거주자 외화예금의 결정요인
On the Determinants of Resident Foreign Currency Deposits in Korea
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초록
본 연구에서는 2000년 10월∼2019년 6월의 월별 자료를 이용하여 우리나라 미달러화 거주자 외화예금의 결정요인을 실증적으로 분석하였다. 본 연구의 실증분석 결과에 의하면 전체 표본기간에서 원/달러 환율의 변화율 또는 원/달러 외환시장 압력지수의 증가는 GDP 대비 거주자 외화예금 비율의 변화에 양(+)의 영향을 미치는 것으로 나타났다. 글로벌 금융위기 이후의 기간만을 고려한 실증분석의 결과도 이와 동일하다. 한편, 거주자 외화예금의 규모를 측정하는 대안 변수인 외화예금/총수신 비율의 변화는 원/달러 환율의 변화율, 외환시장 압력지수, 원/달러 환율 변동성, 소비자물가상승률의 변화에 유의한 양(+)의 영향을 받는 것으로 나타났다.
Abstract
This paper empirically investigates what determines foreign currency deposits held at Korean banks by residents. The empirical analysis is carried out using monthly data during the period from October 2000 to June 2019. According to our empirical results, the foreign currency deposit to GDP ratio increased significantly in response to the rises of won/dollar exchange rate and foreign exchange market pressure index. The same results are found for the regressions which are confined only to the period after the global financial crisis. On the other hand, when the regression is performed on the ratio of foreign currency deposit to total deposit, inflation rate, in addition to won/dollar exchange rate and foreign exchange market pressure index, showed positive effects on the ratio.
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