코로나19 팬데믹 전후 한국의 수입·소비자물가에 대한 환율 전가: SVAR 기반 실증분석 = Exchange Rate Pass-Through to Korea’s Import and Consumer Prices Before and After the COVID-19 Pandemic: An SVAR-Based Empirical Analysis

다국어 초록 (Multilingual Abstract)

This study empirically analyzes, using monthly data for Korea, how the effects of several macroeconomic variables—international oil prices, real activity, money, and the exchange rate—on prices (import and consumer prices) and the degree of exchange rate pass‑through changed before and after the COVID‑19 pandemic. To this end, we estimate a six‑variable structural VAR and, under Cholesky identification, compute orthogonal impulse response functions (OIRFs) and forecast‑error variance decompositions (FEVDs); structural break dates are estimated using the Bai–Perron test. The results show that exchange rate pass‑through to import prices declined markedly in the post‑pandemic period: prior to the pandemic it measured 0.585 at the 6‑month horizon and 0.589 at the 12‑month horizon, whereas afterward it fell to 0.118 and 0.012, respectively. The Bai–Perron test further identifies January 2015 and September 2020 as significant structural change dates in the import‑price equation. By contrast, pass‑through to consumer prices remained very small overall, and no structural change was detected. These findings suggest that, after the pandemic, the relative influence of the exchange rate channel on import‑stage price formation weakened while the relative contribution of monetary/liquidity conditions likely increased, and that pass‑through to final consumer prices remains limited. The study provides quantitative evidence on Korea’s price dynamics before and after COVID‑19 and implies that exchange rate stabilization alone may be insufficient for managing import prices; policy should also consider monetary and expectations management and intermediate‑stage factors such as distribution and other non‑tradable costs.