외환위기이후 중화 외환시장개입의 구조적 변화 = The Structural Change of Sterilized Foreign Exchange Market Intervention after Currency Crisis in Korea

다국어 초록 (Multilingual Abstract)

This paper is to analyze whether or not the 1997`s currency crisis in Korea has made the structural change of our central bank`s foreign exchange market intervention. The sterilized foreign exchange market intervention model is set up by using reaction function of our central bank`s net domestic asset and is estimated by CORC estimation method and Chow test. The estimation result shows that our central bank has performed more strong sterilized foreign exchange market intervention after the 1997`s currency crisis. It seems to be that changes in a series policies by IMF requests, for example tight monetary policy, increase in foreign exchange holdings, openness of capital market, results in the scale of overall balance payment and the composition between current account and capital account, and the movement into flexible exchange rate system has increased the volatility of Won-Dollar exchange rate. Our central bank has intervened the foreign exchange market in order to reduce the sharp appreciation of the Korean Won and has sterilized it by selling monetary stabilization bonds for the purpose of mitigating inflation pressure at the same time. However, the excessive foreign exchange market intervention may result in the rigidity of monetary policy by the accumulation of monetary stabilization bonds and the increase in its interest payments, etc, and sacrifice strong points of the flexible exchange rate system. Therefore, it seems to be desirable that i) the foreign exchange market intervention has to be performed through open market operation by activating government bond market, ii) our central bank is to minimize the change of the foreign exchange reserve by controlling interest rate or money supply, and iii) the foreign exchange market intervention has to be restricted to the case of sharp movement of Won-Dollar exchange which departs from optimal exchange rate.