글로벌 금융위기 이후 거시경제 불균형의 한(韓),미(美) 간 전이 효과 분석: 물가,환율을 중심으로 = Presidential Address : Transmission of Macro-economic Disequilibriums Between Korea and the United States After Global Financial Crisis: Focusing on Price and Exchange Rate

국문 초록 (Abstract)

본고는 미국의 양적완화 통화 정책이 단기적으로 미국경제에 불균형을 초래하면서 물가, 환율 등 국내 경제에 장·단기적으로 어떤 영향을 미치는 지를 통화주의적 접근을 통해 분석해보았다. 실증분석 모형으로는 우리나라와 미국의 거시 펀더멘탈 변수들로 구성된 공적분 장기균형과 이에서 정의된 오차항으로 구성된 변환 오차수정 모형을 분석에 사용하였다. 분석결과 글로벌 금융위기 이후 우리나라와 미국 모두 물가의 불균형 오차가 켜졌음을 알 수 있으며 이는 금융위기 극복을 위한 급격한 양적 완화 정책으로 인한 통화 증가에도 불구하고 물가가 아직 장기균형 수준으로 상승하지는 않았음을 나타낸다. 이와 함께 한·미간 불균형오차의 상관계수와 연계성이 글로벌 위기 이후 크게 높아졌으며 이에 따라 확대된 미국의 물가 불균형이 한국 물가 불균형으로 전이될 가능성이 있는 것으로 보인다. 한편 충격반응함수분석 결과 물가 충격반응 구조가 글로벌 위기 이후 기간이 외환위기 이전 기간과 유사한 점이 다수 나타났다. 이는 경제 주체들이 통화량 팽창에 물가 예측 반응 조정으로 신속히 대응하는 구조가 글로벌 위기 이후 외환위기 이전과 유사해 지고 있을 가능성이 있는 것으로 추정되며 합리적기대이론이 시사하는 정책무력성 명제와의 관련성이 주목된다.

다국어 초록 (Multilingual Abstract)

The paper analyzes how quantitative easing of the United States generates the disequilibrium of her economy in the short run, which will also affect to Korean economy, especially to the price and Won/Dollar exchange rate. For this, the prices and exchange rate may be decomposed into the long run co-integration equilibrium defined from the monetaristic approach and cointegration disequilibrium error. Using this decomposition and a VAR(vector-autoregressive) representation of error correction model, the dynamic relations of non-fundamental factors between fundamentals and price and exchange rate disequilibrium may be analyzed. The motivation of analysis is give as follows. The equilibrium holds whenever the excess demand disappears because the price equates the demand and supply of economy(or disequilibrium error becomes as zero). If the law of demand and supply holds, then any non-zero disequilibrium error disappears as time passes and thus it converges to zero. However, if the demand curve has a positive slope because of speculative demand, then the disequilibrium error does not converge to zero as time passes. Note some equilibria points may show instability and thus the price may diverges. For instance, if the demand curve is moved due to the monetary policy, then, at the former equilibrium, now excess demand may be induced and thus the price diverges from the equilibrium. We estimated long run equilibria using OLS method. In case of Korea, the size of coefficient and t-value of money were large, but the the size of coefficient for industrial production was small. However, in case of the US, both the size of coefficient and t-value were quite large. Finally, the estimation result for Won/Dollar equation show the role of money becomes large after global financial crisis unlikely it of the interest rate. Johansen cointegration test results show that there are at least three cointegration relations with 10%-significance level for every periods. That does not contradict with our structure of three long run equilibria in the model. The residual based showed the similar results except for the price equation of the US after global crisis probably due to rapid monetary easiness policy. The ratio of disequilibrium errors to price become large for Korea and the US after global financial crisis and this implies that the prices have not increased up to the equilibrium levels after the rapid monetary easiness. Further the correlation coefficient of disequilibrium errors for Korea and the US becomes large after global financial crisis. Scatter diagram for Korean and the US disequilibrium errors also shows the similar result. Impulse response analyses of VAR model with Korean and the US disequilibrium errors were conducted. After global crisis, Korean disequilibrium error is significantly responding to the impulse of the US disequilibrium error at its initial stage. However any significant reverse impulse response does not appear. The estimation results for price disequilibrium equation shows that the roles of money after Asian crisis and the interest rate after Asian crisis and global financial crisis. Further the estimation results for Won/Dollar exchange rate disequilibrium equation shows that the roles of industrial production after Asian crisis and the interest rate after global financial crisis. Estimations of co-integration regression when the oil price is added are conducted. In there we find that the importance for the price of oil price was disappeared after global financial crisis in the US. However, in Korea, the importance for the price of oil price was increased during the same period. In short, we find the disequilibrium errors of prices for Korea and the U.S. have been increased after the global financial crisis, which imply that the money expansion to overcome the crisis has not increased the price up to the long run equilibrium level. Further the disequilibrium correlation between Korea and the U.S., has been increased after the global financial crisis and thus we suspect that the increased price disequilibrium of the U.S. may be transmitted to Korean economy. According to the impulse response analysis, we find that the pattern for the price sector during the global financial crisis was similar to it during the Asian financial crisis.