경제펀더멘탈 변화에 따른 외환시장 개입 효과의 굴절 여부 국제 비교: 정보 비대칭성과 루카스 비판을 중심으로

국문 초록 (Abstract)

외환시장 개입 효과를 설명하는 이론 중 신호 효과(signallingeffect)에 따르면 외환시장 개입이
중앙은행이 알고 있으나 시장에는 알려지지 않은 내부정보를 신호하는 수단으로 이용되어 환율
에 영향을 미칠 수 있다고 본다. 본 연구는 이러한 신호효과가 경제상황의 악화에 따라 굴절되
어 개입의도와 반대로 나타날 가능성을 분석하고자 한다.시장 펀더멘탈이 악화하고 있는 시점
의 시장개입은 중앙은행이 환율 상승을 예상하고 있다는 의도하지 않은 신호를 시장에 주어 외
환수요 증가와 환율 상승을 초래할 수 있으며 이는 정책개입이 시장의 기대를 변화시켜 개입효
과를 변화시킬 수 있다는 루카스 비판(1976)의 한 사례로 볼 수 있다. 이는 정책 당국이 특히
경상수지 악화 시점에 시장에 개입하는 경우 외환보유액을 소진하면서 오히려 정책 목표를 달
성하지 못할 가능성을 시사한다. 본고는 이와 같은 이론적 배경 하에 한국과 일본 자료를 이용하여 외환시
장 개입이 환율 변동에 미치는 효과가 경제 펀더멘탈의 양호도에 따라 다르게 나타나는 지를
실증 분석하였다.

다국어 초록 (Multilingual Abstract)

It is well known that the primary purpose of the central bank's foreign exchange market intervention is the stabilization of the economy and the prevention of foreign exchange crises through the reduction of the volatility of foreign exchange rates. In this regard, the usual paths through which foreign exchange market intervention influences foreign exchange rates may be decomposed into the following two paths: a direct path through changes in foreign exchange supply and an indirect one through conventional portfolio and signaling effects.
Clearly, if the foreign exchange condition is sound, then the central bank’s selling of foreign exchange can directly imply increases in foreign exchange supply, which can lead to decreases in the foreign exchange rate. This paper focuses on the signaling effect, which suggests that foreign exchange market intervention is used as an instrument by central banks to signal their monetary policy direction or the long-term equilibrium foreign exchange rate to the market.
In particular, for a small open economy whose currency is not a key currency, foreign exchange market intervention may signal the central bank's view of the foreign exchange condition. This is because governments in emerging economies are less likely than those in advanced economies to release information on foreign exchange conditions, including data on foreign debt and foreign exchange market intervention, and thus, the private sector is more likely to have difficulty analyzing the foreign exchange condition for emerging economies than for advanced ones because of the lack of information.
As a result, in the case of emerging economies, the information asymmetry between the central bank and foreign exchange market participants may induce standard inefficiencies in the economy (Akerlof, 1970), whereas in the case of advanced economies, information is shared among agents as public goods. This information asymmetry may be more severe during a crisis in which there are rapid changes in foreign exchange rates and a deterioration of information and policy transparency.
Further, this type of information asymmetry may result in outcomes that are inconsistent with the original intention of foreign exchange market intervention, which is explained by the classic Lucas critique (1976) of the policy effect.
More specifically, according to the theory of uncovered interest parity, the foreign exchange depreciation trend reduces the expected return for foreign investors in terms of foreign currencies and thus induces capital outflows. During this process, the selling of foreign exchange by the central bank to prevent increases in the foreign exchange rate may provide the market with a signal that the "central bank evaluates the foreign exchange status is deteriorating," resulting in further increases in the foreign exchange rate and accelerating foreign capital outflows. This implies that the Lucas critique holds theoretically. That is, market participants’ expectations can be changed by the government’s intervention activity, that is, providing information and original policy intentions are no longer effective. this paper analyzes whether the foreign exchange rate effect of foreign exchange market intervention varies according to the soundness of economic fundamentals and information asymmetry by using quarterly data from the IMF’s International Financial Statistics for Korea and Japan. The results indicate that the selling of foreign exchange by the central bank is likely to increase the foreign exchange rate for Korea when the current account is deteriorating, whereas no such effect is likely for Japan. This implies that Japan, an advanced economy, shows less information asymmetry than Korea.