통화론적 접근방법에 기초한 원화 환율결정모형 비교 분석

This paper analyses the short-run and long-run determinants of korean won exchange rate using the monetary approach. In the analysis on long-run relationship between won/RMB exchange rate and differences of major macroeconomic variables between Korea and China, Lucas model shows a higher explanatory power for the exchange rate movement than Bilson and Frankel models. In the case of won/dollar exchange rate, however, none of the three models generates regression results that are consistent with exchange rate theory. This is because the cointegration between variables is scarce in won/dollar exchange rate models. In the analysis on short-run relationship between won/RMB exchange rate and differences of major macroeconomic variables, Lucas model again has the strongest explanatory power among exchange rate models based on the monetary approach. The effects of major macroeconomic variables on short-run movements of won/RMB exchange rate have enlarged after the global financial crisis, presumably because the importance of China in the Korean economy continues to increase. On the other hand, in the case of won/dollar exchange rate models, as in the previous studies, the differences of major macroeconomic variables between countries does not affect the exchange rate. Since the influence of Korea on the US economy is limited, it can be inferred that the won/dollar exchange rate is much more affected by variables in the US than by differences of macroeconomic variables between the two countries.