bulletin from the Bank of Korea, which has listed most economic measures in Korea. This paper finds that the capital control and prudential measures have influenced on the size of capital flows in Korea. We also conclude that the capital control and prudential measure have a 3 to 5 month policy time lag to affect capital flows. Moreover, the prudential measures have a stronger effects on capital flows than the capital control measure. This implies that the capital control and prudential measures are important policy options to clam the negative economic shocks from abroad.