미국 통화정책이 국내 금융시장에 미치는 영향 및 자본유출입 안정화방안 (The US Monetary Policy Normalization: The Impact on Korean Financial Market and Capital Flows)
172 Pages Posted: 29 Jul 2019
Date Written: December 28, 2018
Korean Abstract: 본 연구는 글로벌 자본유출입 결정요인 및 미국 통화정책이 국내 금융시장에 미치는 영향을 분석하였다. 실증분석 결과 신흥국의 자본유출입은 주로 대외요인에 의해 영향을 받았으나, 국가별로 자본유출입 결정요인이 상당히 상이한 것으로 나타났다. 미 연준 통화정책 정상화가 국내 금융시장, 외환시장에 미치는 파급영향을 분석한 결과 미 정책금리, 기간프리미엄, 신용스프레드 등이 높아지면 국내 신용스프레드 확대 및 원/달러 환율 상승(원화 약세) 등을 초래하여다. 아울러 내국인 해외투자자금이 회수되면서 외국인 국내투자자금 이탈을 상쇄시키는 모습을 보였다. 그동안 내외금리 차 확대가 곧바로 자본유출로 이어진다는 우려가 컸다. 하지만 2014년 이후 '내국인 해외 증권투자자산 > 외국인 국내 증권투자' 구조 정착 및 내국인 해외투자자금의 환류 가능성 상승 등으로 '내외금리차 확대 → 자본유출 증가' 리스크가 과거보다 줄어들었다는 점을 시사한다.
English Abstract: During the global financial crisis, the US monetary authority (Fed) reduced the benchmark interest rate to 0% and provided massive liquidity through three quantitative easing measures. As a result, the US Fed balance sheet expanded five times ($ 4.5 trillion) from September 2008 ($ 0.9 trillion). Much of the increased global liquidity flowed into emerging economies. The influx of capital contributed to the growth of emerging economies, leading to new credit increases such as bank loans. Emerging markets, which supported 63% of global GDP, served as an engine of the global economy at a time when the growth in the US and Europe were subdued.
While capital inflows have a supporting role in contributing to economic growth, they have also been a potential prompting factors to systemic risk in emerging countries and Korea. Emerging economies actively responded to systemic risks from foreign capital inflows. With the introduction of macro-prudential policy measures, emerging economies have been striving to maintain an external balance by responding to the surge in domestic credit and restraining excessive capital inflows. In order for emerging countries to adopt measures to curb inflows of capital, persuasiveness and legitimacy are secured only if external influences are triggered by external factors.
Most previous studies have shown that push factors have had a greater impact on capital outflows in emerging economies than in pull factors. Raghuram Rajan, former central bank governor of India, has pointed out that the monetary policy impact of the US Fed and the developed country central bank is a major external factor (push factor). Meanwhile, in May 2018, the US Federal Reserve Chairman Jerome Powell addressed the controversy over capital movements to emerging economies after the global financial crisis. Powell said the inflows of capital into emerging economies is unlikely to have been caused by the Fed’s interest rate policy.
According to the study, the US Fed’s quantitative easing has had the effect of lowering the Fed base rate by a further 4%. This means that normalization of the quantitative easing policy will lead to a policy rate hike of 4 percentage points. This is the reason why the normalization of US monetary policy will have a negative impact on the global economy. At the same time, the squeezing on capital outflows in emerging economies is increasing.
Powell’s speech contains “implied” warnings that the US monetary policy is not a triggering force of a capital outflow in emerging economies. That’s why Powell’s speech is adding to the difficulty of policy responses in emerging countries. This suggests that it is necessary to check the determinants of global capital flows. In addition, the impact of US monetary policy on Korea's financial markets and capital outflows needs to be analyzed in depth.
Note: Downloadable document is in Korean.
Keywords: US Monetary Policy, Normalization, Korean Financial Market, Capital Flows
Suggested Citation: Suggested Citation