통화주의모형 구조 충격은 장기환율을 얼마나 설명하는가? -달러/파운드 환율을 중심으로-

We test whether the monetarist model shocks determine the dollar/pound exchange rate in the long run. We use the Beveridge Nelson (1981) decomposition within a cointegrating VAR model to decompose the long-run trend of the exchange rate into shocks to the monetarist model variables (hereafter referred to as monetarist shocks) and shocks independent of them (hereafter referred to as independent shocks, including real or risk-averse motivated shocks). The empirical results show that the null hypothesis that there is no independent shock trend in the dollar/sterling exchange rate is rejected, and the impulse response analysis shows that the independent shock trend shocks induce a larger response in the dollar/sterling exchange rate than the monetarist shock trend shocks. In addition, the variance decomposition shows that the independent shock trend dominates the monetarist shock trend in the variance share of the exchange rate. Finally, an increase in the independent shock trend has a long-run downward impact on the USD/GBP exchange rate, and the independent shock trend is estimated to be closely related to market risks such as the VIX, which may reflect risk aversion motives. In light of these empirical findings, policy makers should consider that changes in monetary policy may have relatively limited effects on the exchange rate in the long run.