국제금융시장 불안과 원화 환율의 변동성 (Global Financial Turmoil and the Korean won’s Volatility)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 30권 / 4호 / 35 ~ 61페이지
· 저자명 : 이병주, 김준일

초록

우리나라를 포함한 주요 신흥시장국을 대상으로 글로벌 금융위기 이후 국제금융시장 불안에따른 환율 변동성을 2001년 1월부터 2011년 12월 자료를 이용하여 분석한 결과, 2008년 리만사태와 2010년 그리스 위기 기간 중에는 원화의 변동성이 타국 통화에 비해 상대적으로 크게나타난 것으로 추정되었다. 동시에 원화는 평상시에 절상폭과 절하폭이 비대칭적인 특징을 가진것으로 나타났으며, 이러한 특징이 두드러진 통화일수록 국제금융시장 불안 시 변동성이 평상시에비해 크게 확대되는 것으로 나타났다. 이러한 분석결과는 원화를 포함한 신흥시장국 통화의경우 환율의 변동성이 해외충격에 매우 민감하게 반응하며, 그 반응의 크기는 평상시의 환율변화행태에 크게 좌우된다는 점을 시사하고 있다.

영어초록

This study analyzes how the exchange rate volatility of emerging market currencies reacts to global financial turmoil, with a particular focus on the Korean won. Data for 24 currencies during the period from January 2011 to December 2011 are used. The volatility of the Korean won is found to escalate relative to other currencies in response to events such as the Lehman bankruptcy in 2008 and the Greek crisis in 2010. A simple linear regression analysis that explains volatility during turmoil by means of volatility during tranquil periods reveals that the Korean won's volatility is in the top 2.5 percentile.
A panel study on the EME currencies finds that the volatility of those currencies during turmoil periods can be explained by country-specific characteristics such as foreign reserves, external debt, interest rate differential against the U.S. dollar and the proportion of portfolio investments out of total capital inflows. An application of the same panel model to the ratio of volatility between turmoil and tranquil periods suggests that the proportion of portfolio investments is related to the escalation of volatility during turmoil periods, but that of foreign reserves is not. A residual analysis on the panel model confirms what is found the simple regression analysis: the Korean won shows relatively high volatility during turmoil periods after controlling for the relevant elements.
In the next part of the paper, we delve into characteristics of the daily movements of the Korean won’s exchange rate. We find that the volatility of EME currencies is highly correlated with the level of VIX only during the turmoil initiated by the Lehman bankruptcy. After that, the correlation becomes weaker. The Korean won is also found to move asymmetrically during tranquil periods: its average movement on appreciating days is less than that on depreciating days. In other words, it goes up by the stairs and comes down by the elevator. Those currencies that share this characteristic with the won turn out to experience higher volatility during global financial turmoil. Possible causes of the asymmetry in exchange rate movements are carry trade and interventions by authorities. Furthermore, we find that the won’s exchange rate against the U.S. dollar and its nominal effective rate are more strongly correlated than other EME currencies with respect to both level and volatility. This finding may suggest that the high volatility of the won is caused by its specific, unique traits.
Based on the findings of the paper, we recommend that policymakers carefully watch the structure of domestic foreign exchange markets as well as external elements such as VIX. It is somewhat unlikely that the won’s asymmetric daily movements and the close relationship between its value vis-à-vis the U.S. dollar and its nominal effective exchange rate are outcomes of external influences, although external factors such as VIX may determine the timing of escalated volatility.

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