한국의 장기 균형실질환율: 장기 균형과 단기 균형이탈률 추정
Natural Equilibrium Real Exchange Rate in Korea
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초록
본 연구는 한국 원화 장기 균형실질환율을 추정하고, 실제의 실질환율이 그 균형수준을 잘 반영하는지 아니면 얼마나 균형으로부터 이탈되어 있는지를 추정한다. 관측 불가능한 균형실질환율을 추정하기 위해 자연실질환율(NATural Real EXchange rate: NATREX) 모형을 이용한다. 거시균형접근에 동학요소를 추가한 NATREX 모형을 이용해 분석한 결과, 원화의 실질환율은 총요소생산성, 수입원자재 투입요소, 교역조건, 국제장기금리, 인구부양비율 등과 장기 균형관계에 있는 것으로 나타났다. 또 한국 원화는 고평가와 저평가를 주기적으로 반복한 것으로 보인다. 특히 2006년 I분기의 경우 고평가 정도가 2000=100지수 기준 2.6포인트(균형환율에 대한 백분율로는 3.2%)를 보이며 점차 장기 균형으로 수렴해가는 추세를 보인다. 외부충격시 NATREX 모형의 장기 균형시스템은 2~3분기 안에 다시 균형을 회복하며, 균형이탈 역시 한 방향으로의 지속적인 추세를 보이지 않는다. 따라서 균형이탈 패턴을 감안하면, 무역정책으로서의 장기지속적인 환율개입정책은 장기적으로 크게 바람직하지 않을 수 있음을 시사한다.
Abstract
This paper defines an equilibrium time path of the real effective exchange rate of the Korean won. Once we know the equilibrium real exchange rate of the Korean won, we can calculate the degree of its misalignment. An estimate of the NATREX (NATural Real EXchange rate) model shows that the real exchange of the Korean won has a strong long run relationship with key economic fundamentals, such as total factor productivity, the input factor of raw material import, terms of trade, the world real interest rate and the population dependency ratio. Results also indicate that the Korean won shows cyclical movements of overvaluation and undervaluation in turn, rather than a systematic misalignment in one direction. Specifically, the Korean won was overvalued by 3.2% in 2006:Q1. Considering the cyclical pattern of misalignment, systematic intervention in the foreign exchange market does not seem to be desirable, except for unusual cases.
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