외환시장 개입 정책이 환율에 미치는 영향 분석
Analysis on the Effect of Foreign Exchange Market Intervention on the Exchange Rate
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초록
본 연구는 부호 제약을 부가한 구조 VAR 모형을 이용하여 외환 시장 개입정책, 통화 정책, 환율 간의 상호작용을 적절히 모형화하여 외환 시장 개입 정책 충격을 식별한 후 외환 시장 개입 정책 충격이 환율에 미치는 효과를 분석하였다. 실증 분석 결과 부호 제약을 이용하여 외환 시장 개입 정책이 환율에 미치는 단기적인 영향을 가정하지 않는 경우, 외환 시장 개입 정책이 환율에 미치는 영향은 유의하게 나타나지 않았다. 외환 시장 개입이 환율에 미치는 단기적인 영향을 가정하는 경우에는 영구적인 외환 시장 개입 정책이 환율에 단기 이상의 유의한 영향을 미치지 못하는 것으로 나타났다. 이러한 결과는 외환시장개입정책이 환율에 미치는 영향은 기껏해야 단기적이라는 것으로, 미국의 한국 환율정책에 대한 압력 행사, 환율 조작국 지정등과 관련하여 방어 논리로 역할을 할 수 있다.
Abstract
This study uses a structural VAR model with sign restrictions to modelize the interactions among foreign exchange market intervention policy, monetary policy, and exchange rate so we can identify the intervention shock and analyze its impact on the exchange rate. The empirical result shows that the impact of intervention policy on the exchange rate is not statistically significant if we do not assume the short-term effect by the policy on the exchange rate with the sign constraints. When we assume the short-term impact by the intervention on the exchange rate, a permanent intervention policy does not have more than a short-term significant effect on the exchange rate. Such a result suggests that the foreign exchange market intervention has a short-term effect on the exchange rate at best, and it can serve as a defense against the U.S. pressure on the Korea’s exchange rate policy and designation as a currency manipulator.
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