한국의 통화대체 함수에 대한 통화론적 접근 = A Monetary Model of Currency Substitution in Korea

다국어 초록 (Multilingual Abstract)

Currency substitution refers to the resident's substitution between domestic and foreign currency. It was in the mid 1970s that the currency substitution theory was first developed. It was to explain the instability in the money demand function, which might cause the ineffectiveness of monetary policy.
The discussion of currency substitution has revised in the late 1990s. Their issue of currency substitution was analyzed in the context of Latin American countries. In their case, it was 100% currency substitution, put differently, dollarization. Dollarization was proposed to prevent a currency crisis in those countries.
In the case of Korea, however, currency substitution can be examined as the country is concerned about lessened effectiveness of monetary policy rather than about prevention of currency crisis.
In this study we tried to estimate Korea's currency substitution function. We derived a theoretical equation for a country's currency substitution by using the conditions of money market equilibrium.
We used the monthly data taking the sample period of March 1990 through September 2004. To get around the problems related to the shortage of data and short-term period, we used a partial adjustment model.
According to our estimation results, all exogenous variables including the lagged dependent variable well explained Korea's currency substitution phenomenon. We used the resident's foreign currency deposits and the country's foreign reserves as the foreign currency variable. We also used the import-GDP ratio as the country's openness variable. Interestingly, the openness variable explained currency substitution much better than the real GDP variable.
The policy implication of this study is obvious. As Korea is getting more open, currency substitution phenomenon will be more prevailing. Then the country's monetary policy will be less effective unless the government finds other instruments.

국문 초록 (Abstract)

통화대체는 거주자가 국내화폐와 외국화폐 중 한 개를 선택하는 것을 가리키는데 통화대체 이론이 처음 나온 것은 1970년대 중반이었다. 화폐수요함수의 불안정성을 체계적으로 설명하는 이론으로서 통화대체 이론은 그 당시 세계적 추세인 자본자유화에 편승하여 거주자가 국내화폐와 함께 외국화폐를 보유하게 된 사실을 잘 반영하는 이론이었다. 통화대체 현상이 주는 한 가지 큰 정책적 시사점은 화폐수요의 불안정 때문에 화폐공급정책의 효과가 크게 줄어든다는 것이었다.본 연구에서는 한국의 통화대체 함수를 추정하고자 하였다. 화폐시장 균형조건을 이용하여 통화대체에 관한 이론방정식을 도출하였다. 분석기간은 1990년 3월부터 2004년 9월까지의 월별자료를 사용하였다. 그리고 자료수의 부족과 짧은 분석기간으로 인해 발생하는 문제를 고려하기 위하여 부분조정모형 (partial adjustment model)을 이용하였다.분석결과에 의하면 시차 종속변수를 포함한 모든 외생변수들이 한국의 통화대체 현상을 잘 설명하는 것으로 나타났다. 그리고 통화대체의 대용변수로서 거주자외화예금과 외환보유고를 사용하였으며 또한 국가의 경제개방도를 나타내는 변수로서 對 GDP 수입비율을 이용하였다. 통화대체 변수로서는 실질GDP 변수보다 경제개방도가 통화대체를 더 잘 설명하고는 것으로 분석되었다.본 연구의 정책적 함의로서 지적할 수 있는 점은 한국경제가 보다 개방화됨에 따라 통화대체 현상은 보다 더 빈번하게 발생할 것이며 이때 통화정책 당국이 다른 정책수단을 쓰지 않으면 통화정책의 효력은 감소할 것이다.

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