한국에서 환율 및 국제유가의 변화가 소비자물가에 미치는 비선형효과 분석
A Study of the Nonlinear Effects of Changes in Exchange Rates and Oil Prices on Consumer Prices in Korea
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본 연구는 한국에서 환율과 국제유가의 변화가 소비자물가에 미치는 장·단기적 비대칭 영향을 실증적으로 분석하고자 한다. 이를 위해 2000년 1월부터 2023년 3월까지 월별 자료를 사용한 비선형 자기회귀(NARDL) 모형을 이용하였으며, 이때 분석 기간을 전체 기간, 글로벌 금융위기 이전 및 이후 기간, 팬더믹 기간의 4가지로 구분하여 각 기간별 환율과 국제유가 변화의 전가 정도를 살펴보았다. 실증분석 결과, 전 기간에 걸쳐 장기적으로 환율 및 국제유가의 변화, 국내 수요 증가가 소비자물가 변화에 영향을 미쳤으며, 특히 국제유가는 비대칭적인 영향이 있는 것으로 제시되었다. 또한, 글로벌 금융위기 이전에는 국제유가만이 소비자물가에 영향을 미친 반면, 글로벌 금융위기 이후에는 환율과 국제유가, 국내 수요 증가 모두 소비자물가에 영향을 미쳐 글로벌 금융위기를 거치며 한국 경제의 구조적 변화가 일어났음을 확인할 수 있었다. 마지막으로, 팬더믹 기간에는 장기적으로 환율과 국내 수요의 변화가 소비자물가에 영향을 미쳤으며, 국제유가도 비대칭적 영향이 여전히 존재하였지만 비대칭적인 효과의 정도가 상당히 감소하는 것으로 나타났다. 한편, 모든 기간에서 환율의 전가 정도가 국제유가의 전가 정도보다 크게 나타났으며, 최근으로 올수록 이러한 전가 정도가 점차 증가하는 특징을 확인할 수 있었다.
Abstract
This study empirically analyzes the long-term and short-term asymmetric effects of changes in exchange rates and international oil prices on consumer prices in Korea. For the empirical analysis, a Nonlinear Autoregressive Distributed Lags (NARDL) model using monthly data from January 2000 to March 2023 was used. In addition, I divided the analysis period into four periods: the entire period, the period before and after the global financial crisis, and the pandemic period, and looked at the pass-through of changes in exchange rates and international oil prices for each period. As a result of the empirical analysis, long-term changes in exchange rates, international oil prices, and domestic demand over the entire period affected changes in consumer prices. In particular, international oil prices had an asymmetrical effect on consumer prices. Also, in the period before the global financial crisis, only international oil prices had an impact on consumer prices. However, in the period after the global financial crisis, exchange rates, international oil prices, and domestic demand had an impact on consumer prices, confirming that structural changes occurred in the Korean economy during the global financial crisis. Finally, during the pandemic, changes in exchange rates and domestic demand have had long-term effects on consumer prices. International oil prices also had an asymmetric effect. However, the difference in asymmetrical effects between the rising and falling periods of international oil prices has significantly decreased. In addition, the exchange rate pass-through was higher than the international oil price pass-through in all periods, and it was confirmed that this pass-through gradually increased as more recently.
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