본 연구는 VAR 모형을 이용하여 은행의 단기외채와 외국인 주식투자가 원-달러 환율 변동성에 미치는 영향을 실증 분석하였다. 본 연구에서 VAR 모형으로 추정한 결과에서는 전체 표본기간 동안 외국인 주식순매수가 원-달러 환율에 미치는 영향이 통계적으로 유의했으며 단기외채는 유의하지 않았다. 그러나 외환위기가 발생했던 기간에서는 단기외채 변수의 유의성이 (-)로 높게 나와 단기외채 유출입이 환율 변동에 영향을 미치는 것으로 나타났고 글로벌 금융위기 이후에는외국인 주식순매수의 유의성이 (-)로 높게 나와 외국인 주식투자자금의 유출입이환율변동에 영향을 미친다는 것을 보였다. 또한 분산분해의 추정결과에서도 외환위기가 발생했던 기간 동안에는 환율상승률의 예측오차분산이 외국인 주식순매수와 단기외채의 예측오차분산에 의하여 각각 약 6%, 53% 가 설명되어지는 반면에글로벌 금융위기 이후에는 각각 약 42%, 16% 가 설명되어졌다. 이상과 같은 실증분석 결과는 외환위기 당시에는 환율변동이 은행의 단기외채유출입에 크게 영향을 받았지만 글로벌 금융위기 이후에는 외국인 주식투자자금의 유출입이 환율변동의 더 중요한 요인이 되었다는 것을 보여주었다. 최근 국내주식시장에서는 외국인 투자자들의 투자 행태가 점점 단기 자본이득을 추구하고있어 경제 상황에 따라 외국인 주식투자자금의 유출입이 커다란 변동성을 보이고있다. 이에 따라 현행 은행차입 중심의 외환건전성 규제를 주식투자자금으로도확대시켜 자본유출입 및 환율을 안정화시키는 것이 바람직할 것이다.

This study empirically examines the effects of economic variables such as Korean banks' short-term foreign borrowings and foreign portfolio equity investments in the Korean stock market on the won-dollar exchange rate. The results of this study, using the VAR(2) model indicate that the foreign portfolio equity investments are statistically significant on the exchange rate movements while short-term foreign borrowings are not. Further, foreign portfolio equity investments are found to be the most significant factor after the global financial crisis, whereas short-term foreign borrowings are found to be the most important factor during the Asian financial crisis. It is found that except for the Asian financial crisis, the effect of foreign portfolio equity investments on exchange rate is more prominent than the short-term foreign borrowings. Furthermore, the duration of foreigners' investment in the Korean stock market tends to be shorter in order to realize short-term capital gains, which incurs more frequent capital flights from the market. It is essential for policy makers to consider extending the prudential regulations on foreign portfolio equity investments in the Korean stock market.

This study empirically examines the effects of economic variables such as Korean banks' short-term foreign borrowings and foreign portfolio equity investments in the Korean stock market on the won-dollar exchange rate. The results of this study, using the VAR(2) model indicate that the foreign portfolio equity investments are statistically significant on the exchange rate movements while short-term foreign borrowings are not. Further, foreign portfolio equity investments are found to be the most significant factor after the global financial crisis, whereas short-term foreign borrowings are found to be the most important factor during the Asian financial crisis. It is found that except for the Asian financial crisis, the effect of foreign portfolio equity investments on exchange rate is more prominent than the short-term foreign borrowings. Furthermore, the duration of foreigners' investment in the Korean stock market tends to be shorter in order to realize short-term capital gains, which incurs more frequent capital flights from the market. It is essential for policy makers to consider extending the prudential regulations on foreign portfolio equity investments in the Korean stock market.

VAR model, won-dollar exchange rate, banks' short-term foreign borrowings, foreign portfolio equity investments