동아시아 금융통합의 가능성 검증 = The Empirical Analysis of the Financial Integration in East Asia

국문 초록 (Abstract)

본 연구는 동아시아 경제의 국제금융시장과의 통합정도와 몇 가지 주요거시경제변수에 미치는 영향에 대하여 분석하고 정책적 함의를 유도하기 위해 다음 문제를 검토한다. 첫째, 금융위기 이후 동아시아는 국제금융시장과의 통합정도가 증가했는가? 둘째, 동아시아 국가는 국제금융시장과의 통합이 진전됨에 따라 이익을 얻었는가? 셋째, 자유로운 자본유출입을 고려하면 동아시아는 어떤 환율상장제도를 채택할 수 있겠는가? 넷째, 동아시아 각 채권국은 얼마나 많은 순대외자산을 보유하고 있는가? Lane and Milesi-Ferretti(2006)의 자료를 기초로 분석한 결과에 의하면 동아시아 경제는 아시아 금융위기 이후 국제금융시장과의 통합은 진전하고 있다. 이 금융통합의 진전이 동아시아 경제변수에 미치는 영향을 보기 위해 Feldstein and Horioka(1980)가 주장한 방법을 사용하여 저축과 투자의 상관관계를 검토한 결과 유로권 경제에 비해 동아시아 경제 쪽이 높고, S/Y에 비해 I/Y가 크게 적다. 국제금융시장과의 통합이 진전하고 있다는 검증결과를 바탕으로 소비의 위험공유가 동아시아에서 향상되었는가를 Asdrubali, Pierfederico, Sorensen, and Yosha(1996)와 Ravallion and Chaudhuri(1997) 모형을 이용하여 검증한 결과 동아시아에서 국제적인 자본시장과 신용시장을 통한 소비의 평준화 정도가 낮고, 금융자산을 상호 보유함으로써 동아시아 경제 고유의 충격을 평준화하는 정도도 유로권 경제보다 낮다. 이들 결과로부터 동아시아 경제에서 위험공유의 정도를 높임으로써 사회후생을 증가시킬 수 있지만, 현 시점에서 국제금융시장과의 통합정도가 상승한 것만으로는 통화통합은 소비의 평준화를 위한 해결책이 될 수 없다. 과도한 대외자산보유도 위험공유 효과를 줄어들게 함으로 동아시아 각 경제주체는 순대외자산 보유수준을 낮추어야 한다.

다국어 초록 (Multilingual Abstract)

The saving-investment correlation in East Asia is higher than those of the Euro area economies and the I/Y shows large drop compared with the S/Y. It is an obvious clue that Financial integration in East Asia is getting progress very fast on world financial markets. We estimates the degree of consumption risk sharing and analyzes the channels of consumption risk sharing among the East Asian countries using the method suggested by Asdrubali, Pierfederico, Sorensen, and Yosha(1996), Ravallion and Chaudhuri(1997). Estimation results show that the degrees of smoothing of idiosyncratic shock by cross-holding of financial assets are lower than the euro area economies. Capital markets play a minimal role, and credit markets provide a positive but limited role. These result suggest that there is some room for improvement in potential welfare gains in those economies by means of further risk sharing. On the basis of the international risk sharing model, this paper demonstrated that the high international reserve in East Asia was a second best international risk sharing mechanism in recent years, because the model of this paper proved that the international risk sharing mechanism was inherently inconsistent. Present net foreign assets scale in East Asia has exceeded reasonable scale.

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 선행연구
• Ⅲ. 금융통합의 가능성 검증모형(금융통합의 이론적 모형)
• Ⅳ. 실증분석
• Ⅴ. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

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