거주자 해외증권투자가 스왑레이트 및 환율에 미치는 영향
The Impact of Residents’ Foreign Portfolio Investment on Swap and Exchange Rates
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본 논문은 거주자의 해외증권투자(채권/주식)가 스왑레이트(swap rate)와 환율(exchange rate)에 어떠한 영향을 미치는지 분석하였다. 2000년부터 2017년까지의18개국 패널자료를 사용한 연립방정식 모형의 실증분석 결과 거주자의 해외채권투자는 스왑레이트를 낮추는 반면, 거주자의 해외주식투자는 자국 통화의 평가절하와관련되어 있는 것으로 분석되었다. 이러한 실증분석 결과는 채권과 주식의 상이한환 리스크(exchange risk) 헤지(hedge) 관행이 설명할 수 있다. 일반적으로 채권투자에서는 환 리스크를 헤지하기 위해 외화자금시장을 이용하게 되면서 스왑레이트를낮추게 되지만, 주식투자에서는 주로 현물환 시장에서 자국 통화를 투자국 통화로교환 후 해외주식투자가 이루어지는 과정에서 자국통화가 평가절하되는 것으로 나타났다.
Abstract
This paper examines the effect of residents’ foreign portfolio investments in bonds and stocks, on swap and exchange rates. The empirical results from the application of the simultaneous equation model, using 18 countries and spanning the years from 2000 to 2017, show that residents’ foreign bond investments lower the swap rate, while their foreign stock investments are linked to devaluation of the local currency. These empirical results can be explained by the difference in exchange risk hedge practices between bonds and stocks. In foreign bond investments, the swap rate is lowered by using the swap market to hedge exchange risk. In foreign stock investments, however, the investment is conducted after the exchange of currency in the spot exchange market. In this process of currency exchange, the value of the local currency deteriorates.
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