한국의 통화대체 함수에 대한 통화론적 접근

김인철 ( In Chul Kim ),안경애 ( Kyoung Ae An ) 국제지역학회 2005 국제지역연구 Vol.9 No.2

통화대체는 거주자가 국내화폐와 외국화폐 중 한 개를 선택하는 것을 가리키는데 통화대체 이론이 처음 나온 것은 1970년대 중반이었다. 화폐수요함수의 불안정성을 체계적으로 설명하는 이론으로서 통화대체 이론은 그 당시 세계적 추세인 자본자유화에 편승하여 거주자가 국내화폐와 함께 외국화폐를 보유하게 된 사실을 잘 반영하는 이론이었다. 통화대체 현상이 주는 한 가지 큰 정책적 시사점은 화폐수요의 불안정 때문에 화폐공급정책의 효과가 크게 줄어든다는 것이었다. 본 연구에서는 한국의 통화대체 함수를 추정하고자 하였다. 화폐시장 균형조건을 이용하여 통화대체에 관한 이론방정식을 도출하였다. 분석기간은 1990년 3월부터 2004년 9월까지의 월별자료를 사용하였다. 그리고 자료수의 부족과 짧은 분석기간으로 인해 발생하는 문제를 고려하기 위하여 부분조정모형 (partial adjustment model)을 이용하였다. 분석결과에 의하면 시차 종속변수를 포함한 모든 외생변수들이 한국의 통화대체 현상을 잘 설명하는 것으로 나타났다. 그리고 통화대체의 대용변수로서 거주자외화예금과 외환보유고를 사용하였으며 또한 국가의 경제개방도를 나타내는 변수로서 對 GDP 수입비율을 이용하였다. 통화대체 변수로서는 실질GDP 변수보다 경제개방도가 통화대체를 더 잘 설명하고는 것으로 분석되었다. 본 연구의 정책적 함의로서 지적할 수 있는 점은 한국경제가 보다 개방화됨에 따라 통화대체 현상은 보다 더 빈번하게 발생할 것이며 이때 통화정책 당국이 다른 정책수단을 쓰지 않으면 통화정책의 효력은 감소할 것이다. Currency substitution refers to the resident`s substitution between domestic and foreign currency. It was in the mid 1970s that the currency substitution theory was first developed. It was to explain the instability in the money demand function, which might cause the ineffectiveness of monetary policy. The discussion of currency substitution has revised in the late 1990s. Their issue of currency substitution was analyzed in the context of Latin American countries. In their case, it was 100% currency substitution, put differently, dollarization. Dollarization was proposed to prevent a currency crisis in those countries. In the case of Korea, however, currency substitution can be examined as the country is concerned about lessened effectiveness of monetary policy rather than about prevention of currency crisis. In this study we tried to estimate Korea`s currency substitution function. We derived a theoretical equation for a country`s currency substitution by using the conditions of money market equilibrium. We used the monthly data taking the sample period of March 1990 through September 2004. To get around the problems related to the shortage of data and short-term period, we used a partial adjustment model. According to our estimation results, all exogenous variables including the lagged dependent variable well explained Korea`s currency substitution phenomenon. We used the resident`s foreign currency deposits and the country`s foreign reserves as the foreign currency variable. We also used the import-GDP ratio as the country`s openness variable. Interestingly, the openness variable explained currency substitution much better than the real GDP variable. The policy implication of this study is obvious. As Korea is getting more open, currency substitution phenomenon will be more prevailing. Then the country`s monetary policy will be less effective unless the government finds other instruments.

Currency Substitution and Central Bank Independence in the Central and Eastern European Economies

( Sylvain Bouyon ) 세종대학교 경제통합연구소 2009 Journal of Economic Integration Vol.24 No.4

This paper examines the extent to which the confrontation between the authorities implementing the monetary policy and the private agents asking for foreign currencies can influence the global process of currency substitution. The choice of an appropriate monetary policy depends on an original timeinconsistency problem where a partly-independent and conservative central bank is faced with a type of monetary targeting. The motives of the private agents in asking for foreign currencies are precautionary and/or speculative. We obtain the optimal growth of the aggregate in foreign currencies, which negatively depends on transparency, central bank credibility and inflation instability of the economy linked with the currency, and positively on inflation instability of the domestic economy. Then, we propose different measures of these determinants and we econometrically test this optimum in the economies of Central and Eastern Europe. The results are consistent with empirical literature on the macroeconomic determinants of dollarization. However, in this paper, the complexity of currency substitution is better illustrated and an empirical approach in relation to the institutional determinants of currency substitution is provided.

Dollarization in North Korea: Evidence from a Survey of North Korean Refugees

( Sung Min Mun ),( Seung Ho Jung ) 대외경제정책연구원 2017 East Asian Economic Review Vol.21 No.1

This study measures the degree of dollarization in North Korea using results from a survey of 231 North Korean refugees. Specifically, we compare foreign currency use of households as both store-of-value substitutes (i.e., asset substitution) and transaction substitutes (i.e., currency substitution) before and after the confiscatory currency reform of 2009. The degree of dollarization has advanced since the currency reform in terms of both asset and currency substitutions. Survey results also indicate that the Chinese yuan is frequently used in the Sino-North Korean border area, whereas the US dollar is predominantly used in non-border areas. Furthermore, foreign currency increasingly serves as a medium of exchange not only for large transactions but also for smaller transactions, such as food purchases.

Dollarization in North Korea: Evidence from a Survey of North Korean Refugees

문성민,정승호 대외경제정책연구원 2017 East Asian Economic Review Vol.21 No.1

This study measures the degree of dollarization in North Korea using results from a survey of 231 North Korean refugees. Specifically, we compare foreign currency use of households as both store-of-value substitutes (i.e., asset substitution) and transaction substitutes (i.e., currency substitution) before and after the confiscatory currency reform of 2009. The degree of dollarization has advanced since the currency reform in terms of both asset and currency substitutions. Survey results also indicate that the Chinese yuan is frequently used in the Sino-North Korean border area, whereas the US dollar is predominantly used in non-border areas. Furthermore, foreign currency increasingly serves as a medium of exchange not only for large transactions but also for smaller transactions, such as food purchases.

Currency Substitution and Financial Repression

Rangan Gupta 한국국제경제학회 2011 International Economic Journal Vol.25 No.1

In this paper, we use a general equilibrium overlapping generations monetary endogenous growth model of a small open economy, to analyze whether financial repression, measured via the 'high' mandatory reserve-deposit requirements of financial intermediaries, is an optimal response of a consolidated government following an increase in the degree of currency substitution. We find that higher currency substitution can yield higher reserve requirements, but the result depends crucially on how the consumer weighs money in the utility function relative to domestic and foreign consumptions, and also the size of the government.

Currency Substitution: The Use of Hong Kong Dollars in Southern China

( Kui Yin Cheung ),( Chengze Simon Fan ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2002 Journal of Economic Integration Vol.17 No.3

This paper studies the circulation of Hong Kong dollars in the Chinese Mainland. It first estimates the amount of Hong Kong dollars circulating in southern China in the last fifteen years. The regression analysis indicates that the growth rate of Hong Kongs foreign direct investment in China and the growth rate of trade volume between Hong Kong and China are some of the main determinants that contribute to the widespread use of Hong Kong dollars in southern China. The difference of real returns between Hong Kong dollar denominated assets and Chinese Renminbi denominated assets, however, has no effect on the amount of Hong Kong dollars circulating in China.

Monetary Integration, Money-Demand Stability, and the Role of Monetary Overhang in Forecasting Inflation in CEE Countries

Claudiu Tiberiu ALBULESCU,Dominique Pepin 세종대학교 경제통합연구소 2018 Journal of Economic Integration Vol.33 No.4

This paper tests the stability of the money-demand function in selected Central and Eastern European countries and investigates the extent to which money helps predict inflation. We first show that long-run money demand is better described with an open-economy model, which considers a currency-substitution effect, rather than the closed-economy model used in several previous studies. From the estimated models, we derive two measures of monetary overhang. Then we compare the ability of open-economy model and closed-economy model based measures of monetary overhang to predict inflation in the CEE countries (i.e., the Czech Republic, Hungary, and Poland). Whereas we cannot detect a significant difference in forecast accuracy between the two competing models, we show that the open-economy model based forecast model that reveals a stable long-run money demand encompasses the closed-economy model based version.

Currency Substitution of RMB

Yan Jiajia,Zhu Mengnan 인하대학교 정석물류통상연구원 2009 인하대학교 정석물류통상연구원 학술대회 Vol.2009 No.10

Becasue of changes in economic institution, evironment and market advencement, currency substitution has profoundly influenced Chinese economy. Hence, it is sensible to analyze its present situation, major caused and relevant measures to maintain positive development of Chinese economy.

Currency Substitution of RMB

Yan Jiajia 인하대학교 산업경제연구소 2009 경상논집 Vol.23 No.1

Because of changes in economic institution, environment and market advancement, currency substitution has profoundly influenced Chinese economy. Hence, it is sensible to analyze its present situation, major causes and relevant measures to maintain positive development of Chinese economy.

The Analysis of Currency Substitution in Thailand

Lee, Sung Ryang(이성량),Choo, Han Gwang(주한광) 동국대학교 사회과학연구원 2016 사회과학연구 Vol.23 No.2

이 논문은 태국이 변동환율제도를 도입한 1997년 1분기부터 2013년 4분기까지 분기별 통계자료를 이용하여 태국의 화폐대체 변수를 실질소득과 이자율과 함께 화폐수요함수에 포함하여 화폐수요의 장기적인 관계를 측정하였다. 화폐대체 변수는 3개월 선물환과 현물환의 차이를 예상환율절하 변수로 활용하였으며 예상환율절하 변수는 화폐수요함수에서 설명 변수로 유의하였다. 그러므로 이는 태국의 화폐수요에서 화폐대체 현상이 있다는 것을 보여주며 태국에 외부로부터 경제 충격이 올 경우 태국 중앙은행이 적극적인 통화정책으로 경제상황에 대처 할 수 있는데는 한계가 있음을 보여준다. This paper examines the existence of currency substitution in domestic money demand for Thailand after Thailand adopted the flexible exchange rate system in 1997. By examining money demand in Thailand using a quarterly three-month forward exchange rate premium/discount as a proxy for expected change in exchange rate, the paper finds that currency substitution exists in the money demand function in Thailand.