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원/달러, 원/엔 환율의 구매력 평가 가설에 있어서 Balassa-Samuelson 효과 분석

Balassa-Samuelson Effect in Won/Dollar and Won/Yen Exchange Rates

홍기택|오동환
대외경제정책연구원 (Korea Institute for International Economic Policy (KIEP))|2010.06|East Asian Economic Review|제14권 제1호|pp. 263-305|DOI http://dx.doi.org/10.11644/KIEP.JEAI.2010.14.1.215

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키워드

Balassa-Samuelson 효과Purchasing Power ParityNon-linear Adjustment Process구매력 평가Johansen 공적분행태적 균형환율비선형적 조정과정Johansen's Cointegration MethodBalassa- Samuelson EffectBehavioral Equilibrium Exchange Rate
주제분류경제학

초록

본 연구에서는 원/달러, 원/엔 환율의 구매력 평가(PPP: Purchasing Power Parity)가설에 있어서 Balassa-Samuelson(BS) 효과를 선형 및 비선형 모형을 통하여 분석하였다. 우선 PPP 가설에 있어서의 BS 효과를 검증하기 위하여 원/달러, 원/엔 실질환율과 우리나라 및 외국의 생산성 지표간의 관계를 Johansen의 공적분 방법을 사용하여 분석하였다. 그 결과, 원/달러, 원/엔 실질환율 공히 국내 및 외국의 생산성 지표와의 사이에 공적분 관계가 존재하고 추정 부호도 BS 효과가 예상하는 결과를 얻었다. 또한 BS 효과를 반영하는 생산성 격차 지표 이외에 누적 경상수지, 외환 보유액, 교역조건 등 원/달러, 원/엔 실질환율의 결정에 영향을 줄 것으로 추정되는 기초 경제변수들을 포함하여 행태적 균형 환율을 추정한 결과에 있어서도, 원/달러, 원/엔 실질환율 공히 모든 이들 변수와의 사이에 공적분 관계가 존재하는 것으로 나타났으나, 이 경우에는 생산성 향상이 실질환율의 평가 절하를 가져오는 것으로 추정되어 BS 효과가 예상하는 부호에 부합되지 않았다. 마지막으로 우리나라 실질환율에 있어서 BS 효과를 반영한 장기 균형 환율로의 조정과정이 비선형적 프로세스를 따르는지 여부를 검증한 결과, 원/달러의 경우에는 LSTAR 모형에 의한 비선형적 조정과정을 보이는 것으로 분석되었다. 그러나 자기상관 등의 진단검증 결과를 고려할 때, LSTAR 모형 추정의 적합성에 문제가 있는 것으로 나타났다.

Abstract

This paper examines, using various models including a non-linear one, that the Balassa-Samuelson(BS) effect can account for the persistence of deviations from PPP in the long-run movements of won/dollar and won/yen real exchange rates. In test for PPP hypothesis that incorporates the BS effect, using the generalized Johansen’ cointegration method, it is found that a cointegration relationship exists between each of won/dollar and won/yen real exchange rate and the productivity variables of two countries. And in test for PPP hypothesis that incorporates other fundamentals such as cumulative current account balance, foreign exchange reserve, terms of trade as well as productivity differentials, using a behavioral equilibrium exchange rate approach, it is found that a cointegration relationship exists between each of won/dollar and won/yen real exchange rate and all of these fundamentals. However, the plus sign of the estimated coefficient of the productivity differentials variable, which means that domestic productivity improvement produces increase in each of won/dollar and won/yen real exchange rate is not coincident with the result that the BS effect expects theoretically. Finally, in test for PPP hypothesis that incorporates the BS effect, using a non-linear STAR model, it is found that the adjustment process in case of won/dollar real exchange rate from the long-run equilibrium level can be adequately explained by a non-linear LSTAR model. But, the evidence of diagnostic statistics, which shows the existence of autocorrelation of the residuals in most of lags, might suggest the inadequacy of LSTAR model specification.

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