화폐적 모형을 이용한 영국 파운드화 환율의 변동행태 분석
Monetary Models of US Dollar/ UK Pound Exchange Rates
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초록
본 논문은 영국이 1972년 스미소니언협정을 이탈하면서 선진국 중 가장 먼저 변동환율을 채택한 이후 영국의 변동환율 결정요인을 분석하였다. 본 논문에서는 화폐적 모형에서 장단기의 환율변동을 잘 설명하고 있는 Frankel의 실질이자율 차이모형을 검증하였다. Johansen의 공적분 기법을 통하여 장기적인 관계를 분석하고 그리고, 오차수정모형을 통하여 그 예측력을 임의변동모형과 비교하였다. 먼저 화폐적 요인의 환율 결정의 기초인 영국의 달러/파운드화 환율의 구매력평가설(PPP)을 검정한 결과 소비자물가지수와 생산자물가지수에서 모두 구매력평가설이 유지됨을 알 수 있었다. 또한 환율과 화폐적 모형에서의 경제기초변수 사이에는 최대 5개의 공적분 관계가 성립하며 이자율을 제외한 다른 화폐적 요인은 기대한 부호를 가지고 있어 장기적으로 화폐적 요인이 달러/파운드 환율의 변동행태를 잘 설명하고 있음을 나타내주고 있다. 그리고 오차수정모형을 이용하여 단기에 있어서 환율의 예측력을 검정한 결과도 화폐적 모형은 다른 단기모형인 임의보행모형을 능가하고 있음을 발견하였다.
Abstract
Until February 1972, British maintained the fixed exchange rate system, andsince then, British changed its exchange rate system to flexible exchange ratesystem. Monetary model assumes that exchange rate is determined by moneymarket. In this paper, we would like to examine the behavior of US dollar/UK poundexchange rate using various monetary model like PPP, UIRP, flexible pricemodel, real interest rate differential model and random walk model and also theperformances of each model are examined using Root Mean Square Errorcriteria. The results indicates that PPP hold whereas UIRP does not hold and realinterest rate differential model outperforms other monetary models and randomwalk model.
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