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한·미 금리격차, 실질환율, 그리고 달러 캐리 원화수익률: 현재가치 방법론을 이용한 분석

The Korea-U.S. Interest Rate Differential, Real Exchange Rates & the Dollar-Carry Currency Return on the Korean Won: A Present Value Approach

윤재호
한국은행|2023.03|경제분석 (Economic Analysis)|제29권 제1호|pp. 1-42|DOI 10.23299/bokeri.2023.29.1.001

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키워드

실질환율Real exchange rate현재가치 모형한·미 금리격차달러 캐리 수익률present value approachKorea-U.S. interest rate differentialdollar-carry currency return
주제분류경제학

초록

본 논문은 Dahlquist and Pénasse(2022)의 실질환율 현재가치 모형을 이용하여 한국 원화(KRW)를 대상으로 한·미 금리격차 및 실질환율 수준 각각의 달러 캐리 수익률 예측력 등을 실증 분석하였다. 비교 분석을 위해 7개 선진국 통화 포트폴리오(G7 average)도 함께 분석하였다. 실증분석 결과를 보면, 먼저 KRW 및 G7 average의 달러 캐리 수익률 각각을 분산 분해한 결과, 금리격차 충격보다 위험프리미엄 충격의 기여도가 높은 것으로 나타났다. 둘째, KRW의 실질환율은 한·미 금리격차 확대 시 일시적으로 하락(원화가치 하락)하지만 이후 점차 상승(원화가치 상승)하는 특징을 보였다. 셋째, KRW는 실질환율 수준(level)의 미래 환율 예측력이 G7 average보다 상대적으로 더 높은 것으로 나타났다.

Abstract

Using Dahlquist and Pénasse's (2022) present value approach, this paper examines the predictive power of the Korea-U.S. interest rate differential and real exchange rate for the dollar-carry currency return on the Korean won (KRW). For comparison purposes, the currency portfolio of seven developed countries (G7 average) is also analyzed. First, the variance decomposition of the dollar-carry returns on the KRW and G7 average shows that the risk premium shock has a higher contribution than the interest rate differential shock. Second, the KRW temporarily devalues when the interest rate differential between Korea and the U.S. widens, but then gradually appreciates. Third, the predictive ability of the current level of real exchange rate for the future exchange rate is relatively higher than that of the G7 average.

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