인플레이션 타게팅 하에서의 통화정책과 환율
The Monetary Policy and Exchange Rates under Inflation Targeting
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초록
본 연구에서는 외환위기 이후부터 최근까지의 자료와 통화정책반응함수를 이용하여 콜금리가 실질실효환율에 반응하는가를 살펴보았다. 장기균형식의 추정결과 실질실효환율이 상승하는 경우, 즉 환율이 하락하는 경우 콜금리가 하락하는데 이 추정결과는 통제변수로 물가, 국내외 산업생산 중 어느 변수가 사용되느냐에 관계없이 통계적으로 유의적이다. 또한 콜금리는 실질실효환율의 수준변수보다는 차분변수에 더 크게 반응하는 반면 장기균형식의 추정결과는 차분변수보다는 수준변수를 사용할 때 장기균형으로부터의 단기 이탈이 크게 줄어듦을 보여주고 있다. 한편 단기동태식으로 오차수정모형의 파라미터에 일정한 제약을 가한 형태로 나타낸 부분조정모형을 추정한 결과 이 추정치가 콜금리의 장기 추세는 물론 단기적인 변동까지도 잘 설명하고 있으며 이 경우 장기균형모형의 경우보다 RMSE나 MAE가 1/4에서 1/5 이하로 크게 줄어든다.
Abstract
This paper analyzes whether the overnight call rate responds to the movement of real effective exchange rates or not, using the monetary policy reaction function and the data for the post-currency crisis period. The estimation results of long-run equations show that an appreciation of exchange rates leads to a statistically significant reduction in the call rate. The results are not changed by the choice of control variables such as inflation and the output gap. The call rate is more responsive to the difference than level of real effective exchange rates, while the deviations of actual call rate from the long-run level are smaller in case of the latter. The estimation results of the partial adjustment model as a special case of an error correction model also reveal that the partial adjustment model can well explain short-run fluctuations as well as long-run trend of the call rate. In this case, the root mean square error and mean absolute error are reduced under one fourth of those in case of the long-run equation.
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