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동아시아 국가들의 실질환율, 순수출 및 경제성장간의 상호 인과관계 분석

Real Exchange Rate, Net Exports and Economic Growth in East Asian Countries

원용걸
한국비교경제학회 (The Korea Association For Comparative Economics)|2011.12|비교경제연구 (The Comparative Economic Review)|제18권 제2호|pp. 1-49|DOI 10.23014/kace.18.2.201112.1

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키워드

동아시아East Asia경제성장Economic Growth충격반응함수Impulse Response Function실질실효환율Granger인과관계Real Effective Exchange Rate순수출Net ExportsGranger Causalitty
주제분류경제학

초록

본 논문은 한국, 중국 및 동남아 국가들 등 지난 3~40년간 고도성장을 시현한 동아시아 개도국들을 대상으로 순수출(무역수지), 실질실효환율, 그리고 GDP(경제성장의 대용변수) 등 이론적으로 밀접히 연관되어 있는 세 변수간의 상호인과관계를 Granger인과관계 방법 및 충격반응함수를 이용하여 분석하고자 한다. 분석결과, 중국을 제외하고 모든 대상국들에 있어서 공통적으로 실질실효환율이 다른 두 변수를 초래하거나(한국, 말레이시아, 필리핀, 태국), 적어도 GDP에는 영향을 주는(홍콩, 인도네시아) 것으로 나타난 반면, 중국의 경우는 GDP만이 순수출에 의미있는 영향을 미치는 것으로 나타나고 있다. 이 결과는 최근 논란이 되는 글로벌불균형 해소를 위해 제시되는 두 가지 방안, 즉 중국 위안화 평가절상과 중국의 내수시장 확대 중 후자를 지지하는 결과로 해석할 수 있다. 또한 순수출도 GDP를 선행하는 한국의 경우를 제외하고는 모든 동아시아 개도국에 있어서 실질실효환율이나 GDP를 초래하지 않는 것으로 나타나고 있는데, 이는 첫째, 수출과 수입의 효과를 합하는 경우 양 효과가 상쇄되기 때문으로 볼 수 있고, 둘째, 특히 실질실효환율의 경우에는 자본수지, 이자율, 인플레이션 등 다른 거시경제변수들에 의해 더욱 영향을 받기 때문이라고 볼 수 있다. 이상의 결과는 동아시아 국가들의 경제성장과정에서 실질실효환율이 중요한 역할을 하였으며, 무역수지 흑자를 추구하는 중상주의적 정책이 경제성장을 보장하지 않는다는 점을 시사하고 있다.

Abstract

This paper examines the three-way causal relationship between real exchange rate, trade balance and economic growth for East Asian countries such as Korea, China, Malaysia, Thailand, Indonesia, the Philippines, and Hong Kong, using individual time series data. Following Toda and Yamamoto(1995) and Dolado and Lütkepohl(1996), this paper implements Granger causality tests by specifying an overfitted level vector autoregression(VAR) model that includes real exchange rate, trade balance and GDP(a proxy for economic growth) as endogenous variables. In addition, the paper looks into the impulse response functions to determine the direction of causality. The empirical results show that in all East Asian countries except China, real exchange rate causes either both trade balance and GDP or at least GDP. For China, the only causality detected runs from GDP to trade balance. These results indicate that exchange rate policy might have been important in the process of economic development in East Asia, and support the idea that China's domestic expansionary policy rather than yuan's appreciation is more important in order to fix the global imbalance problem. Another important empirical result is that trade balance does not cause the other two variables except in Korea, indicating that mercantilistic view does not hold in the process of East Asian economic development.

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