Exchange Rate Misalignment and Long Run Equilibrium Exchange Rate: Assessing Behavioral Equilibrium Exchange Rate (BEER) Model for Indonesia

알디 야르만,강삼모 동국대학교 사회과학연구원 2017 사회과학연구 Vol.24 No.1

This study is aimed to estimate the long run equilibrium exchange rate and the exchange rate misalignment of Indonesian Rupiah using the Behavioral Equilibrium Exchange Rate (BEER) model. BEER model is obtained from the Cointegration vector between the variable of the Real Effective Exchange Rate (REER) and economic fundamentals. Exchange rate misalignment is the deviation between actual real exchange rate and equilibrium real exchange rate. Based on the observations during January 2006 to June 2015 using monthly data, the results are obtained as follows; under the floating exchange rate system, exchange rate misalignment of Rupiah was relatively small and tends to approach the long run equilibrium exchange rate, i.e. with the average misalignment of 0.83%. The external shock as the effect of the global crisis in 2008 has made the exchange rate misalignment tend to increase and the real exchange rate tend to undervalued. The highest undervaluation of the exchange rate of Rupiah was equal to 3.52%, i.e. in February 2009 while the highest overvaluation of the exchange rate misalignment was equal to 1.62% in July 2010. During the study, we found that three economic variables, Terms of Trade (TOT), Ratio of Total Trade to GDP (Open), and Net Foreign Assets (NFA), respectively, have significant effects on the long run equilibrium exchange rate of Rupiah. However, variable relative price of non-tradable goods to tradable goods (TNT) do not statistically significant.

Exchange Rate Misalignment and Long Run Equilibrium Exchange Rate

Aldi Yarman,Sammo Kang 동국대학교 사회과학연구원 2017 사회과학연구 Vol.24 No.1

본 연구는 행태균형환율(Behavioral Equilibrium Exchange Rate, BEER) 모형을 활용하여 인도네시아 루피아의 환율 불균형과 장기균형환율을 측정한다.BEER 모형은 실질실효환율과 기초 경제 요건 변수에 대한 공적분 백터를 분석하여 산정된다.환율 불균형은 균형실질환율과 실질환율의 괴리로 정의 된다.2006년 1월 부터 2015년 6월까지의 데이터를 분석한 결과, 변동환율제를 사용했을 경우에 루피아 환율 불균형이 상대적으로 적었으며, 장기 균형환율을 따라 움직이는 성향이 강했고, 평균 괴리율은 0.83%이다.2008년 금융위기와 같은 외부 충격 이후로는 환율괴리율이 증가했으며 실질환율은 저평가 됐다. 루피아는 2009년 2월달에 3.52%로 최고로 저평가 됐었으며, 2010년 7월달에 1.62%로 환율 괴리율이 가장 과대평가된 시점으로 분석되었다.연구 결과로 무역조건(Terms of Trade), GDP 대비 총무역(Ratio of Total Trade to GDP), 총국외자산(Net Foreign Assets)이 루피아의 장기균형환율에 유의미한 영향을 주는 것으로 발견 됐다.단, 비교역재와 교역재의 상대가격은 통계적으로 유의미하지 않았다. This study is aimed to estimate the long run equilibrium exchange rate and the exchange rate misalignment of Indonesian Rupiah using the Behavioral Equilibrium Exchange Rate (BEER) model. BEER model is obtained from the Cointegration vector between the variable of the Real Effective Exchange Rate (REER) and economic fundamentals. Exchange rate misalignment is the deviation between actual real exchange rate and equilibrium real exchange rate. Based on the observations during January 2006 to June 2015 using monthly data, the results are obtained as follows; under the floating exchange rate system, exchange rate misalignment of Rupiah was relatively small and tends to approach the long run equilibrium exchange rate, i.e. with the average misalignment of 0.83%. The external shock as the effect of the global crisis in 2008 has made the exchange rate misalignment tend to increase and the real exchange rate tend to undervalued. The highest undervaluation of the exchange rate of Rupiah was equal to 3.52%, i.e. in February 2009 while the highest overvaluation of the exchange rate misalignment was equal to 1.62% in July 2010. During the study, we found that three economic variables, Terms of Trade (TOT), Ratio of Total Trade to GDP (Open), and Net Foreign Assets (NFA), respectively, have significant effects on the long run equilibrium exchange rate of Rupiah. However, variable relative price of non-tradable goods to tradable goods (TNT) do not statistically significant.

실질주가와 환율 간의 장기관계 분석: 통화론적 접근

조정구 ( Cheong Gu Cho ) 한국경제통상학회 2002 경제연구 Vol.11 No.2

In order to investigate the long-run relationship between real stock prices and exchange rates, this paper reformulates the monetary model by including real stock prices into the home and foreign money demand functions. We, applying Johansen`s multivariate cointegration techniques, tested the validity of our modified monetary model as a long-run equilibrium relationship for the Deutsch Mark, French Franc and Japanese Yen exchange rates against the U.S. dollar over the period January 1980 through December 1998. We found that the modified monetary model could not be rejected as a long-run equilibrium at the five percent significance level. And all the coefficients ate correctly signed in case that theoretical variables for the opportunity cost of holding money are proxied by short-term interest rates, while those on the long-run interest rates are incorrectly signed in case that the opportunity cost variables are proxied by long-run interest rates. Furthermore the empirical results indicate that real stock prices do play a significant role in the modified monetary model. Exclusion of real stock prices in the long-run relationship is rejected at the five percent significance level. All three exchange rates are positively related to the home real stock prices and negatively related to the foreign real stock prices, implying that the substitution effect of real stock prices is stronger than the wealth effect in the long-run.

장기제약 VAR모형에 의한 한국의 실질환율 변동요인과 균형실질환율

정명철 한국은행 2003 經濟分析 Vol.9 No.3

본고는 화폐적 충격은 장기적으로 실질환율에 영향을 미치지 못한다는 기본적 가정 하에서 장기제약 구조적 VAR 분석방법을 이용하여 실물부문에서의 대내외의 거시경제적 충격이 실질환율에 미치는 장기적 성격을 검토하고 이에 입각하여 균형실질환율을 구성한 후 실제의 실질환율이 균형실질환율로부터 이탈하는 불균형적 괴리와 경상수지의 움직임을 비교한다. 특히 본고에서는 실질환율이 대외적 경쟁력의 거시적 기본지표가 되고 있음을 고려하여 대외적 충격으로서 국가 경쟁력과 밀접한 관계에 있는 yen/dollar 환율변화의 실질환율에 대한 영향을 분석한다. 이에 따라 본고에서는 실물부문에서의 거시경제적 충격으로서 yen/dollar 환율충격, 공급충격 그리고 수요충격을 다루고 있는데 이들 충격요인들은 모두 실질환율의 항구적 변화를 일으킴으로써 실질환율의 균형적 변화를 구성하고 또한 실질환율변동의 대부분은 균형적 변화에 의한 것으로 나타난다. yen/dollar 환율충격과 수요충격은 실질환율의 항구적 상승(depreciation)으로 그리고 공급충격은 실질환율의 항구적 하락(appreciation)으로 귀결된다. 실제의 실질환율과 균형실질환율의 차이를 나타내는 불균형적 괴리는 실제실질환율의 균형실질환율로의 조정시차와 화폐적 충격에 의하여 발생하는데 특히 1995Q3-1997Q3의 기간에 실질환율의 불균형적 괴리가 음(-)의 값을 취함으로써 실질환율의 과대평가(overvaluation)를 보이고 동 기간의 경상수지의 적자와 양(+)의 상관관계를 이루는 것으로 나타난다. 이러한 실질환율의 과대평가는 균형실질환율의 급격한 상승(depreciation)을 초래하는 yen/dollar 환율충격에 대한 실질환율의 조정시차와 실질환율의 일시적 하락(real appreciation)을 일으키는 화폐적 충격에 의한 것으로 보인다. Assuming no long-run effects of the monetary shocks on the real exchange rate, this paper examines long-run effects of real domestic and foreign macroeconomic shocks on the real exchange rate based on the long-run restriction structural VAR methodology. In this paper, especially yen/dollar exchange rate shock is chosen as a foreign shock because of its assumed importance on external competitiveness of Korea during the covered period. The long-run effects of real shocks on the real exchange rate become a basis for calculating a kind of equilibrium real exchange rate and the deviations of the real exchange rate from the equilibrium real exchange rate are compared to the current account movements. In particular, the deviations of the real exchange rate in the period of 1995Q3-1997Q3 show overvaluation of the real exchange rate and are positively correlated to current account deficits. Such overvaluations of the real exchange rate appear due to sluggish adjustments of the real exchange rate to the sharply depreciated equilibrium real exchange rate by yen/dollar exchange rate shocks, and also to the monetary shocks that caused temporary appreciation of the real exchange rate.

장기균형환율의 결정요인

현준석(Jun Seog Hyun),김원중(Won Joong Kim) 한국무역연구원 2015 무역연구 Vol.11 No.4

Under the Balassa-Samuelson model, the long-run equilibrium exchange rate condition is derived by assuming that the wage in the tradable goods equals that in the non-tradable goods. This paper relaxes this assumption and empirically examines the importance of wage differential between tradable and non-tradable goods in the long-run exchange rate. The cointegration analyses show that, in both nominal won/dollar exchange rate and in nominal effective exchange rate of won, the long-run equilibrium patterns in exchange rates are not found with the classical Balassa-Samuelson model. However, with the wage differential in the model, we find a strong long-run equilibrium in exchange rate. Based on the results, it is suggested that wage differential which also accounts for the differences in the labor market between tradable and non-tradable goods, should be included to analyze the long-run movement in the nominal exchange rate.

환율의 거시 경제적 결정 요인 분석

김소영(Soyoung Kim)(金素英) 서울대학교 경제연구소 2012 經濟論集 Vol.51 No.1

본 연구는 대부분의 이론 모형의 함의에 부합되는 장기 무영향 제약을 부가한 구조 VAR 모형을 추정하여 한국의 환율 변동의 거시 경제적 결정 요인을 분석했다. 먼저 (실물) 수요 충격이 실질 환율, 명목 환율 변동의 가장 중요한 요인임을 발견하였다. 특히 외환 위기 이전 기간의 경우 수요 충격이 환율 변동의 거의 대부분을 설명하고 있음을 발견하였다. 외환 위기 이전 기간과 외환 위기 이후 기간의 결과를 비교해보면 외환 위기 이전 기간에 비해 외환 위기 이후 기간에는 수요 충격의 역할이 상대적으로 줄어든 반면 공급 충격, 명목 충격 등의 역할이 상대적으로 증가하였음을 알 수 있고, 결국 외환 위기 이후 기간에는 보다 다양한 구조 충격이 환율 변동을 설명하고 있음을 발견하였다. 이러한 변화는 외환 위기 이후보다 자유로운 환율제도를 시행하고 자본 제약 수준을 낮추는 등의 제도적 변화에 따라 나타난 현상이라고 보여진다. This paper analyzes macroeconomic determinants of exchange rate fluctuations by constructing the structural VAR model with long-run zero restrictions that are consistent with the implications of most theoretical models. We found that (real) demand shocks are the most important factor to explain nominal and real exchange rate fluctuations. In particular, during the period before Asian financial crisis, demand shocks explain most of the exchange rate fluctuations. The role of supply and nominal shocks increased during the period after Asian financial crisis. This implies that exchange rate fluctuations are explained by a more variety of structural shocks during the period after Asian financial crisis than during the period before Asian financial crisis. Changes in policy such as a transition to a more flexible exchange rate regime and a more liberalized current account after the Asian financial crisis may result such changes in the role of structural shocks in explaining exchange rate fluctuations.

원화 실질실효환율과 기초경제변수

이성구 ( Sungkoo Lee ) 명지대학교 금융지식연구소 2016 금융지식연구 Vol.14 No.2

본 논문에서는 1990년부터 최근까지의 분기별 자료를 이용하여 우리나라의 주요 교역국을 대상으로 원화의 종합적인 가치변동을 측정할 목적으로 활용되는 원화 실질실효환율이 어떤추이를 가지고 변동해 왔는지 알아보았다. 원화 실질실효환율이 그동안 균형수준을 유지해왔는지 평가할 목적으로 원화의 실질가치에 장기적으로 영향을 미치는 기초경제변수를 선정하였으며, 공적분 검정에 기초한 장기 균형관계 모형을 이용하여 교역조건, 개방도, 정부지출, 이자율 차이 등의 변수와 실질실효환율의 관계로부터 원화의 장기 균형환율을 추정하였다. 이 값을 실제 원화 실질실효환율의 추이와 비교하고, 또 이로부터 실제 환율이 장기 균형환율로부터 얼마나 차이를 보이는지 환율의 괴리율을 측정함으로써 현재 환율의 적정성 여부를 평가할 수 있는 기준을 제시하였다. This paper estimates Korea’s long-run equilibrium exchange rate using a set of macroeconomic fundamentals for the period 1990Q1 to 2016Q1. The cointegrating estimation results provide evidence in favor of the presence of long-run equilibrium relationship between the real effective exchange rate of Korean won and its economic fundamentals - terms of trade, openness, government spending, and interest rate differentials. With respect to the direction and extent of exchange rate misalignment, the Korean Won was undervalued after the Asian crisis and the global financial crisis, reaching a maximum of less than 20%. The degree of misalignment has been lessened since then, and the real effective exchange rate of Korean Won does not deviate much from its long-run equilibrium levels in recent years.

환율과 주가간의 연관관계: 한국 2000:1월~2010:4월

정용석 ( Yong Seok Jung ) 한국경제통상학회 2011 경제연구 Vol.29 No.1

The purpose of this paper is to examine the causal relationship between stock prices and won/(us)dollar exchange rate, using data from January 2000 to april 2010 in Korea. The results of the test suggest that (1) Unit tests show that exchange rate and KOSPI and 22 industry stock index except telecommunications are the unstable time series which need 1st defference to stabilize. (2) Cointegration tests indicate that won/(us)dollar exchange rate and KOSPI and 21 industry stock index have no long-run relationship between each other (3) Standard Granger causality test and Toda-Yamamoto causality test indicate that exchange rate and KOSPI have bi-directional causality both in the short run and long run, exchange rate and 21 industry stock index all have bi-directional causality or uni-directional causality except telecommunications. (4) The VAR analysis shows that relationship between the two variables, negative causal relationship is dominant. (5) GMM estimates show that 1% change of exchange rate immediately leads 3.868% change of KOSPI. On the other hand, 1% change of KOSPI directly bring about 0.223% change of exchange rate. These results show that since complete liberalization of capital transaction have fully expanded in Korea, the relationship between stock prices and exchange rates has been affected by foreign capital flows. And this finding corroborates the results of Kim(2003), Doong et al. (2005) conclusion which indicates the bi-causality between stock prices and exchange rate.

실질환율의 상관성과 장기 결정요인

김정한 ( Chung Han Kim ) 한국경제통상학회 2006 경제연구 Vol.24 No.1

What Are Sources of Real Exchange Rate Fluctuations?

이근영 한국경제연구학회 2016 Korea and the World Economy Vol.17 No.3

The paper investigates what sources of real exchange rate fluctuations are in a structural vector autoregression model for Korea vis-à-vis the United States. It first estimates three-variable VAR models with long-run zero restrictions and contemporary sign restrictions which are derived from the same theoretical model. The empirical results show that an important role of nominal shock in explaining real exchange rate fluctuations is not found in the both models. In addition, it estimates four-variable VAR models in which a nominal shock is separated by monetary policy and real exchange rate shocks. A monetary policy shock also does not have a strong influence on real exchange rate fluctuations. But a supply shock has a significant impact on them both in three- and four-variable VAR models.