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엔화 환율 변동이 일본의 수출에 미치는 영향에 대한 실증분석: 동일본 대지진 전후의 비교를 중심으로

An Empirical Analysis of the Impact of Yen Exchange Rate Fluctuations on Japanese Exports: A Comparison Before and After the Great East Japan Earthquake

송준헌
한국은행|2023.12|경제분석 (Economic Analysis)|제29권 제4호|pp. 74-113|DOI 10.23299/bokeri.2023.29.4.003

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참고문헌

키워드

일본Japan비대칭성수출벡터자기회귀모형환율VAR modelAsymmetryExchange ratesExports
주제분류경제학

초록

동일본 대지진을 계기로 일본의 무역 패턴이 구조적으로 변화된 이후, 엔화의 환율 변동과 일본의 수출이 비대칭적으로 움직이고 있다. 본 연구는 외생변수를 포함한 벡터자기회귀모형을 활용하여 2001년 1월부터 2023년 3월까지의 시계열 자료를 가지고 엔/달러 환율과 일본의 수출 간의 동적 상호작용을 실증 분석하였다. 본 연구의 분석 결과는 엔화의 환율 변동이 수출에 미치는 영향이 비대칭적으로 작용하고 있음을 보여준다. 첫째, 엔화의 환율 상승은 엔화 기준 수출액의 증가를 유발하였지만, 달러 기준 수출액은 유의한 변화가 보이지 않았다. 둘째, 동일본 대지진을 계기로 환율이 수출에 미치는 영향력이 크게 감소하였음을 확인할 수 있었다. 마지막으로 환율이 상승하여 엔화 기준 수출액이 증가하더라도 수출 수량의 증가는 발생하지 않을 수 있는데, 이러한 결과는 동일본 대지진 이후에 더욱 뚜렷해졌다. 본 연구에서는 일본의 수출이 환율 변동에 민감하게 반응하지 않는 이유에 대해서도 미시적 요인과 거시적 요인으로 구분하여 고찰하였다.

Abstract

The Great East Japan Earthquake triggered a paradigmatic shift in Japan’s trade patterns, accentuated by an increased asymmetry between yen exchange rate fluctuations and export flows. Using a Vector Autoregression with exogenous variables (VARX) model, this study conducted an empirical analysis of the dynamic interactions between the yen/dollar exchange rate and Japanese exports with time series data from January 2001 to March 2023. Our findings reveal that yen exchange rate fluctuations impact exports in an asymmetrical manner. Firstly, a yen depreciation led to a notable increase in yen-denominated exports, but dollar-denominated export values remained largely unchanged. Secondly, the influence of the exchange rate on exports significantly decreased in the aftermath of the Great East Japan Earthquake. Lastly, even when a depreciation in the exchange rate results in an uptick in yen-denominated export values, it does not necessarily translate to a corresponding increase in export quantities—a trend more evident after the earthquake. This study further explores both micro and macro-level factors contributing to the subdued responsiveness of Japanese exports to exchange rate changes.

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