금융개방의 확대와 환율의 영향 변화 분석 (Analysis on the Expansion of Financial Opening and Changes in the Effects of Exchange Rates)

Korean Abstract: 글로벌 금융위기가 발생한 지 5년이 지났음에도 세계경제는 아직 정상적인 상태를 회복하지 못하고 있다. 각국은 위기극복을 위해 양적완화정책을 비롯한 자국 위주의 정책을 시행하고 있으며, 이러한 흐름을 고려할 때 환율전쟁의 가능성을 배제할 수 없는 상황이다. 실제로 세계 각국이 환율전쟁과 같은 갈등 상황에 빠지게 될 경우 소규모 개방국가인 우리나라에 미치는 영향은 매우 크다. 무역의존도 100%를 넘는 우리나라는 원화절상 속도의 가속화에 따른 경상수지 악화를 겪을 것이며, 물가 변동성 역시 확대될 뿐 아니라 거시경제변수 전반이 불안정해지는 어려움을 겪게 될 것이기 때문이다. 뿐만 아니라 지속적인 금융개방 확대와 더불어 금융환경 변화에 취약한 현실을 고려할 때 거시경제 환경이 악화될 경우 국내시장에 유입된 해외자본들이 급격히 유출되는 서든스톱(sudden stop)이 발생할 가능성도 있다. 이러한 점들을 고려할 때 1997년 외환위기 이후 금융개방과 더불어 환율제도 및 정책의 변화와 외환거래에 대한 규제 완화 혹은 폐지 과정을 되돌아볼 필요가 있다. 또한 대내외 금융환경의 변화를 반영하여 외환 수급구조의 변화를 살펴보고, 환율의 주요 경제지표에 미치는 영향에 어떠한 변화가 있는지 점검해 보는 연구를 수행할 필요가 제기되고 있다. 이러한 필요성에 근거하여 본 연구를 추진하였다. English Abstract: Five years have passed since the onset of the global financial crisis, and yet the world economy has not regained its normal state. Each country has been implementing the policies for its own domestic economy, such as the quantitative easing. Considering these circumstances, we cannot rule out the possibility of the currency war. In fact, if the world economy turns into such situations, the impact on South Korea, an open and small scale economy, would be significant. South Korea, whose degree of dependence upon foreign trade reaches over 100%, will face the current account deficit resulting from the acceleration of appreciation of the Korean Won. Also, the price fluctuation will be worsened and overall macroeconomic variations will become unstable. Besides, judging from the current state of Korea's economy, which is experiencing continuous expansion of financial opening and is prone to changes in the financial environment, if the macroeconomic environment were to deteriorate, it is possible that South Korea will experience a sudden stop in foreign capital inflows. If we take those points into account, it is necessary to take a close look at changes in the system and policies regarding the exchange rates and the deregulation process of foreign exchange dealings, along with the financial opening that has occurred since the currency crisis in 1997. Also, the necessity to conduct studies which examine the changes in the effects of exchange rates on main economic indicators is being brought up. This study was conducted based on these demands, and its main contents are explained as follows. In chapter 2, it examines the exchange rate system and policies that were implemented in South Korea, and then it introduces and analyzes the characteristics of the regulatory scheme that was carried out after the 2000s to minimize the side effects of rapid financial opening and analyzes its characteristics. It can be said that South Korea's foreign exchange system has been developed in a way that it adapts to changes in both the domestic and overseas financial environment and to policy issues of the time. In addition, advanced economies’ policies concerning the QE since the global financial crisis are significantly affecting not only the South Korea's foreign currencies market but the increasing volatility in capital flows. This paper argues that long-term plans and concrete actions are required to reduce the volatility in capital flows resulting from the changes in the QE policies. In the third chapter, it examines whether there were any changes in the relationship between the financial accounts and reserve assets that were caused by the exchange rates, current account and capital transactions after the currency crisis in 1997. Since the currency crisis, the financial opening and the liberalization of capital transactions turned financial transactions itself into the autonomous ones. This has caused changes in the structure of foreign exchange supply and demand, and as a result, not only the volume of transactions in foreign exchange market but the volume of capital flows have been increased. Therefore, it can be said that the new policy tools need to be developed to minimize the artificial market interventions by the smoothing operation. Also, from analyzing the relationship between the current account and the financial accounts, this paper was able to identify their gradual co-movement. We observed that, when you have a current account surplus, a financial account also turns to surplus and when you have a current account deficit, a financial account also turns negative after a certain period of time. We were able to see that, after the 2000s, the financial accounts have greater direct impacts than current accounts. However, current account is still the main factor in determining exchange rates, while the effect of financial account surplus on determining exchange rates is increasing. From these observations, this paper suggests alternative measures that can continuously manage the current account and expand tools that ease the volatility in capital inflows for the foreign exchange market stabilization. Chapter 4 conducts the VAR shock reaction analysis and the variance decomposition analysis on the effects of exchange rates on inflation and current account. Results show that the changes in exchange rates increase import prices and consumer prices while the changes have relatively minor negative effects on the economic growth rates and the trade balance. Thus, it is necessary to consider the introduction of measures to prevent rapid fluctuations in exchange rates for the price stabilization, and foreign exchange hedging measures to prevent the financial market’s exchange risk. In addition, the results of the empirical analysis show that urgent attention on yen exchange rate is required as the effects of the yen exchange rate from Japan, a trade rival, are seem to be as significant as that of the dollar exchange rate. This report’s overall conclusion and policy implications based on the above materials are as follows; first, the government needs to establish the long-term plans for the institutional development. The long-term plans can be established with the agendas such as, making Korean won as the key currency through the internationalization of Korean won, and market development through diversification of participants in the foreign exchange market and enhancement of influence of the private sector. These agendas can be carried out through the institutional development; second, we need to seek for tools that can reduce volatility within the market, and measures that enable economic agents to cope with the volatilities and to hedge risks. This can be viewed in the same context of capability strengthening in private sector for coping with the foreign exchange market, and it is essential to improve this particular area in order to bring efficiency of the market functions; third, continuous political efforts are required to manage the current account. As it can be seen from the results of this study, it is true that the current account determines the direction of investment funds within the financial accounts. Thus, until the Korean won gains international compatibility through its internationalization, we need to prepare a foundation to stabilize the foreign exchange market while maintaining current account surplus. Although, we need to take caution as the excessive amount of surplus can rapidly turn into a deficit; fourth, as capital inflows from the financial markets, especially the portfolio funds which aim to gain the short-term profits, can cause a sudden stop, tools that can be activated in an emergency to secure the stability in foreign exchange market are required; lastly, efforts to reduce possible excessive fluctuations in prices resulting from the exchange rates changes are required. Rapid changes in exchange rates directly affect import prices and consumer prices, and consequently put overwhelming amount of pressure on consumers. Therefore, it is necessary to find various ways to alleviate such impacts. Although the government does intervene the foreign exchange market for fine tuning to avoid rapid exchange rates changes, it is advisable to set up a new system that can be used by the other economic agents. If there are various options that can be implemented to relieve the volatility in exchange rates and capital flows, there will be less necessity of market intervention, and more chance of implementing appropriate policy tools that are adequate to the time and the conditions.