대외포지션이 외환 및 주식시장 변동성에 미치는 영향 분석
Analysis on the Impact of Foreign Position to Foreign Exchange and Stock Market Volatility
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글로벌 금융위기 이후 경상거래 둔화에도 불구하고 주요국의 초저금리 및 양적완화 정책 실시 영향으로 각국 대외포지션은 꾸준히 확대되었다. 이러한 대외 포지션 확대는 대외충격 파급과정 및 시장 변동성에 상당한 영향을 미쳤을 것으보인다. 그러나 이에 대한 체계적 연구는 활발히 이루어지지 못하였다. 본고에서는 이러한 점을 고려하여 국가별 데이터를 이용한 패널평활전이모형을 활용하여 대외포지션 변동이 외환⋅주식시장 변동성에 미치는 영향을 분석하였다. 분석결과, 대외자산이 환율 및 주가 변동성에 미치는 영향은 자산 항목별로 상당한 차이를 보이는 것으로 나타났다. 외환보유액과 내국인 해외직접투자 자산은 일정 수준 이상 축적될 경우 외환⋅주식시장 변동성 완화에 유의한 영향을 미치는 것으로 분석되었다. 반면 내국인 포트폴리오투자 및 기타 투자 자산의 경우 개선 효과가 뚜렷하지 않은 모습이다. 한편 대외부채는 외국인 포트폴리오투자 자산을 중심으로 외환 및 주식시장 변동성을 확대하는 것으로 분석되었다. 대외포지션은 각국의 경제구조 및 국제금융시장의 변화뿐만 아니라 외환⋅금융정책의 결과물이라는 점에서 이러한 분석결과는 향후 중장기 외환정책 수립에 유용한 시사점을 제공할 것으로 보인다.
Abstract
After the global financial crisis and slowing current account trade, the ultra-low interest rates and quantitative easing of major economies caused each country’s foreign positions to continue to increase. Such expansion of foreign position may have had a significant impact on the transmission of foreign shocks and market volatility, but rigorous studies on such matter has yet to be done. This paper embarks on such concerns, and we empirically analyze the effect of foreign position changes on exchange rates and stock market volatilities using the panel smooth transition model. The analysis result shows that the impact of foreign assets on the volatility of exchange rate and stock market depends on the asset categories. Accumulation of foreign reserves and resident FDI assets over certain level significantly mitigate exchange rate and stock market volatility. But the resident’s portfolio and other investment assets do not significantly decrease volatility. Foreign liabilities, on the other hand, increase exchange rate and stock market volatilities especially with non-resident portfolio investment assets. This study may have helpful implications on implementing foreign exchange and financial policy as foreign positions are the outcome of not only a country's economic structure and changing international financial markets but foreign exchange and financial policy.
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