순국제투자가 국내경제에 미치는 영향 = Effects of Net International Investment on Domestic Economy

다국어 초록 (Multilingual Abstract)

The paper examines the effect of net international investment on domestic macroeconomy using the International Investment Position (IIP) and macro financial data. The empirical analysis results of the various VAR models show that as net international investment(net foreign financial assets) increases, the real GDP declines and the won/dollar exchange rate rises regardless of the estimation model. The decline in real GDP comes through various paths such as asset price, liquidity, and expenditure. In the case of an increase in net international investment, that is, in case of net capital outflow, because of the deviation of domestic and foreign capital in the domestic stock market, not only the stock price and housing price fall, but also liquidity such as broad money (M2) and liquidity aggregate of financial institutions (Lf) decreases in spite of the supply of monetary base (MB) through policy rate cuts. This reduces real GDP through declining private consumption and fixed investment. Meanwhile, the rise in the won/dollar exchange rate due to the net capital outflow acts as a buffer against falling real GDP over time by improving goods and current accounts.
The impact of net international investment on interest rates and prices is unclear as well as the impact of call rates on net international investment. Therefore, in light of the results of the empirical analysis, there seems to be much controversy as to whether it is desirable for the monetary authority to raise the policy rate to prevent capital outflow. As we have already seen, the empirical analysis does not support the Mundell-Fleming model. What is clear, however, is the fact that the negative impact of this phenomenon on macro and financial variables in the event of a net capital outflow is certain, and the negative effect is more pronounced during crisis periods or during capital outflow periods than usual. Accordingly, in the case of Korea, which is a small open economy, it is necessary to devise additional policy measures such as swap agreements in addition to accumulation of foreign exchange reserves and policy rate hikes.
One good thing seems to be that the negative effects of net international investment, as demonstrated by the empirical analysis, have significantly decreased in the post-global financial crisis period compared to the previous period. Of course, I think it is more necessary to study whether this is due to a decline in potential growth or due to ancillary benefits such as increase in export of parts and transfer revenues coming from leaps to a net foreign bond country. It should also be noted that these results may be attributed to small sample size problems.
Finally, Korea’s overseas direct and portfolio investment has increased significantly compared to foreign direct and portfolio investment recently.
Evidence suggests that the resulting increase in net international investment is one of the main reasons why the won/dollar exchange rate is rising despite the ongoing current account surplus.

국문 초록 (Abstract)

본 연구에서는 국제투자대조표와 거시금융 자료를 이용하여 순국제투자의 증가가 국내거시경제에 어떤 영향을 미치는가를 다양한 VAR 모형을 통해 살펴보았다. 실증분석결과 순국제투자가 증가할 때 추정모형에 관계없이 실질GDP가 하락하고 원/달러환율이 상승한다. 실질GDP의 하락은 자산가격, 유동성, 소비 및 투자 등 다양한 경로를 통해 일어나며 원/달러환율의상승은 경상수지를 개선시킨다. 또한 실질GDP의 하락은 평상시보다는 위기시 또는 자본유입기간보다는 자본유출기간에 더 크게 나타난다. 하지만 순국제투자가 실질GDP에 미치는 부정적인효과는 글로벌 금융위기 이후 기간에는 그 이전 기간에 비해 크게 줄어든다. 한편 순국제투자가금리나 물가에 미치는 영향은 전반적으로 명확하지 않다.

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