경제정책 불확실성 지수가 환율결정에 주는 영향분석

Abstract

The free-floating exchange rate system was applied in South Korea after the 1997 Asian financial crisis. Since then, a lot of studies on exchange rate determination were conducted based on the monetary approach. However, after the 2008 global financial crisis, the economic policies of major countries had a greater impact on financial markets, but fewer studies were published on how the exogenous changes in economic policies affect the foreign exchange market of small open economies. Based on the related literature, we selected explanatory variables such as money supply, income, interest rate, terms of trade, and capital account, and then constructed a Won/Dollar exchange rate determination model by adding Economic Policy Uncertainty(EPU) indexes Baker, Bloom, and Davis(2016) devised as supplementary variables. The empirical analysis period is from October 2000 to December 2020, and regression analysis was performed using both a linear multiple regression model a non-linear VECM model. Monetary model-related variables, such as money supply and interest rate were proved to be more significant factors before the financial crisis. On the other hand, the influence of the EPU indexes was greater after the financial crisis and in particular, the Korea EPU index and Japan EPU index had a significant impact.