환율 변동성 요인 분석 및 환율 변동성이 실물경제에 미치는 영향

Abstract

This study empirically analyzes factors that can affect the volatility of the domestic won/dollar exchange rate, which advocates a small open economy, focusing on the United States, a representative key currency country. In addition, the effect of exchange rate volatility on the domestic real economy was analyzed. First, the EGARCH model is estimated in order to extract won/dollar exchange rate volatility. The results show that there is a volatility clustering phenomenon in the won/dollar exchange rate volatility. Next, factors of exchange rate volatility are estimated through the regression analysis. The estimated results indicate that variables of the US currency amount and Korea-US interest rate spread show significant amounts of coefficients, and each variable increase causes the increase of won/dollar exchange rate volatility. This explains that the expansionary monetary policy of the US implemented for domestic business recovery raises won/dollar exchange rate volatility through direct currency channel and portfolio channel. On the other hand, the growth rate of the US shows significant negative coefficient, and the increase of relevant variables leads to the reduction of won/dollar exchange rate volatility. In the results of estimating the SVAR model in order to check the effects of exchange rate volatility on real economy of Korea, the shock of exchange rate volatility increase reduces trades between Korea and the US while limiting the growth rate of Korea. Through the above analysis results, it is expected that unexpected monetary policy(austerity monetary policy) of major key currency countries including the US might expand the won/dollar exchange rate volatility, which could function as an element to restrict domestic real economy.