한국 환변동보험의 동태적 결정요인에 대한 실증분석

Abstract

본 연구는 보험료율, 수출액, 환율 등을 고려한 기존의 환변동보험 결정 모형에 미국 금리를 도입하여 벡터오차수정모형을 통해 환변동보험수요함수의 동태적 결정요인을 고찰한다. 먼저 본 연구의 실증분석 결과는 수출환변동보험 인수액은 원/달러 환율의 충격에 대해 (-)의 반응을 보이며, 또한 미국 금리 예측치의 충격에 대해서는 (+)의 반응을 보이는 것으로 나타났다. 본 연구는 환변동보험은 과거의 원/달러 환율뿐만 아니라 미국 금리 기대를 통한 미래 원/달러 환율 전망에 대해서도 영향을 받음을 암시한다.

This paper studies dynamic determinants of the foreign exchange risk insurance, which has been increasingly popular to Korean exporting firms. In this paper, we use monthly time-series data for the US interest rate, Won/Dollar exchange rate, the size of Korean export, the premium rate of foreign exchange risk insurance, and the volume of foreign exchange risk insurance during the period from 2000 to 2013. We find that all those time-series variables are cointegrated and therefore estimate the vector error correction model. The estimation results show that the foreign exchange risk insurance exhibits significantly positive response to the US interest rate forecast while it negatively responds to the Won/Dollar exchange rate. On the other hand, we find no significant responses of the foreign exchange risk insurance to the export and the insurance premium. As confirmation, we also estimate a vector autoregressive model by using the first-differenced time series data and observe that the associated impulse responses are similar to the responses derived from the vector error correction model. According to those evidences, it is implied that policy makers and practitioners should take the exchange rate as well as the US interest rate into account when they predict and manage the demand for the foreign exchange risk insurance.