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영어

The purpose of this paper is to examine the spillover effect of global big banks’ FX fixing manipulation to the Korean currency by using the London 4pm fix. Various foreign banks’ B/A accounts were analyzed with actual variables such as off-balance positions and earned surplus reserves by taking into account USD/EUR FX rates (London) as well as KRW/USD FX rates (Seoul) from the Reuters system. The result demonstrated the Korean currency appreciated as a result of USD/EUR manipulation at the 1% significance level. Such result explains that the WM/R Fix manipulation influencies the Korean foreign-exchange market. The decrease in KRW/USD rates, the evidence of the spillover effect, increased off-balance positions of foreign banks which are statistically significant. In turn, the off-balance accounts consisting of FX derivatives with leverage effects raised the earned surplus reserves at the 1% significance level. The earned surplus reserve is an item reported on the capital side of the B/S. Based on the fact that an increase in off-balance FX derivatives raises the level of earned surplus reserves, it can be inferred that dividends of foreign banks may have been generated from the off-balance transaction profits. The earned surplus reserve is a statutory reserve regulated by the Korean Commercial Law (Article 458) and the Banking Law (Article 40). If foreign banks’ earned surplus reserves rise due to an in crease in derivatives transactions upon the appreciation of the Korean currency, it is clear that foreign banks’ dividends are not irrelevant to a drop in the KRW/USD rate being traded as a cross currency in the foreign-exchange market. Therefore, the London 4pm fix acts as a factor in increasing the value of Korean Won which leads to creation foreign banks’ dividends. In terms of global currency manipulation, the supervisory authorities in the US and UK disclosed a series of reports regarding FX dealers’ closing price manipulation in global giant banks. These reports revealed closing prices in the economic context: Closing prices are indicators to make value assessments on currency derivatives inclusive of future, forwards, swaps, and options. Currencies are usually traded in OTC markets. In the global foreign exchange markets where transactions take place 24 hours, not only the country in which the currency was maneuvered but also countries that adopt the manpulated currency as the benchmark rate are likely to be affected by such manipulation. According to Yoo and Choi (2009), interconnection between financial markets is increasing in the wake of several financial crisis and the spillover effect of fluctuation in overseas markets to the local financial market will continue to last longer and change the way of affecting the local market. The USD/EUR exchange rate in the London markets is reflected into the KRW/USD rate as it acts a medium for dealers when connecting the financial markets. The implies that the global currency manipulation is not just simply affecting the country where the currency has been manipulated but also a number of currencies based on the US dollar around the world.

한국어

본고는 미국을 포함하여 전 세계 외환시장에서 시장참여자들이 기준 환율로 활용하는 런던 WM/R 오후 4시 종가환율(Fixing)을 사용해 글로벌 환율조작의 영향이 우리나라에도 전이되었는지 여부를 실증분석하였다. 분석에는 외국계 은행이 보유하는 통화관련 난외파생항목 및 이익준비금 등을 원 달러 환율과 상호 연계하여 검증을 시도하였다. 분석결과 원화는 통계적으로 유의하게 종가 조작된 USD/EUR의 영향을 받아 가치가 상승한다는 사실을 확인할 수 있었다. 이 결과는 런던 종가조작의 영향이 우리 외환시장에도 전이되었음을 의미한다. 이렇게 전이효과가 확인된 원 달러 환율은 통계적으로 유의하게 외국계 은행이 보유하는 난외파생항목의 규모를 증가시킨다. 레버리지 효과가 있는 파생상품들로 구성된 난외파생항목은 역시 통계적으로 유의하게 양의 영향을 주어 이익준비금을 증가시키는 효과가 있음을 입증하였다. 이익준비금은 재무상태표의 자본항목에 보고되는 계정과목이다. 이익준비금의 증가가 난외파생거래의 증가에 기인한다는 사실은 외국계 은행의 배당금이 난외파생거래에서 창출된 수익금에서 유래되었을 가능성을 시사한다. 이익준비금은 상법 제458조과 은행법 제40조가 정하는 법정준비금이다. 외국계 은행의 이익준비금이 원화의 가치상승에 기인하여 규모가 증가되는 파생거래의 영향으로 늘어난다면, 외국계 은행의 배당은 외환시장에서 교차환율로 거래되는 원 달러 환율의 하락과 무관하지 않으며, 따라서 런던종가조작은 원화의 가치를 높이는 요인으로 작용하여 배당으로 연결되었음을 나타내는 결과이다.