환율변동에 대한 물가 및 무역수지의 반응: 외환 및 글로벌 금융위기 이후 어떻게 달라졌는가?

In order to understand how the dynamic responses of inflation and trade balance to exchange rate appreciation in Korea have changed since the GFC, this paper divides the analysis period into the GFC and the global financial crisis and analyzes the possible structural changes during these periods. Our methodology differs from previous studies in the following two ways. First, we divide the analysis period into three periods, starting with the FX crisis and the GFC, and analyze the possible structural changes during these periods. This is because we believe that the exchange rate system changed from a managed floating exchange rate system to a free floating exchange rate system during the GFC, and the industrial structure of the economy changed significantly. Second, rather than conducting a correlation analysis with the exchange rate and inflation as direct model variables, we first construct a cointegrated VAR model of these variables, and then, following Campbell and Shiller (1987) and Kim (2018), we use a transformed error correction model consisting of the cointegrated errors of the exchange rate, inflation, and trade balance and macro-fundamental variables in the analysis. This approach overcomes the limitation that in error correction models commonly used in similar analyses, the imbalance error is treated only as a lagged variable that explains fluctuations in the exchange rate, inflation, and the trade balance, making it difficult to analyze which factors determine the imbalance error itself. It also allows for dynamic analysis by removing fundamentally driven factors from exchange rates and prices. In addition, in the case of a VAR model that directly uses exchange rates and prices, the extreme distribution of the hypothesis test of the estimated coefficients is not normally distributed because these variables are usually I(1) non-stationary variables, whereas in the case of a transformed error correction model, the extreme distribution of the estimated coefficients is normally distributed due to the super-uniformity of the estimated coefficients of the co-integration, and therefore, the hypothesis test of the estimated coefficients can be used in a standard way. To this end, we constructed a cointegrated VAR model consisting of the KRW/dollar, inflation, and trade balance variables and their fundamental variables, and then used the cointegrated error correction model consisting of the cointegration error and macro fundamental variables for dynamic analysis. The results of the empirical analysis show that exchange rate changes have a significant impact on trade balance changes in the period before the GFC, and exchange rate changes have a significant impact on inflation changes in the period after the GFC but not in the period after the GFC. This result is largely due to the increase in the share of foreign-imported inputs and intermediate goods after the crisis, and it is believed that industrial trade strategies should be revised in response to the prospect that the effect of exchange rate fluctuations on improving the trade balance will be reduced. In other words, it is necessary to recognize that using the exchange rate as a policy tool to improve the trade balance or stabilize prices has its limitations due to changes in industrial structure. In this regard, the U.S. Treasury Department designated Korea as a country subject to exchange rate observation in November 2024 based on its trade surplus and current account surplus with the U.S. In response to this, negotiators may need to make the U.S. understand that the effect of exchange rate fluctuations on the trade balance has disappeared. In addition, if exporters increase the proportion of locally settled currencies other than the dollar, it is expected that the balance of trade can be stabilized by reducing exchange risk due to fluctuations in the dollar exchange rate through the diversification effect.