자본이동과 환율간의 관계 분석
An Analysis Between Capital Flows and Exchange Rates: The Case of Korea
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초록
본 연구에서는 먼저 환율과 자본이동 간의 동태적 관계를 살펴 본 결과 Granger 인과관계 분석 결과에서는 환율 변화율이 자본이동의 변화 예측에 설명력이 있음을 보였다. 충격반응함수 분석 결과는 환율 변화율 충격이 자본이동에 미치는 영향은 국제 금융위기 기간과 이후 사이에 상당히 다른 형태의 모습을 보이고 있다. 분산 분석 추정 결과도 금융위기 기간 동안 환율 변화율 변동 설명력이 금융위기 이후 보다 크게 나타나고 있다. 마지막으로 다변량 GARCH-in-Mean 모형을 이용해서 환율 변화율과 자본이동의 변동성이 각 변수에 미치는 영향을 보면 환율변동성이 국제 자본이동에 미치는 효과가 통계적으로 유의하게 나타나고 있다. 따라서 정책적인 측면에서 급격한 국제 자본이동의 문제점을 제어하기 위해서는 환율변동성을 적절한 수준으로 조정해야 할것이다.
Abstract
This study investigates the dynamic relationship between the Won/USDexchange rate and capital flows by adopting the VAR model. Key findingsfrom the study are the following. First, the Granger causality test shows thatthe changes in the Won/USD exchange rate provide statistically significantpredictability to capital flows. Second, the impulse responses of capital flows tothe changes in the Won/USD exchange rate exhibit stronger effects during theglobal financial crisis period than after the global financial crisis. Similarly,variance decomposition results show similar results. Finally, the multivariateGARCH-in-Mean model shows that the volatility of the change in theWon/USD exchange rate has statistically significant effects on capital flows.
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