본고는 한국에서 자본자유화가 시행된 1993년 이래 2008년까지의 기간을 대상으로 원/달러 환율결정에 있어 자산시장접근방식의 통화모형(monetary model) 설정에 대하여 분석해 본 것이다. 본고의 통화모형은 Friedman(1988)의 이론을 기반으로 하여, 명목통화량, 실질소득, 명목금리, 실질주가로 환율모형을 구성하여, 이를 자기회귀시차분포(ARDL: Autoregressive Distributed Lag)방식으로 장기균형관계를 검정하였다. 분석결과는 다음과 같다. 첫째, 공적분검정 결과 한국과 미국의 통화량, 실질국민소득, 실질주가, 명목이자율변수는 서로 간에 장기적으로 분명한 연관관계를 이루고 있었다. 또 이들 경제변수들은 원/달러환율에 대해 단기 동태적으로 유의한 영향을 미쳤다. 장기에는 미국의 통화량과 주가외의 모든 변수들이 원/달러 환율결정에 대해 유의한 영향을 미쳤다. 둘째, 추정된 모수들은 cusum과 cusumsq검정에 의해 안정성이 확인되었다. 따라서 표본기간 중 주식시장을 포함하는 자산시장 접근방식의 원/달러환율결정의 통화모형설정은 타당하며, 장기 안정적 균형성을 가진 통화모형의 존재가 확인된다.

The objective of this study is to analyze the monetary model in won-dollar exchange rate determination for the period from 1993 to 2008 when capital liberalization was being enforced in Korea. The monetary model in this study was based on Friedman's(1988) theory of money demand function. The analysis was conducted through cointegration test based on ARDL (Autoregressive Distributed Lag) test and error correction model. It incorporated stock index into the traditional money demand function. The results are as follows. First, as a result of cointegration test, all the variables in the monetary model were found to have apparently stable equilibrium relations among them in the long term. Variables in the model had an clearly significant effect on Korean exchange rate in the short run, while every variable except U.S. money supply and stock price had an clearly significant effect on the exchange rate in the long run. Second, stability of estimated model was verified through cusum and cusumsq test. Thus, estimated unrestricted model had a significance in terms of not only economics but also statistics. Third, all the hypothesis in exclusion tests were not rejected, except the hypothesis of purchasing power parity(PPP). Thus, it is appropriate to apply equity market approach method which includes stock market to Korean exchange rate determination. And also, it is clear that there exists monetary model which has long-term stable equilibrium.

The objective of this study is to analyze the monetary model in won-dollar exchange rate determination for the period from 1993 to 2008 when capital liberalization was being enforced in Korea. The monetary model in this study was based on Friedman's(1988) theory of money demand function. The analysis was conducted through cointegration test based on ARDL (Autoregressive Distributed Lag) test and error correction model. It incorporated stock index into the traditional money demand function. The results are as follows. First, as a result of cointegration test, all the variables in the monetary model were found to have apparently stable equilibrium relations among them in the long term. Variables in the model had an clearly significant effect on Korean exchange rate in the short run, while every variable except U.S. money supply and stock price had an clearly significant effect on the exchange rate in the long run. Second, stability of estimated model was verified through cusum and cusumsq test. Thus, estimated unrestricted model had a significance in terms of not only economics but also statistics. Third, all the hypothesis in exclusion tests were not rejected, except the hypothesis of purchasing power parity(PPP). Thus, it is appropriate to apply equity market approach method which includes stock market to Korean exchange rate determination. And also, it is clear that there exists monetary model which has long-term stable equilibrium.

won-dollar exchange rate, monetary model, real stock price, ARDL model