한국의 실질환율에 관한 이론적 고찰과 실증분석

Abstract

Fluctuations in exchange rate in a small open economic system like our country has a very important meaning, since exchange rate is the main course whereby overseas shock is transferred and at the same time effects of currency policy are spread. In this aspect, analysis of relations between exchange rate and interest rate greatly affects effectiveness of currency policy. Therefore, this study expects that theoretical study and empirical analysis of potential existence of such systematic relation between exchange rate and interest rate can be used as basic data to reflect that relation more precisely and understand at the time of establishing the country's macroeconomic model. And the study seeks to conduct theoretical study and empirical analysis of real exchange rate and interest rate parity conditions - considered to be core subject of empirical research on open macroeconomic theory.

As a method of research, the study used Balassa Samuelson hypothesis to examine exchange rate determining model theory. And it also established AR model using monthly data from March 1973 to December 2013 and then conducted trend analysis via unit root test, while using OLS (Ordinary Least Square) as an estimation method. As a result, the study found that time-series trend of real exchange rate had unit root for whole period for the research. In other words, fluctuations in exchange rate showed unstable time-series aspect with long-lasting shock. This tells us that real exchange rate is sensitively responsive to exterior shocks. Along the way, the study tested whether real interest rate parity theory had prevailed for the period since foreign exchange crisis when freely fluctuating exchange rate system had begun to be applied. The result showed that in our country, gap value of real interest rate at home and abroad didn't become -1, telling real interest rate parity theory was not applicable to the country. Overall analysis result of this study found that real interest rate had no effect on exchange rate. That is, apart from interest rate, lots of other factors in real economy affected the rise or fall of exchange rate. To consider other factors too rather than a simple policy arising from real interest rate parity conditions and to set up a more elaborate econometrics model might be desirable for harmonious and steady exchange rate policy operation to achieve interior and exterior goals of national economy in a more effective way. And this must be connected to continuous research on real economy so as to be used diversely for the government's financial policy and economy stabilization policy.