우리나라 수출가격에 대한 환율전가의 비대칭성 및 비선형성 분석
Asymmetry and Non-Linearity in the Exchange Rate Pass-Through to Korean Export Prices
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초록
본 연구에서는 1980년 2월부터 2011년 7월까지의 월별 자료를 이용하여 우리나라 수출가격에 대한 환율전가의 비대칭성과 비선형성의 존재여부를 검정하는 한편, 비대칭성과 비선형성을 동시에 고려한 모형을 기반으로 하여 환율변화의 방향과 크기에 따라 환율전가도에 어떤 차이가 있는지, 그리고 외환위기 이전과 이후 환율과 수출가격 간의 관계 및 우리나라 수출기업들의 전가행태에 어떤 변화가 있었는지를 분석하였다. 본 연구에서의 실증분석 결과를 종합해보면, 우리나라 수출가격에 대한 원/달러 환율의 전가행태는 환율변화의 방향에 따라 비대칭적일 뿐 아니라 환율변화율의 크기에 따라서도 환율전가도가 달라지는 비선형성을 보이고 있는 것으로 나타난다. 그러나 이러한 비대칭성과 비선형성의 세부적 형태와 발생요인은 외환위기 이전과 이후에 상당히 다른 모습을 보였을 뿐 아니라, 전기의 경우에는 환율충격 발생 초기의 전가행태와 장기 전가행태 간에도 상당한 차이를 보였다.
Abstract
This paper tests whether asymmetry and non-linearity are present in the ERPT (exchange rate pass-through) to Korean export prices, using monthly data from February 1980 to July 2011, and analyzes how, if any, short-run and long-run ERPT elasticities vary in accordance with the direction and the size of exchange rate changes by the non-linear model which can capture such effects and what changes has occurred in Korean exporters' ERPT behavior since the 1997 financial crisis. We find that asymmetric and non-linear effects cannot be statistically rejected, although the direction of the asymmetries and the nature of the non-linearities noticeably vary across the sub-sample periods or the length of forecasting horizons.
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