경제정책 불확실성 지수가 환율결정에 주는 영향분석

다국어 초록 (Multilingual Abstract)

The free-floating exchange rate system was applied in South Korea after the 1997 Asian financial crisis. Since then, a lot of studies on exchange rate determination were conducted based on the monetary approach. However, after the 2008 global financial crisis, the economic policies of major countries had a greater impact on financial markets, but fewer studies were published on how the exogenous changes in economic policies affect the foreign exchange market of small open economies. Based on the related literature, we selected explanatory variables such as money supply, income, interest rate, terms of trade, and capital account, and then constructed a Won/Dollar exchange rate determination model by adding Economic Policy Uncertainty(EPU) indexes Baker, Bloom, and Davis(2016) devised as supplementary variables. The empirical analysis period is from October 2000 to December 2020, and regression analysis was performed using both a linear multiple regression model a non-linear VECM model. Monetary model-related variables, such as money supply and interest rate were proved to be more significant factors before the financial crisis. On the other hand, the influence of the EPU indexes was greater after the financial crisis and in particular, the Korea EPU index and Japan EPU index had a significant impact.

목차 (Table of Contents)

• Abstract
• Ⅰ. 서론
• Ⅱ. 선행연구
• Ⅲ. 분석자료 및 모형
• Ⅳ. 실증분석
• Ⅴ. 결론 및 시사점
• 참고문헌

참고문헌 (Reference)

1 정진현, "환율의 주식시장에 대한 비대칭성 분석모형의 예측력 비교" 한국무역통상학회 20 (20): 23-41, 2020

2 박용정, "환율변동의 결정요인 분석과 시사점" 현대경제연구원 774 : 1-17, 2017

3 정진현, "환율, 외국인 주식거래와 주가간의 상호연관성" 한국무역통상학회 19 (19): 59-77, 2019

4 박송춘, "환율 결정요인에 관한 재검토" 조선대학교, 지식경영연구원 1 (1): 243-260, 2008

5 한규숙, "통화론적 접근방법에 근거한 외환위기 전후 원/달러 환율결정에 대한 비교분석" 한국통계학회 23 (23): 81-93, 2010

6 이기영, "중국경제정책 불확실성의 장기국채 수익률에 대한 영향 분석" 한중사회과학학회 18 (18): 197-215, 2020

7 Kyoung Sun Park, "정책불확실성과 미국 국채 수요: 투자자 유형별 분석" 한국국제경영학회 27 (27): 87-110, 2016

8 조성빈, "정책불확실성과 기업투자" 금융지식연구소 15 (15): 3-28, 2017

9 김진용, "원화환율의 장단기 변동요인 분석" 57 (57): 24-55, 2003

10 이현재, "원화의 대미 환율결정에 관한 실증분석 : 공적분검정법에 의한 접근" 3 : 129-151, 1997

11 신관호, "원화 환율의 변동성 추이에 관한 연구" 한국계량경제학회 15 (15): 93-128, 2004

12 임영완, "우리나라 환율변동요인에 관한 연구" 13 : 411-438, 2001

13 김윤영, "외환위기 전후 원달러 환율의 변동요인 비교분석" (311) : 2007

14 장병기, "외환 및 자본자유하에 따른 환율결정요소의 변화" 26 (26): 271-292, 2001

15 김명현, "엔/달러 환율의 변동요인 분석 및 향후 여건 점검" 2013 (2013): 2013

16 오문석, "시계열 모형에 의한 환율 단기예측력 비교" 한국금융학회 4 (4): 27-48, 1999

17 김희경, "금융위기와 원-달러 환율 변동성의 주요 요인" 한국국제통상학회 18 (18): 99-122, 2013

18 신동준, "금융위기 전후의 경상수지 결정요인 분석" 한국무역통상학회 20 (20): 63-86, 2020

19 윤재형, "금리, 환율, 주식수익률의 상호의존성 분석- 다변량 VAR-EGARCH 모델을 중심으로" 한국산업경제학회 25 (25): 2485-2503, 2012

20 김남현, "국내 경제정책 불확실성이 거시 및 금융 변수에 미치는 영향" 한국경제연구학회 36 (36): 77-112, 2018

21 전지홍, "국가 경제정책 불확실성이 국제 원자재 가격에 미치는 영향: 한국·미국·일본을 중심으로" 한국무역연구원 13 (13): 243-262, 2017

22 김창범, "공적분과 오차수정모형을 이용한 환율의 추정과 예측" 13 : 479-489, 2001

23 서지용, "경제정책의 불확실성과 은행의 수익성 변동간의 연관성 연구" 한국자료분석학회 21 (21): 1989-1998, 2019

24 이기영, "경제불확실성과 경제정책 불확실성이 중국 CDP Premium에 미치는 영향 분석" 한중사회과학학회 18 (18): 119-142, 2020

25 이덕호, "WTO 환경 하에서 국내 환율결정요인에 대한 실증 분석" 한국통상정보학회 8 (8): 165-181, 2006

26 Netsunajev, A., "Uncertainty and Employment Dynamics in the Euro Area and the US" 51 : 48-62, 2017

27 Bachmann, R., "Uncertainty and Economic Activity : Evidence from Business Survey Data" 5 (5): 217-249, 2013

28 Basu, S., "Uncertainty Shocks in a Model of Effective Demand" 85 (85): 937-958, 2017

29 Caggiano, G., "Uncertainty Shock and Unemployment Dynamics in U. S. Recessions" 67 : 78-92, 2014

30 Alexopoulos, M., "Uncertain Times, Uncertain Measures" University of Toronto 2009

31 MacDonald, R., "The monetary approach to the exchange rate : Rational expectations, long-run equilibrium and forecasting" 40 : 89-107, 1993

32 Balcilar, M., "The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea : Evidence from a Nonparametric Causality-in-Quantiles Approach" University of Pretoria 2015

33 Frankel, J., "The Plaza Accord, 30 Years Later" National Bureau of Economic Research 2015

34 Bilson, J. F. O., "The Current Experience with Floating Exchange rate" 68 (68): 392-397, 1978

35 Li, X., "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India : Evidence from a Bootstrap Rolling-Window Approach" 52 (52): 674-689, 2016

36 Johansen, S., "Statistical analysis of cointegration vectors" 12 : 231-254, 1988

37 Granger, C. W. J., "Spurious regressions in econometrics" 2 : 111-120, 1974

38 Frankel, J., "On the mark : A theory of floating exchange rates based on real interest differentials" 69 : 610-622, 1979

39 Kido, Y., "On the Link between the U. S. Economic Policy Uncertainty and Exchange Rates" 144 : 49-52, 2016

40 Baker, S., "Measuring Economic Policy Uncertainty" 131 (131): 1593-1636, 2016

41 Lucas, R., "Interest rates and currency prices in a two-country world" 10 : 335-359, 1982

42 Bloom, N., "Fluctuations in Uncertainty" 28 (28): 153-175, 2014

43 Dornbusch, R., "Expectations and exchange rate dynamics" 84 : 1161-1176, 1976

44 Meese, R., "Empirical exchange rate models of the 1970’s : Do they fit out of sample?" 14 : 3-24, 1983

45 Christou, C., "Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries : Evidence Based on a Bayesian Panel VAR Model" 40 : 92-102, 2017

46 Krol, R., "Economic Policy Uncertainty and Exchange Rate Volatility" 17 (17): 241-256, 2014

47 Momin, Masih, "Do US Policy Uncertainty, Leveraging Costs and Global Risk Aversion Impact Emerging Market Equities? An Application of Bounds Testing Approach to the BRICS" MPRA 2015

48 김윤영, "Comparison of the disequilibrium error dynamics for the Won‧Dollar foreign exchange rate before and after financial crisis" 한국계량경제학회 19 (19): 37-60, 2008

49 Engle, R. F., "Co-integration and error correction:Representation, estimation, and testing" 55 : 251-276, 1987

50 Ajmi, A. N., "Causality between US Economic Policy and Equity Market Uncertainties : Evidence from Linear and Nonlinear Tests" 18 (18): 225-246, 2015

51 Mensi, W., "Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings : Evidence from Dynamic Panel Threshold models" 24 (24): 1-19, 2016