통화정책 발언과 금융시장의 반응
The Financial Markets' Responses to Monetary Policy Announcements
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초록
금융시장의 기대형성이 가격변수에 큰 영향을 주게 되면서 통화정책의 시장기대 형성을 통한 정책효과 파급이 점차 중요해지고 있다. 본고는 통화정책기조를 시사하는 대외발언에 대한 금리, 주가, 환율 등 금융변수의 반응을 1999.5월 이후 총 138건의 발언을 대상으로 구조 VAR, EGARCH, 순차적 Probit 등의 방법을 이용하여 분석하였다. 통화정책 신호 또는 대외발언이 금융변수의 수준에 미치는 영향력은 크지 않으나 변동성은 유의한 수준으로 확대시키는 것으로 나타났다. 한편 정부의 발언은 통화당국 신호의 영향력을 감소시키고 시장 변동성은 확대시키는 교란요인으로 작용할 뿐 금융시장에 독자적인 영향을 주지 않은 것으로 나타났다. 본고는 통화정책의 투명성과 독립성을 제고함으로써 정책금리의 변경 없이도 금융시장에 대한 정책방향 전달을 통해 정책의 미조정이 가능하다는 정책적 시사점을 제공하고 있다.
Abstract
As expectations formed in financial market have a considerable effect on the price variables, monetary policy transmission through expectations channel becomes more important. This paper analyses the responses of the financial variables-interest rates, stock prices, and exchange rates-to 138 announce- ments relating to the monetary policy stance made in Korea since May 1999 using structural VAR, exponential GARCH, and ordered probit models. Signals or announcements relating to monetary policy are shown to have enlarged the volatility of financial variables while not having any great effect on their actual level. Meanwhile, government pronouncements about monetary policy are interpreted as acting only disruptive factors that reduce the effectiveness of the monetary policy authority's announcements and heighten market volatility without having any own independent effect of their own on the financial markets. This paper suggests that by enhancing the transparency and independence of monetary policy it may be possible to fine-tune policy without adjusting the policy rate through the signalling of the monetary policy stance.
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