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환율변동성과 국가 간 투자집중도의 영향 -포트폴리오 투자 자료를 활용하여-

Impact of foreign exchange rate volatility and cross-border investment concentration - using portfolio investment data -

박단비
한국국제금융학회 (Korea International Finance Association)|2024.05|국제금융연구 (Review of International Money and Finance)|제14권 제1호|pp. 33-63|DOI 10.34251/ifadoi.14.1.202405.002

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키워드

exchange rate volatility환율변동성포트폴리오 투자portfolio investment금융분절화투자집중도financial fragmentation
주제분류경제학

초록

본 연구에서는 투자집중도와 환율변동성 및 포트폴리오투자의 관계에 대하여 분석하고자 한다. 국제금융시장의 불확실성이 확대될 때, 금융분절화 정도에 따라 국제포트폴리오 투자 경로로 위험이 전이되는 효과가 달라질 수 있기 때문이다. 본 연구에서는 환율변동성과 금융분절화가 외국인 포트폴리오 투자 유입에 미치는 영향을 2001년부터 2021년 사이 95개 국가 자료를 활용하여 확인하였다. 분석결과, 국가 간 포트폴리오 투자 집중도가 증가할 때, 외국인 포트폴리오 투자 유입이 감소하는 것을 확인하였고, 이는 금융분절화가 포트폴리오 투자 흐름에 부정적인 영향을 미치는 것을 확인하는 결과이다. 또한, 교차항을 활용한 분석에서는 환율변동성과 투자 집중도가 증가하는 경우에 외국인 포트폴리오 투자 규모가 감소하는 것을 확인하였다. 이러한 결과는 신흥개도국 표본에서 통계적으로 유의하게 나타났다. 외국인 투자자들의 투자집중도가 증가하는 경우 신흥개도국의 자본유출입으로 인한 거시건전성 위험이 확대되는지 관리가 필요할 것으로 여겨진다.

Abstract

As the geopolitical risk rises, financial fragmentation can increase macroeconomic vulnerability by reducing diversification benefit. This study investigates the impact of foreign exchange rate volatility and financial fragmentation on portfolio investment using 95 countries during the periods from 2001 to 2021. The empirical results support that investment concentration reduces foreign portfolio investment inflow. The interaction variable between foreign exchange volatility and portfolio investment concentration has a significant negative effect on portfolio investment inflow. The results are statistically significant for emerging and developing countries’ sample. This results suggest that it is important to implement regulatory measures to improve risk management and mitigate the potential spillover effects from the concentrated portfolio investment.

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