동아시아 국가의 환율정책과 외환파생시장의 이해 선물환시장을 중심으로 KAIST

동아시아 국가의 환율정책과 외환파생시장의 이해: 선물환시장을 중심으로 KAIST 세미나 2007년 2월 1일 김 경수 교수 SKKU Economics

I. Important statistics on foreign exchange transactions Global foreign exchange market turnover (Daily averages in April, billions of US dollars) 1989 1992 1995 1998 2001 2004 Spot transactions Outright forwards Foreign exchange swaps Estimated gap in reporting 317 27 190 56 394 58 324 44 494 97 546 53 568 128 734 60 387 131 656 26 621 208 944 107 Total traditional turnover 590 820 1190 1490 1200 1880 BIS, 2005 2

Currency distribution of reported foreign exchange market turnover (total 200%) 1992 US dollar Euro Japanese yen Pound sterling Swiss franc Australian dollar Canadian dollar HK dollar Korean won 1995 1998 2001 2004 82. 0 23. 4 13. 6 8. 4 2. 5 3. 3 1. 1 -- 83. 3 24. 1 9. 4 7. 3 2. 7 3. 4 0. 9 -- 87. 3 20. 2 11. 0 7. 1 3. 6 1. 3 0. 2 90. 3 37. 6 22. 7 13. 2 6. 1 4. 2 4. 5 2. 3 0. 8 88. 7 37. 2 20. 3 16. 9 61 5. 5 4. 2 1. 9 1. 2 3

Geographical distribution of reported foreign exchange market turnover Daily average in April, billions of US dollars 1992 Australia Belgium Canada HK Japan Korea Singapore Switzerland UK US Total 1995 1998 2001 2004 29 16 22 60 120 -74 66 291 167 1, 076 40 28 30 90 161 -105 87 464 244 1, 572 47 27 37 79 136 4 139 82 637 351 1, 958 52 10 42 67 147 10 101 71 504 254 1, 612 81 20 54 102 199 20 125 79 753 461 2, 406 BIS, 2005 4

Global OTC derivatives market turnover Daily average in April, billions of US dollars 1995 Foreign exchange turnover Outright forwards and foreign exchange swaps Currency swaps Options Others Interest swaps Total derivatives turnover 688 643 4 41 1 151 880 1998 959 862 10 87 0 265 1, 265 2001 853 786 7 60 0 489 1, 385 2004 1, 292 1, 152 21 117 2 1, 025 2, 410 BIS, 2005 5

Geographical distribution of reported OTC derivatives market activity Average daily turnover, billions of US dollars 1998 Australia Belgium Canada HK Japan Korea Singapore Switzerland UK US Total 2001 2004 29 20 27 49 89 1 85 57 468 235 1, 339 41 8 33 49 116 4 69 53 390 169 1, 186 60 14 41 70 154 10 91 62 613 281 1, 758 BIS, 2005 6

II. Hedging foreign exchange risk: the case of forward contract 미래 일정시점에 USD 1을 매도: 통화불일치와 만기불일치 위험이 발생 1. USD 1를 원화 2. t기에 원화 원을 주고 매입하는 선물환계약을 체결 원을 원화금리로 조달하여 현물환시장에서 St 원-달러의 환율로 USD t+1기에 USD 1를 수취하는데 을 매입한 후 의 달러화 금리로 예치, 원의 조달비용이 유도 7

3. 현물+외환스왑 (synthetic forward) 8

커버된 이자율 평가 Implication: 선물환계약은 원화에 대한 short, 외환에 대한 long position을 구성, 원화자금시장과 현물환시장에 즉각적인 파급효과를 가진다. 9

III. Foreign exchange derivatives market • Structure of FOREX market • 외환시장 참여자: 고객, 중개인, 은행, 중앙은행 • 고객: 헤저, 투기자, 실수요자, 재정거래자 • 은행: 1. 각종 외환거래상대방으로서 외환파생거래를 원활히 성립하게 하는 시장조 성기능을 수행 2. 시장조성기능은 고객 대신 떠안게 된 통화 및 만기불일치의 위험을 헤징 3. 선물환계약으로 달러화에 대한 매입포지션이 필요한 시장조성자는 1) 다른 시장조성자와 동일한 내용의 또 다른 선물환계약을 통해서 또는 2) 현물과 스왑의 동시적 거래를 통한 합성선물을 통해서 또는 3) 원화를 조달, 현물시 장에서 달러화를 매입한 후 달러화 인도시점까지 예치하는 방법으로 헤징 10

중앙은행 1. 외환 시장에 대한 개입을 통해 환율 정책을 수행 2. 외환파생의 존재는 외환파생상품과 동일한 기능을 수행하는 다양 한 수단이 있기 때문에 외환시장 개입의 형태도 다양 11

예: 미래의 일정 시점에 달러화를 공급하는 선물환 계약을 체결한 시장 조성자 의 헤징 활동은 원화 금리를 인상, 현물환 시장에서 원화의 절하를 초래하 고 다시 선물 환율의 절하를 동반 12

III. Fact findings Annual changes in official foreign exchange reserves (billions of US dollars) 2000 2001 2002 2003 2004 2005 Amounts outstanding (Dec. 2005) At current exchange rates Industrial countries US Euro area Japan Emerging Asia China HK India Korea Singapore Taiwan Net oil exporters Russia Total 59. 6 -0. 9 -9. 4 69. 5 52. 5 10. 9 11. 3 5. 3 22. 2 3. 4 0. 5 31. 9 15. 8 158. 8 3. 1 -2. 3 -10. 7 40. 5 76. 0 46. 6 3. 6 8. 0 6. 6 -4. 8 15. 5 16. 4 8. 3 110. 5 112. 3 4. 8 7. 9 63. 7 173. 9 74. 2 0. 7 21. 7 18. 3 6. 5 39. 4 18. 5 11. 5 356. 0 218. 5 5. 9 -27. 8 201. 3 263. 9 116. 8 6. 7 30. 6 33. 7 13. 6 45. 0 51. 2 29. 1 620. 0 195. 5 3. 0 -7. 3 171. 5 363. 4 206. 6 5. 0 27. 5 43. 7 16. 5 35. 1 68. 5 47. 6 720. 3 -22. 3 -4. 9 -13. 4 4. 5 249. 9 209. 9 0. 7 5. 9 11. 8 3. 8 11. 6 83. 3 55. 1 421. 7 1, 292. 2 37. 8 167. 3 828. 8 1, 821. 6 818. 9 124. 3 131. 0 210. 0 115. 3 253. 3 351. 8 175. 9 4, 170. 8 BIS, 2006 13

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Assumptions on FOREX market 1. zero transactions cost 2. speculators subject to borrowing constraint 3. many speculators and one market maker 15

Further assumptions Central bank’s loss function The central bank’s choice of interest rate should accompany a trade-off between defending exchange rate and preserving the stability of macro economy. Money market equilibrium condition: 16

The purchasing power parity: Unknown credit shock in period the central bank must accommodate: Market equilibrium condition: PPP: 17

Ø Due to the credit shock pegging exchange rate may not be sustainable in period t+1. Ø When exchange rate in period t+1 is anticipated to fall speculative attack on won emerges and, therefore, there’s a pressure on FOREX market in period t. ü Speculators sell dollars short through engaging forward contract with a market maker. ü Market maker who promises to purchase USD Qt takes square position and this hedging operation turns out to be a speculative attack on the central bank’s bank reserve, which in turn will raise the central bank’s foreign exchange reserves by Qt. 18

Ø For central bank with the loss function foreign exchange intervention is called for. Otherwise, the central bank would suffer capital loss on reserves. ü In response to the speculative pressure the central bank with large foreign reserves has a strong incentive to squeeze out the market maker by lowering interest rate because low interest policy should raise hedging cost of dollar long. ü However, low interest rate policy is costly since it has to sacrifice domestic economic condition. ü If the central bank stabilizes interest rate such that it =i* and lets the exchange rate float, then with probability one. In this case the loss may be too high for sufficiently low β. ü Therefore, the choice of interest rate involves trade-off between the stability of exchange rates and the stability of the macro economy. 19

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• Expected exchange rate in period t+1 is • The variable is the size of the monetary expansion in period t followed by the foreign exchange intervention • Equilibrium: 1. The central bank’s monetary policy and the market maker’s hedging activity induce a game theoretical situation with strategic interaction. 2. A sequential game is assumed such that after the market maker operates hedging activity the central bank implements monetary policy. 21

• Optimization Market maker’s optimization: Central bank optimization: 22

Important propositions • The equilibrium will be indeterminate unless Qt were determined. • When equilibrium exists, the central bank regardless of the level of β( ) sets the interest rate at the same level. • When speculative pressure emerges the covered parity condition fails. • Although the direct regulation on the size of attack may successfully reduce the size of the speculative attack, the central bank’s expected loss on every dollar purchase from the market maker rises. Consequently, the capital loss on reserves may be even greater. 23