金融硏究(금융연구) : 통화정책에 대한 외환보유액의 영향 분석: 우리나라를 대상으로 = The Impacts of Foreign Reserves on Monetary Policy: The Case of Korea

국문 초록 (Abstract)

통화정책에 대한 글로벌요인의 영향력이 커지면서 통화정책목표의 범위도 물가안정에서 금융안정까지 포괄하는 방향으로 확대되고 있다. 본 논문에서는 대외요인변수인 외환보유액이 통화정책에 미치는 영향 경로를 분석하고 통화정책의 유효성을 제고하기 위한 바람직한 외환보유액 관리방안을 제시하였다. 분석 결과, 외환보유액은 성장 및 물가와 정(+)의 관계에 있으며, 대외완충역할을 제공함으로써 환율변동성 및 자본조달비용을 줄이는 효과가 있는 반면 단기외채비중을 늘려 자본조달의 건전성을 저해할 수 있는 것으로 분석되었다. 따라서 외환보유에 따른 물가 및 환율절상압력과 보유비용은 금융안정을 위한 정책비용으로 인식하되, 과다 비용부담을 줄이기 위해 ALM 측면에서의 외화자산·부채관리시스템을 강화하고, 외채구조의 건전화 등을 통해 외환보유액 관련 도덕해이유인을 줄이는 한편 외환부문에서의 거시건전성 정책과 더불어 위기시나리오별 외화자산운용원칙을 마련하는 등 시장신뢰를 높임으로써 통화정책 관련 대외변수의 영향력을 줄이려는 노력이 필요하다.

다국어 초록 (Multilingual Abstract)

With global financial and economic integration, the role of global risk factors in central banks` monetary policy has been growing while the scope of the monetary policy target has also expanded to include financial stability. Considering these trends, this paper analyzes the channels through which foreign reserve-related variables can affect monetary policy and makes recommendations for how to improve foreign reserve management for more effective monetary policy. We analyze five channels through which the foreign reserves impact monetary policy-through macroeconomic variables including growth and inflation, through external shocks such as foreign exchange volatility and sovereign funding costs, through the costs of holding the foreign reserves, through moral hazard incentives for financial institutions such as to increase their short-term foreign borrowings, and through the stronger influence of external variables on the domestic monetary policy decision. The findings of analysis for the case of Korea are as follows : First, that foreign reserves have a positive impact on growth and inflation mainly through improving the nation`s current account status, although the impact on inflation weakens gradually over the longer term as monetary sterilization comes to have an effect. Second, that increases in foreign reserves are found to be one factor reducing exchange rate volatility and sovereign funding costs by providing a buffer against external shocks. Furthermore, that the cost savings increase further in the longer run due to improvement in the sovereign credit reputation. Third, that foreign reserves can hamper soundness of the external funding structure and increase the risk of currency mismatch within the public sector. The rate of growth and proportion of short-term debt to total debt tends to increase as the amount of available foreign reserves grows. Fourth, that macroeconomic variables reflecting external factors such as the exchange rate and foreign reserves have considerable influence on monetary policy. The results of analysis show the growth rate, the exchange rate (or foreign reserves), the money supply and inflation to have higher explanatory powers on monetary policy, in that order. Based upon our findings, we make recommendations on how to improve foreign reserve management for more effective monetary policy. First, that inflationary and currency appreciation pressures should be dealt with in a direction that minimizes the risks of financial destabilization from the whole macroeconomic policy perspective, while macroeconomic neutralization measures including currency swap arrangements with domestic institutions should be explored. Second, that the costs of holding foreign reserves should be recognized as policy costs of economic and foreign exchange stability, while reduction in excessive opportunity costs should be pursued by strengthening the system of foreign asset and liability management from the national ALM point of view. Third, that to diminish the moral hazard incentives due to increases in the foreign reserves, it is desirable to take a comprehensive approach, such as trying to improve sovereign debt structure soundness, rather than focusing on individual issuerelated microeconomic responses. Fourth, that diverse measures to ease the degree of procyclicality of foreign reserve management, such as by extending the investment horizon of credit exposure, should be introduced. It is also important to devote efforts to weakening the influence of external variables on monetary policy, by boosting market confidence in the financial safety net through enhancement of foreign reserve management transparency, for example by ex-ante disclosure of the principles of reserve management in different crisis scenarios, along with the employment of macroprudential policies in response to cross-border capital flow volatility.