1999~2007 기간 중 우리나라에서 무위험금리평가(Covered Interest Parity)를 벗어나는 편차의 결정요인

The unit root tests for the forward premiums of US dollar relative to Korean won and the Korea/US interest differentials based on the daily time series data from April 1, 1999 to December 28, 2007 turn out that each of them follows a random walk without drift but the difference between them, i.e. deviations from CIP(covered interest parity) is I(0)(integrated of order zero). In other words, the forward premiums and the interest differentials are cointegrated, which implies that deviations from CIP are eventually eliminated by the market forces to take advantage of profitable risk free arbitrage opportunities. Since mid-2007, however, large deviations from CIP have persisted in Korea due to continuous exogenous shocks in the midst of increasing uncertainty associated with global credit crunch and the US subprime mortgage crisis. Inefficiencies of its foreign exchange market as well as frictions in financial transactions have limited profitable arbitrage opportunities (borrow dollars, lend wons). This paper focuses its empirical investigation on the external shocks to won/dollar exchange rate to explain the deviations from CIP in Korea during the period of 1999～2007. An important factor to determine the exchange rate is foreign investment in domestic stocks in Korea. Most of foreign portfolio investments are concentrated in domestic stocks. As a result, won/dollar exchange rate is highly correlated with foreign investment in domestic stocks rather than domestic-foreign interest differentials. Recently, the exchange rate has been under upward pressure due mainly to continual sales of domestic stocks by foreigners along with increasing uncertainty in international financial markets. Official foreign exchange intervention is another notable external shocks to the exchange rate in view of its signalling effect. The central bank of Korea has bought US dollars repeatedly in the foreign exchange market during the period of 1999～2007, thereby putting upward pressure on the exchange rate. This paper estimates the relationship between won/dollar exchange rate and foreign investment in domestic stocks, using KOSPI(Korea composite stock price index) and US S&P500 as instruments for foreign investment in domestic stocks. Foreign investment in domestic stocks is correlated positively with the percentage change in KOSPI but negatively with that in S&P500. At the same time, foreign investment in domestic stocks is a statistically significant factor to explain the exchange rate. This paper makes a regression analysis based on the monthly time series data from April, 1999 to December, 2007. It turns out that the explanatory variables of both foreign investment in domestic stocks and official foreign exchange intervention are statistically significant to explain the deviations from CIP in Korea during 1999-2007. The purchase (sale) of domestic stocks amounting to 2.1billion dollars(1 standard deviation) during a month by foreigners is expected to result in an increase (a decrease) of around 0.13% in the first difference for deviations from CIP. The purchase (sale) of reserve assets amounting to 1.8billion dollars(1 standard deviation) during a month by the central bank is expected to result in a decrease (an increase) of around 0.065% in the first difference for deviations from CIP.