경상수지와 무역수지의 환율, 금리, 인플레이션 및 산업생산사이의 상호관계에 관한 연구

This paper studied the inter-relationship among current and trade account, foreign exchange, short-term and mid-term interest rate, inflation rate and production index in Korea. The whole sample period is covered from January, 2000 to September, 2024. We estimated vector auto regressive model and Granger causality test with a monthly date. According to the empirical results the total production index, consumer and producer production index, Won/Dollar exchange rate have a impact on current and trade account with a significant level. However there is no influence from call and three years’ KTB rate to current and trade account balance. We also find that there is a statistically significant information transmission from current and trade account balance, Won/Dollar exchange rate and producer price index to call rate. We also find that there is no impact onto three years’ KTB rate from current and trade account balance, Won/Dollar exchange rate, inflation rates and total industry production index with a significant level. On the other hand, the three years’ KTB rate has an impact on the Won/Dollar exchange rate and except the current and trade account balance, CPI and PPI, Won/Dollar exchange rate, call and three years KTB rate have a predictive power on the total industry production index. Further more Won/Dollar exchange rate and the total industry production index granger cause CPI. On the other hand, the total industry production index only has an influence on PPI with a statistically significant but not other variables. From these empirical results, we infer that the current and trade account balance are affected by the total industry production index, the two inflation variables, and foreign exchange rate and at the same time give an impact on call and the three years’ KTB rate with a significantly.