장기균형환율의 결정요인

Revisiting Balassa-Samuelson Model of Long-run Exchange Rate

Under the Balassa-Samuelson model, the long-run equilibrium exchange rate condition is derived by assuming that the wage in the tradable goods equals that in the non-tradable goods. This paper relaxes this assumption and empirically examines the importance of wage differential between tradable and non-tradable goods in the long-run exchange rate. The cointegration analyses show that, in both nominal won/dollar exchange rate and in nominal effective exchange rate of won, the long-run equilibrium patterns in exchange rates are not found with the classical Balassa-Samuelson model. However, with the wage differential in the model, we find a strong long-run equilibrium in exchange rate. Based on the results, it is suggested that wage differential which also accounts for the differences in the labor market between tradable and non-tradable goods, should be included to analyze the long-run movement in the nominal exchange rate.