원·달러 환율은 펀더멘탈과 무관한 추세를 가지는가? (Is there a Stochastic Non-Fundamental Trend in Won/Dollar Exchange Rate?)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 28권 / 4호 / 63 ~ 89페이지
· 저자명 : 김윤영

초록

본고는 원/달러 환율에 펀더멘탈과 무관한 I(1)인 비정상 확률적 추세가 존재하는지의 여부를 환율·거시 펀더멘탈로 구성된 VAR 모형에서 검정·추정하여 보았다. 이 추세는 통상적인 자산가격의 합리적 버블과 관련이 있으며 오차수정 모형을 통해 해석하는 경우 양자는 개념적으로유사하다. 분석 모형에서 환율과 거시경제변수로 구성된 펀더멘탈은 모두 I(1)이며 서로 공적분관계인 것으로 가정한다. 이런 이론적 틀에서 거시 펀더멘탈의 추세와 통계적으로 독립인 환율내 추세의 추정이 베버리지 넬슨 분해를 통해 가능하며 이의 존재 여부는 표준적인 t-검정을통해 수행된다. 실증분석 결과 외환위기 이후 기간 중 대내외 통화량 및 장기이자율 차에 관련된요인으로 인해 ‘원/달러 환율에 펀더멘탈과 무관한 추세가 존재하지 않는다’는 귀무가설이 1% 유의수준에서 기각되는 것으로 나타났다. 또한 원/달러 환율, 펀더멘탈 및 비펀더멘탈로 구성된VAR 모형을 이용한 충격반응 분석 결과, 원/달러 환율은 외환위기 이후가 외환위기 이전에 비해펀더멘탈보다 비펀더멘탈 충격에 더 크게 반응하며 분산분해 결과도 비펀더멘탈이 펀더멘탈을압도하는 것으로 나타났다. 외환위기 이후 환율에 대한 비펀더멘탈 추세의 역할이 커지는 것은 금융시장의 대외 개방 폭의 확대 및 리스크 프레미엄에 일부 기인한 것으로 추정된다.

영어초록

Recently a rapid volatility increase might appear in foreign exchangerates of emerging market countries connecting with expected stop of theUS quantitative easing monetary policy. Obviously those reflect the deteriorationof fundamentals including continual current account deficit and foreignreserve reduction for these countries. Further the panic of market psychologythat induces domestic currency dumping might be another cause for it. However the latter is hard to quantify like conventional asset price bubbleand thus is little focused in the economic literatures. Limited studies arealso restricted for the test of explosive bubble and dynamic analyses onthem are rare.
In this paper, we test and estimate of the stochastic non-fundamentaltrend in Won/Dollar exchange rate. For this, following Kim (2014), we exploitthat the long-run equilibrium housing price may be decomposed into fundamentaland stochastic non-fundamental trends (i.e., the sum of dividend innovationsand that of innovations that are orthogonal to fundamental macro-innovations,respectively) by using the Beveridge Nelson decomposition and projections. In this VAR construction, there is an error correction mechanism throughwhich housing prices converge to their long-run equilibrium, which reflectsthe stated stochastic non-fundamental trend. We may test the existenceof non-fundamental trend via a standard t-test and conduct a dynamicanalyses using Won/Dollar exchange rate, fundamental and non-fundamentaltrends in a VAR model. The results of the analysis of monthly data fromthe Korea during after Asian and global financial crises, indicate thatfluctuations in Won/Dollar exchange rate during that period can be explainedmainly by the non-fundamental trend, not by the stochastic fundamental trend.
Conventional ADF unit root test results for differences of M2, shortterm interest rate, long term interest rate, industrial production index showthat we can not reject the null hypothesis that “H0: Unit root does not exist.”with 10% significance level. Those variables reflect the monetaryapproach of exchange rate. So explosive bubble in exchange rate is excluded. More conservative SIC shows that an appropriate order of VAR model isone. That also reflects the financial variables have short memories. Johansencointegration test results show that number of cointegration vector is atleast one for After Asian financial crisis and Before Asian financial crisiswith 10% level. Estimation results of Johansen cointegration vector confirmedconventional monetary approach of foreign exchange rate for the periodof Before Asian financial crisis. However those for the period of After Asianfinancial crisis were not so, which may be due to the non-fundamental trend.
In particular, non-fundamental trend soared at right before Asianfinancial crisis (1995~1996), right after Asian financial crisis (1999~2000)and during global financial crisis (2007~2008). Those partly reflect riskpremium of Won/Dollar exchange rate. The exponential ratios of non-fundamental trend over total exchange rate also reflect the similar patterns.
Further we conducted t-tests on the existence of non-fundamentaltrend for the null hypothesis that “H0: there is not non-fundamental trendin exchange rate.”For the period of After Asian financial crisis, the differencesof M2 and long term interest rate are significant with 5% level, while thedifferences of industrial production index and long term interest rate aresignificant with 5% level for the period of Before Asian financial crisis.
We also conducted impulse response analyses for the differences offundamental trend, non-fundamental trend and exchange rates using thedata of After Asian financial crisis. We found that the responses of thedifferences of exchange rates to the shock of differences of non-fundamentaltrend is larger than to the shock of differences of fundamental trend,non-fundamental trend. However the same response using the data of BeforeAsian financial crisis showed relatively smaller responses than those usingthe data of After Asian financial crisis.
The variance decompositions for the exchange rate difference showedthat the difference of non-fundamental trend dominates the other differencesof fundamental trend and exchange rate. This phenomenon has beenstrengthened during After Asian financial crisis.

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