한국 무역수지에 대한 환율의 동태적 효과 분석
An Empirical Analysis of the Dynamic Effects on the Korean Trade Balance
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본 연구는 1990년 1/4분기부터 2009년 4/4분기까지 한국의 전체 무역수지, 대미 및 대일 무역수지에 대한 원화 실질가치 변동의 장․단기적 효과를 검정하였다. 특히 무역수지에 대한 환율의 단기 동태적 영향에 관심을 가지고 백터오차수정모형 및 교차상관함수의 추정을 통하여 J-곡선 및 S-곡선 효과의 존재 여부를 확인하고자 하였다. 실증분석 결과 무역수지 방정식에 나타난 변수들 간 장기 안정적 관계가 존재하지만 무역수지에 대한 환율의 영향은 제한적인 것으로 나타났다. 그리고 무역수지에 대한 환율의 단기 동태적 영향을 분석한 결과 시차에 따른 교차상관계수의 추이가 이론적 기대와 달리 J-곡선 혹은 S-곡선 형태와 다르게 나타나는 경우가 많으므로 한국 무역수지가 환율 이외의 다른 외부적 요인에 의해 크게 영향을 받는 것으로 나타났다. 따라서 무역수지의 예측과 관리를 위해서는 환율보다는 수요측 요인에 대한 관리와 한국 수출재의 고유한 경쟁력을 확보하는 것이 중요함을 시사한다.
Abstract
This study investigates the long-run and short-run influence of real exchange rate on the Korean trade balance by using total trade balance and bilateral trade balances with the U.S. and Japan in the period of 1990. 1～2009. 4. Empirically, vector error correction model and cross correlation function are estimated to differentiate between the long-run equilibrium and short-run dynamics and to confirm whether the existence of the J-Curve and the S-Curve in the Korean trade balance. Then the response of trade balance to real exchange rate shocks of Korean Won are investigated by using the generalized impulse response function. The main results are as follows. First, it is found that even though there exist long-run equilibrium relationships among the variables, the effects of real exchange rate on the Korean trade balances has insignificant limited effect. Second, the Korea and foreign real income variables have its expected positive and negative significant sign, respectively. Third, the results of this study do not exactly support the J- Curve and the S-Curve effects from the estimation results of short-run dynamic effects on the Korean trade balances by using cross correlation function. These results imply that the Korean trade balances are largely affected by other external factors than the exchange rate. In addition, for forecast and management of trade balance it is important to secure the specific competitiveness of export commodities as well as managing the demand side factors rather than focus on the exchange rate.
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