코로나19 충격에 대응한 중앙은행 간 통화스왑의 국내 외환시장 안정 효과
Effects of the Central Bank Liquidity Swap on Korean FX Markets - The Case during the COVID-19 Crisis
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본 연구는 2020년 3월 코로나19 충격에 대응하여 체결된 미 연준과 한국은행 간의 통화스왑이 국내 외환시장 안정에 어떤 효과를 내었는지 알아보았다. 통화스왑 계약체결 발표와 이후 그 자금을 이용한 외화대출이 원/달러 환율과 차익거래유인(무위험 이자율평형 이탈)에 어떤 영향을 미쳤는지 일별 자료를 이용해 국소투영법으로 분석하였다. 통화스왑의 효과를 식별하기 위해서 17개 비교대상 국가와 우리나라를 통화스왑 이벤트 전후로 비교하는 이중차분 전략을 사용하였다. 검토결과 환율은 통화스왑 계약체결 발표 효과로 당일 3.3%, 이후 2주간 평균2.1% 하락한 것으로 분석되었다. 이후 여섯 차례에 걸쳐 총 199억 달러의 외화대출을 실시할 때에도 환율이 약 0.5%씩 하락하였던 것으로 나타났다. 반면 외화자금시장 경색 정도를 나타내는 차익거래유인에서는 통화스왑 발표와 외화대출의영향이 불분명하였다.
Abstract
This paper estimates the effects of the central bank liquidity swap, arranged during the COVID-19 crisis, on the Korean FX market. I analyze the daily fluctuation of the exchange rate and the covered interest rate parity deviation between February and May 2020. I estimate the liquidity swap effect using the local projection method deployed in a differences-in-differences setup. I compare the differences in FX market conditions in Korea and in 17 other countries after the liquidity swap events. Both the announcement effects and the liquidity auction effects are estimated. The results indicate that the central bank liquidity swap played a crucial role in stabilizing the Korean FX market during the COVID-19 crisis. The Korean won gained as much as 3.3% on the day of the currency swap announcement, and remained elevated throughout the subsequent two weeks period, rising at an average rate of 2.1%. The won also appreciated by 0.5% for each of the six liquidity auctions. The swap line effect on the covered interest rate parity deviation was not clear. However, I find that the deviation was kept below the theoretical ceiling after the swap arrangement.
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