환율 경로를 고려한 통화정책의 사회후생 비교
Social Welfare Implication of Monetary Policies through Exchange Rate Channel
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초록
본 논문은 통화정책에 따른 환율 변동이 거시경제에 미치는 영향을 사회후생 관점에서 분석하였다. 한국의 동일한 생산품이 국내시장에서는 원화로, 해외시장에서는 국제통화로 결제되면, 환율 변동으로 국내외 가격이 달라지는 비효율이 발생한다. 환율 변동이 단기간에 국내와 해외 생산품의 상대가격에 미치는 영향은 작아서, 해외 가계의 지출전환이 빠르게 이루어지지 못한다. 본 논문은 국내생산성, 해외생산성, 해외금리 충격에 대한 환율을 비롯한 거시변수의 반응을 살펴보았다. 통화정책으로는 국내생산품물가 안정, 소비자물가 안정, 테일러 준칙, 고정환율제도를 비교하였다. 분석 결과, 국내생산품물가 안정이 사회후생에 최적인 통화정책이었다. 국내생산품물가가 안정되면 국내기업 간 비효율을 줄일 수 있다. 충격에 따라 일부 달라지지만, 국내생산품물가 안정으로 국내총생산 갭도 축소되었다. 고정환율제도에서는 가격불일치로 인한 비효율은 없지만, 국내기업 간 비효율적인 가격 차이가 발생하였고, 환율 고정을 위해 국내금리가 해외금리에 연동되면서 국내경기 안정에 부정적이었다. 환율 변동이 대내외 불균형 해소에 효과적이라는 함의를 도출하였다.
Abstract
This paper analyzed the effect of exchange rate changes on macroeconomy in the context of social welfare. When the same Korean product is settled in won in domestic markets and in international currency in overseas markets, the ineffectiveness of price misalignment between home and abroad arises. The short-term impact of exchange rate fluctuations on the relative prices of domestic and foreign products is small, making it difficult for overseas households to switch their expenditure quickly. This paper examined the fluctuation of key macroeconomic variables and the exchange rate, against domestic productivity, overseas productivity, and overseas interest rate shocks. The monetary policies of domestic inflation targeting, consumer inflation targeting, Taylor rule, and fixed exchange rate system were compared. Domestic inflation targeting was the most desirable policy for social welfare. A stable domestic price reduces the inefficiency among domestic companies. Although it depends partly on the shock, the GDP gap has also been reduced due to stabilizing domestic prices. Under the fixed exchange rate system, although there is no ineffectiveness due to price misalignment, there has been an inefficient price dispersion among domestic companies, and it is futile in stabilizing the economy as it intertwines domestic and overseas interest rates. This paper drew an implication that exchange rate fluctuations were effective in resolving imbalance.
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