금융글로벌화와 금융실효환율
Financial Globalization and Financial Effective Exchange Rate in Korea
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초록
본 논문은 한국 뿐 아니라 세계적으로 금융글로벌화가 진행되는 현 상황에서 한국의 대외자산 및 부채의 통화별 비중을 적절히 반영하는 월별 금융실효환율지수를 구축하고, 금융실효환율의 변화가 국제투자포지션과 자본유출입에 미치는 영향을 분석하였다. 금융실효환율지수 구축 결과, 무역가중치를 사용한 BIS지수와 변화 방향, 변동성 등이 다른 경우를 발견할 수 있었으며, 2014년 기준 한국의 순외환노출은 원화가 1% 절하될때 GDP의 0.48% 만큼 순 대외자산의 가치가 상승하는 것으로 나타났다. 실증분석 결과 금융실효환율의 변화율이 증가하는 경우 자본 유출이 증가하는 경향이 있는 것으로 나타났는데, 이는 증권투자에서 뚜렷이 나타났으며 증권투자 중 특히 채권투자의 경우 좀 더 유의한 결과가 나타났다. 본 연구에서 구축된 금융실효환율은 기존에 사용되었던 무역실효환율에 비해 환율변화로 인한 순대외자산 가치의 변화에 따른 부의 효과를 정확히 추정하는데 유용하게 사용될 것으로 기대된다.
Abstract
This paper constructs a monthly financial effective exchange rate index of Korea and investigates the relationship between the financial effective exchange rate and the external position and that between the financial effective exchange rate and capital flows. It turns out that sometimes the exchange rate index and the traditional BIS trade-weighted index move in opposite directions. The relative volatilities of the two indices are also different. The net foreign exposure of Korea as of 2014 shows that a 1% depreciation of the Won results in a 0.48% increase in the valuation of the external position. Empirical results show that the increase in the rate of change of the financial effective exchange rate significantly leads to capital outflows, especially in portfolio investment and bond investment in particular. The use of the financial effective exchange rate is better equipped than the traditional trade-weighted exchange rate in explaining and estimating the wealth effects of the changes in net external positions.
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