자본시장의 글로벌화와 한국 통화정책의 독립성
Globalization of Capital Markets and Monetary Policy Independence in Korea
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본 논문은 한국이 1997년 외환위기 이후 변동환율제 도입과 더불어 자본자유화로 자본시장이 글로벌화된 상황에서 외부로부터 독립적인 통화정책을 유지할 수 있었는지를 자본 자유화 이전 기간과 비교하여 분석했다. 트릴레마 이론에 비추어보면 자본자유화가 진행되기 전에는 환율시장에 적극적으로 개입을 해도 이론적으로 독립적인 통화정책을 유지할 수 있는 여지가 있었고, 자본자유화가 진행된 이후에는 자유 변동 환율 제도로 전환함에 따라 독립적인 통화 정책을 유지할 수 여지가 있었다. 하지만 한국과 같은 소규모 개방 경제의 경우 자본 시장 개방으로 막대한 양의 국제 자본 유출입으로 환율과 자산 시장의 심각한 불안정성을 초래할 수 있고 국가 간 연계성 증대로 외국의 통화 정책과 자본 흐름에 완전히 자유로운 통화 정책을 집행하기 어려울 수 있다. 본 논문의 실증분석에서는 외부를 미국으로 국한하여 한국의 통화정책이 미국의 통화정책으로부터 독립적인지 블록 외생성 구조 VAR 모형을 이용하여 보다 자세히 분석하였다. 그 결과 한국의 통화정책이 자본자유화 이전과 이후 두 기간 모두에서 미국의 통화정책에 대해 완전히 독립적으로 운용되지 못하였던 것으로 보인다. 자본자유화 이후 기간의 경우 완전한 변동환율제를 실제로 운용하기는 쉽지 않았고 이는 필연적으로 한국의 통화정책도 외부의 충격에 완전히 독립적이지 못하도록 한 것으로 보인다. 또한 포트폴리오 자본의 유출입이 자본자유화 이후 기간에 이전 기간에 비해 매우 민감하게 변화하여 독립적인 통화정책의 운영에 있어서 어려움을 초래한 것으로 보인다. 따라서 향후 자본의 글로벌화에 효과적으로 대응하면서 통화정책을 독립적으로 유지할 수 있는 정책의 틀을 개발하는 것이 시급하다고 하겠다.
Abstract
This paper empirically examines whether Korean monetary policy is independent of U.S. monetary policy during the post-crisis period in which capital account is liberalized and floating exchange rate regime is adopted and during the pre-crisis period in which capital mobility is restricted and tightly managed exchange rate regime is adopted. Before capital account liberalization, monetary autonomy can be achieved in view of the trillema, even under tightly managed exchange rate regime, as capital mobility is restricted. On the other hand, for the period after capital account liberalization, monetary autonomy can be also achieved in view of the trillema, as exchange rate stability is given up. Securing monetary autonomy, however, may not be easy under liberalized capital account for a small open economy like Korea. Huge capital movements can generate excessive instability in foreign exchange and asset markets. Strengthened international economic linkages may also be another factor to prevent monetary policy from being independent. Using block-exogenous structural VAR model, the effects of U.S. monetary policy shocks on Korean economy are examined. Empirical results show that Korean monetary policy is not independent of U.S. monetary policy for both periods before and after capital account liberalization. For the period after capital account liberalization, Korea does not seem to have implemented floating exchange rate policy in practice, which may lead Korean monetary policy to be dependent on U.S. monetary policy. For the period after capital account liberalization, portfolio flows respond dramatically to the U.S. monetary policy, which may also keep Korean monetary policy from being independent.
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