외환위기 이후 원/달러 환율과 엔/달러 환율의 동조화 현상 분석

Empirical Investigation for the Won-Yen Coupling Since the Asian Crisis

특정한 두 나라 통화의 환율이 매우 유사한 움직임을 보이는 것은 이례적인 일이다. 따라서 원/달러 환율과 엔/달러 환율의 동조화Coupling는 오랜 기간 동안 많은 이들의 관심의 대상이었으나 특히 외환위기 이후 더욱 심화되는 양상을 보였다. 원-엔 동조화에 대한 가장 일반적인 설명은 한국과 일본의 수출경쟁관계이나, 최근의 연구는 원-엔 동조화가 외환위기 이전보다 이후에 심화된 이유는 자본시장 개방화의 증가 등의 요인과 관련이 있다는 의견을 제시하였다. 반면 본 연구에서는 외환위기 이후 기간을 여러 개의 구간들로 나눈 뒤, 각 구간에서의 원-엔 동조화 정도를 최근의 계량기법을 이용하여 측정한다. 또한 해당구간에서의 원-엔 동조화를 둘러싼 관련 요인들을 살펴봄으로써 어떤 조건하에 동조화가 심화되고 어떤 경우에 그렇지 않은지를 분석하고자 한다. 본 연구는 원-엔 동조화의 관련요인으로 환율 변동성 요인, 거시경제지표, 외환수급을 고려하고 있으며, 그중 환리스크를 대변하는 환율 변동성이 원-엔 동조화를 설명하는 데 있어서 가장 큰 영향을 미친다는 결과를 도출한다. 이러한 분석결과는 향후 원/달러 환율 움직임의 속성을 가늠하는 데 있어서 유용한 정보를 제공할 것으로 보인다.

Exchange rate has become more important to Korean economy since the economy is exposed to the increasingly integrated world economy in terms of international trades as well as financial investment abroad. Such an importance urges many researchers and practitioners to investigate the exchange rate movement although the currency rates are well known to be very unpredictable. One of the most remarkable observations for the Won-Dollar exchange rate is its marked comovement with the Yen-Dollar exchange rate. The pronounced but unusual phenomenon, however, seems to receive less attention relative to strong interdependence between Korean and Japanese economies, two major economies in Asia. Rather, the Won-Yen coupling has been casually accepted with the conjecture that similarity between the two currencies' exchange rates is due to the export competition between Korea and Japan. Beyond the export competition between Korea and Japan, this paper seeks for the factors yielding to the Won-Yen coupling. The more severe Won-Yen coupling has been witnessed since the Asian crisis upon which Korea has adapted free floating system for the Won currency exchange rate. Besides the market based exchange rate system, Korean economy has faced a rapid capital and financial market liberalization around the crisis. Most of the previous studies for the Won-Yen coupling assess that a big tide of capital liberalization at that time is responsible for the noticeably strong Won-Yen coupling for the whole post-crisis period. I focus on tracing the possibly continuous changes in the degree of the Won-Yen coupling instead of judging whether there exists the coupling for the post-crisis period or not. The current paper motivates the possibility that the Won-Yen coupling for the post-crisis period is characterized by some dynamics rather than a monotone at some steady extent. Fractional cointegration method is used to gauge the continuously changing degree of the Won-Yen coupling along the time path since the crisis. Further, this paper intends to identify what factors are influential in determining the degree of the Won-Yen coupling. Taking account into financial as well as macroeconomic aspects of foreign currencies, this paper deliberates some variables relevant to the coupling pattern in order to find out which factor is more decisive in affecting the Won-Yen coupling than the others. Three groups of possible factors for the Won-Yen coupling include 1) the foreign exchange rate risk measured by exchange rate volatility, 2) some macroeconomic variables argued by the monetary approach to exchange rate determination, and 3) foreign reserves for Korea and Japan. Moreover, the global dollar trend is incorporated into the empirical analysis to separate out the genuine Won-Yen coupling from what might be attributed to the global dollar trend. The main empirical findings are summarized as follows. First, starting with the foreign exchange rate risk, the Yen/Dollar exchange rate volatility seems to be positively tied with the Won-Yen coupling at their levels while the lagged shock to the Won/Dollar exchange rate volatility and the current shock to the Yen/Dollar exchange rate volatility are positively related to the shock to the Won-Yen coupling. Secondly, the current paper considers the macroeconomic variables such as the interest rate, the real income, the money supply, and the price levels on the basis of the monetary approach to exchange rate determination. The results in the current paper imply that those macroeconomic differentials between Korea and Japan may not be significantly relevant to the Won-Yen coupling dynamics. Finally, the foreign reserve differential between Korea and Japan does not seem to be tied with the Won-Yen coupling at the level, but its current and lagged shocks may be influential for the Won-Yen coupling. The current paper proposes necessity for a deeper analysis for the Won-Yen coupling, and obtains some lesson that