미국 긴축 통화충격이 국내 금융 및 자산시장에 미치는 영향에 관한 실증 분석

This study analyzed empirically the effects of a contractionary monetary shock in the United States on the Korean policy rate, exchange rates, capital flows, and asset markets. Since Korea is a small open economy, this study used a block-exogenous structural vector auto-regression (SVAR) model. Korea's policy rate rose in reaction to the contractionary monetary shock of the United States, the main country of international finance. In the short term, the exchange rate weakens along with net outflows of capital and, in the domestic financial market, total loans from banks d ecrease and the v alue o f the asset market generally decreases. However, in the mid- to long-term, as domestic interest rates rise, net inflow of capital from overseas borrowing and bond markets increased while stock prices rise as industrial production increases. The implications for financial stability in this study are as follows. In the process of overcoming the 2009 global financial crisis and COVID-19, excess liquidity was supplied worldwide, which may have caused bubbles in asset markets. In this situation, the US contractionary monetary policy could trigger capital outflows from Korea in the short-term, which might cause instability for the macroeconomy as the asset market bubble bursts. Accordingly, as suggested by Rey (2015), the authorities may consider implementing various macro-financial policies.