본 연구에서는 TVP-VARX 모형을 이용하여 원/달러환율 변화가 국내물가에 미치는 영향을 동태적으로 살펴보았다. 실증분석결과에 따르면 원/달러환율 변화에 대한 국내물가의 반응은 일정하지 않고 시간에 따라 변화하는 것으로 나타났다. 특히 소비자물가는 글로벌 금융위기 이후 원/달러환율의 상승 충격에 하락하거나 거의 반응하지 않다가 2015년 이후부터 최근까지 지속적으로 상승하고 있다. 본 연구는 원/달러환율의 전가 효과가 가져오는 부작용이 큰 경우 이에 대한 시의적절한 통화 및 외환정책이 필요함을 보여주고 있다.

This paper dynamically examines the impact of changes in the won/dollar exchange rate on domestic prices using monthly data from 1993 to the present and the TVP-VARX model. According to the empirical analysis results of this study based on the TVP-VARX model, the impact of the shock on the won/dollar exchange rate on domestic prices is not constant, but changes over time. In particular, consumer prices have fallen or hardly responded to the impact of the won/dollar exchange rate's rise after the global financial crisis, but have continued to rise since 2015. More specifically, consumer prices have fallen overall or rarely responded despite the rise in the won/dollar exchange rate because of indirect effects through import and producer prices as well as the direct impact of won/dollar exchange rate changes in a certain period after the global financial crisis. This can be attributed to the decrease in the exchange rate pass-through effect on consumer prices as average inflation and global logistics costs decreased due to the global economic recession. However, the overall impact of the won/dollar exchange rate on consumer prices has been continuously rising significantly in recent years. This phenomenon occurs because the direct impact of the won/dollar exchange rate on import prices and the direct impact of producer prices on consumer prices are relatively greater. An increase in the won/dollar exchange rate not only raises consumer prices, but if it rises along with international raw material prices, there is a high possibility that the trade balance will deteriorate rather than improve due to an unusual increase in the amount of imports. In addition, an increase in the won/dollar exchange rate may lead to capital outflows, which in turn may result in a vicious cycle in which the won/dollar exchange rate rises. Therefore, there is a need to properly restrain the rise in the won/dollar exchange rate, and this can be done through interest rate hikes or unsterilized foreign exchange market intervention. But the implementation of these policies depends on the size of the positive and negative effects. In addition, Korea is a country of net foreign assets and net foreign creditors. So if the won/dollar exchange rate rises sharply, unlike in the past, domestic pension funds will be able to realize foreign exchange gains and contribute to the stabilization of the won/dollar exchange rate by recovering their overseas investment assets. In summary, the estimation results of the TVP-VARX model show that the pass-through effect of the won/dollar exchange rate on consumer prices has recently been rising and the resulting side effects are significant. Therefore, this study suggests that policymakers need to carry out monetary and foreign exchange policies after comprehensively judging macroeconomic and financial market conditions (not only domestic prices, but also interest rates, current account, financial account, housing business cycle, household debt etc.) when the won/dollar exchange rate rises excessively.