외환위기 및 금융자유화 이후 원/달러 환율의 장 · 단기 결정요인

The Short and Long-run Factors of Exchange Rate Determination after the Foreign Exchange Crisis and Financial Liberalization

The purpose of this paper is to empirically investigate the short and long-run influence factors of won/dollar exchange rate after the foreign exchange crisis and financial liberalization. To analyze the empirical validity of the theoretical models of exchange rate determination, we employed Engel-Granger cointegration, Johansen cointegration, and ARDL Bounds test. Additionally, DOLS and FMOLS methods were applied to estimate long-run cointegration vectors. Although there are long-run equilibrium relationships for tested models, any theoretical model of exchange rate determination does not fit well with the empirical results. However, in sum, the flow approach model is more useful than the monetary-based models. In the estimation of the unrestricted models, we found that the macro variables of the U.S. are more effective and statistically significant than those of Korea. To analyze the short-run influential factors, generalized impulse response and generalized variance decomposition techniques are employed. We found that in the short-run, additional variables (domestic stock price, foreign stock net buying, dollar index, among others) are more effective and statistically significant rather than macroeconomic variables that are included in the theoretical models of exchange rate determination.