벡터오차수정모형을 활용한 환율과 외환보유액 간 장단기 관계 분석 (Analysis on the Relation between Exchange Rate and International Reserve : An Vector Error Correction Model)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 28권 / 4호 / 91 ~ 141페이지
· 저자명 : 진익

초록

최근 경상수지 흑자가 확대되는 가운데 외환보유액이 증가하는 현상이 지속되고 있다. 동 현상과관련하여, 환율 하락을 억제하고 경상수지 흑자를 확대하려는 중상주의적 동기가 외환보유액증가의 배경이라고 보는 견해가 존재한다. 본 연구는 그러한 견해의 설득력을 검토하기 위해,지난 20년간의 월간 데이터를 대상으로 벡터오차수정모형을 적용하여 환율과 외환보유액 장단기관계를 확인해 보았다. 추정결과는 우리나라에서의 시장개입 행태, 효과 및 동기에 대해 흥미로운시사점을 제공한다. 단기 동학 차원의 결과로서 외환보유액 조정(시장개입)이 환율 변화 방향에따라 비대칭적으로 이루어지는 것으로 관측된다. 특히 환율 상승 이후에 외환보유액이 감소하지않는 것으로 보이는데, 이는 시장안정화 동기에서 이탈한 개입이 빈번함을 의미한다. 그런데 해당 이탈은 중상주의적 동기보다 예비적 동기에 의해 보다 잘 설명될 수 있다. 환율 상승 이후외환 매도 개입이 뚜렷하게 나타나지 않는 점, 외환 매입 개입을 통한 인위적 환율 인상이 어려운상황에서 환율 수준과 외환보유액 규모 간 장기 균형관계가 양(+)으로 성립하는 점, 장기 불균형오차가 발생하면 해당 불균형을 수정하는 차원에서 외환보유액이 내생적으로 조정되는 점 등은예비적 동기에 보다 부합한다. 다만 2004년 이후에 예비적 동기는 약화된 반면 시장안정화 동기가 강화된 것으로 보인다. 한편 벡터오차수정모형에 추가적인 내생변수를 포함하는 경우, 외환보유액에대한 이자수익을 감안하는 경우, 실효환율을 대상으로 분석하는 경우에도 주요 결과 및 시사점이안정적으로 유지됨을 확인하였다.

영어초록

Recently, it is observed in Korea that the international reservescontinue to grow with the sustained surplus of current account. Major tradingpartners and international organizations raise a suspicion that Korean foreignexchange authorities have intervened in the market from mercantile motives. In order to verify the suspicion, this paper analyzes the VECM(vector errorcorrection model) which shows both short-run dynamics and long-runequilibrium relation between exchange rate and international reserves.
Unit-root tests (ADF and PP) are performed for each of ten variables:exchange rate, reserves, inflation, stock price, interest rate, industrialproduction, exports, imports, inbound foreign investments and outboundforeign investments. The results indicate that all individual variables areintegrated of order 1. In addition, the results of cointegration tests (tracestatistic and maximum eigenvalue statistic) indicate that there existcointegrating relations between exchange rate and reserves, and among allten variables as well. Based on those relations, it is allowed to employ VECMsin order to analyze the pattern, effect and motive of intervention.
Beside addressing conventional issues such as patters and effects ofintervention in the dimension of short-run dynamics; the model explicitlyincorporates the dimension of long-run equilibrium relation betweenexchange rate and international reserves in order to infer motives aroundinterventions. Main findings are as follows.
First, it seems that Korean foreign exchange authorities have frequentlyturned aside from smoothing motives which aim to resolve deviations ofexchange rate from the long-run target level as well as to mitigate short-termfluctuations. It is confirmed by observed asymmetrical patterns and effectsof intervention. Especially, the decrease of reserves reacting to the increaseof exchange rate is not verified, which is not compatible with smoothing motives. Moreover, persistent changes in reserves along with oscillatingchanges in exchange rate cannot be explained though symmetrical against-the-wind interventions from smoothing motives.
Secondly, it is not clear whether interventions have been effective. With the result showing that the short-term effect of intervention isasymmetrical, only the dollar-sale-intervention at the previous monthsignificantly contributes to the increase of exchange rate at the currentmonth. The observation does not fall into line with both direction criterionand smoothing criterion by which interventions can be evaluated as successful. The impulse-response analysis with regards to long-term effect, which tracesthe effect of a plus one percent shock to reserves on current and futurevalues of exchange rate, shows that exchange rate drops immediately afterthe shock and its decreased margin is gradually reduced thereafter. It impliesthat exchange rate cannot be intentionally depreciated through interventionsfrom mercantile motives.
Thirdly, interventions deviated from smoothing motives are compatiblewith precautionary motives rather than mercantile motives. Such a judgementcan be supported by the estimated cointegrating vectors indicating thatreserves in Korea have maintained a positive long-run relation with exchangerate. When exchange rate increases sharply, Korean foreign exchangeauthorities are not likely to execute dollar-sale-interventions in fear oflosing international reserves. Moreover, dollar-purchase-interventionsfrom precautionary motives against liquidity risk are likely to be frequentlyemployed when exchange rate is high.
In order to check the robustness of the judgement that continuouslyincreasing international reserves in Korea can be successfully explainedby precautionary motives, VECMs are applied to each of two sub-periods. The first sub-period is from January 1994 until December 2003. The secondsub-period is from January 2004 until December 2013. The estimation resultsshow that intervention patterns compatible with precautionary motives arenoticeable during the first sub-period. In contrast, observed patterns ofintervention during the second sub-period become close more to smoothingmotives. Also, the analysis on the VECM consisting of ten endogenousvariables shows the essentially same results. Furthermore, key findingsof the analysis remain valid even after interest income on reserves is adjustedand even when the effective exchange rate is used.

참고자료

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