대외포지션이 외환 및 주식시장 변동성에 미치는 영향 분석

After the global financial crisis and slowing current account trade, the ultra-low interest rates and quantitative easing of major economies caused each country’s foreign positions to continue to increase. Such expansion of foreign position may have had a significant impact on the transmission of foreign shocks and market volatility, but rigorous studies on such matter has yet to be done. This paper embarks on such concerns, and we empirically analyze the effect of foreign position changes on exchange rates and stock market volatilities using the panel smooth transition model. The analysis result shows that the impact of foreign assets on the volatility of exchange rate and stock market depends on the asset categories. Accumulation of foreign reserves and resident FDI assets over certain level significantly mitigate exchange rate and stock market volatility. But the resident’s portfolio and other investment assets do not significantly decrease volatility. Foreign liabilities, on the other hand, increase exchange rate and stock market volatilities especially with non-resident portfolio investment assets. This study may have helpful implications on implementing foreign exchange and financial policy as foreign positions are the outcome of not only a country's economic structure and changing international financial markets but foreign exchange and financial policy.