수입 및 국내물가에 대한 환율전가효과
Exchange Rate Pass-Through on Import and Domestic Prices
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초록
본 연구에서는 유가, 미국주가, 엔/달러환율 등의 해외변수가 외생적으로 주어졌 을 때 환율변화가 수입물가와 국내물가에 동태적으로 어떤 영향을 미쳤는가를 분 석하였다. 실증분석결과 원/달러환율에 대한 플러스 충격은 직접적인 인과관계만 을 고려할 때보다 다른 변수를 통한 간접적인 인과관계까지 고려할 때 같은 시기 의 수입물가와 국내물가를 더 크게 상승시킨다. 또한 물가에 대한 환율전가효과 는 단기보다는 장기에 더 커진다. 원/달러환율에 대한 1% 플러스 충격은 장기적 으로 수입물가, 생산자물가, 소비자물가를 각각 1.139%, 0.292%와 0.115% 상승 시킨다. 한편 수입물가에 대한 환율전가효과는 장기적으로 환율이 상승할 때보다 환율이 하락할 때 더 크며 수입물가, 생산자물가, 소비자물가 순으로 비대칭효과 의 크기와 통계적 유의성이 작아진다.
Abstract
This paper analyzes the dynamic effect of exchange rate changes on import and domestic prices under the assumption that foreign variables such as oil prices, U.S. stock prices, and yen/dollar exchange rates are block exogenous. According to the empirical results, an increase in won/dollar exchange rates generates stronger responses in contemporaneous import and domestic prices when indirect causal relationships through other variables as well as a direct causal relationship are considered together. The effect of exchange rate pass-through on prices is also bigger in the long-run than in the short-run. A 1% upward shift in won/dollar exchange rates has long-run effects of 1.139%, 0.292%, and 0.115% on import, producer, and consumer prices, respectively. In addition, the long-run effect of exchange rate pass-through on import price is stronger when won/dollar exchange rates are falling rather than rising. The size and statistical significance of asymmetric effect become smaller in the order of import, producer, and consumer prices.
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