동아시아 국가의 환율정책과 외환파생시장의 이해 :

선물환시장을 중심으로

KAIST 세미나 2007 년 2 월 1 일

김 경수 교수 SKKU Economics

2

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 transactionsOutright forwardsForeign exchange swapsEstimated gap in reporting

Total traditional turnover

31727

19056

590

3945832444

820

49497

54653

1190

56812873460

1490

38713165626

1200

621208944107

1880

BIS, 2005

3

Currency distribution of reported foreign exchange market turnover (total 200%)

1992 1995 1998 2001 2004

US dollarEuroJapanese yenPound sterlingSwiss francAustralian dollarCanadian dollarHK dollarKorean won

82.0-

23.413.68.42.53.31.1--

83.3-

24.19.47.32.73.40.9--

87.3-

20.211.07.13.13.61.30.2

90.337.622.713.26.14.24.52.30.8

88.737.220.316.9615.54.21.91.2

4

Geographical distribution of reported foreign exchange market turnover Daily average in April, billions of US dollars

1992 1995 1998 2001 2004

Australia Belgium Canada HK Japan Korea Singapore Switzerland UK US Total

29162260

120--7466

291167

1,076

40283090

161--

10587

464244

1,572

47273779

1364

13982

637351

1,958

52104267

14710

10171

504254

1,612

812054

10219920

12579

753461

2,406

BIS, 2005

5

Global OTC derivatives market turnover Daily average in April, billions of US dollars

1995 1998 2001 2004

Foreign exchange turnoverOutright forwards and foreign exchange swapsCurrency swapsOptionsOthersInterest swapsTotal derivatives turnover

688 643 4 41 1151880

959862

1087

02651,265

853786

760

04891,385

1,2921,152

21117

21,0252,410

BIS, 2005

6

Geographical distribution of reported OTC derivatives market activity Average daily turnover, billions of US dollars

1998 2001 2004

Australia Belgium Canada HK Japan Korea Singapore Switzerland UK US Total

29202749891

8557468235

1,339

418

3349116

46953390169

1,186

60144170

154109162

613281

1,758

BIS, 2005

7

II. Hedging foreign exchange risk: the case of forward

contract

미래 일정시점에 USD1 을 매도 : 통화불일치와 만기불일치 위험이 발생

1. USD1 를 원화 원을 주고 매입하는 선물환계약을 체결

2. t 기에 원화 원을 원화금리로 조달하여 현물환시장에서 St

원 - 달러의 환율로 USD 을 매입한 후 의 달러화 금리로 예치 ,

t+1 기에 USD1 를 수취하는데 원의 조달비용이 유도

8

3. 현물 + 외환스왑 (synthetic forward)

9

커버된 이자율 평가

*1, 1

1

t

tttt r

rSF

Implication:

선물환계약은 원화에 대한 short, 외환에 대한 long position 을 구성 , 원화자금시장과 현물환시장에 즉각적인 파급효과를 가진다 .

10

• Structure of FOREX market

• 외환시장 참여자 : 고객 , 중개인 , 은행 , 중앙은행

• 고객 : 헤저 , 투기자 , 실수요자 , 재정거래자

• 은행 :

1. 각종 외환거래상대방으로서 외환파생거래를 원활히 성립하게 하는

시장조성기능을 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 ,

현물시장에서 달러화를 매입한 후 달러화 인도시점까지 예치하는 방법으로

헤징

III. Foreign exchange derivatives market

11

중앙은행

1. 외환 시장에 대한 개입을 통해 환율 정책을 수행2. 외환파생의 존재는 외환파생상품과 동일한 기능을 수행하는 다양한

수단이 있기 때문에 외환시장 개입의 형태도 다양

12

예 : 미래의 일정 시점에 달러화를 공급하는 선물환 계약을 체결한 시장 조성자의 헤징 활동은 원화 금리를 인상 , 현물환 시장에서 원화의 절하를

초래하고 다시 선물 환율의 절하를 동반

13

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 JapanEmerging Asia China HK India Korea Singapore TaiwanNet oil exporters RussiaTotal

59.6-0.9-9.469.552.510.911.35.322.23.40.531.915.8158.8

3.1-2.3-10.740.576.046.63.68.06.6-4.815.516.48.3110.5

112.34.87.963.7173.974.20.721.718.36.539.418.511.5356.0

218.55.9-27.8201.3263.9116.86.730.633.713.645.051.229.1620.0

195.53.0-7.3171.5363.4206.65.027.543.716.535.168.547.6720.3

-22.3-4.9-13.44.5249.9209.90.75.911.83.811.683.355.1421.7

1,292.237.8167.3828.81,821.6818.9124.3131.0210.0115.3253.3351.8175.94,170.8

BIS, 2006

14

15

Assumptions on FOREX market

1. zero transactions cost

2. speculators subject to borrowing constraint

3. many speculators and one market maker

16

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:

Further assumptions

17

The purchasing power parity:

Unknown credit shock in period the central bank must accommodate:

Market equilibrium condition:

PPP:

18

Due to the credit shock pegging exchange rate may not be sustainable in period t+1.

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.

Speculators sell dollars short through engaging forward contract with a market maker.

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.

19

For central bank with the loss function foreign exchange intervention is called for. Otherwise, the central bank would suffer capital loss on reserves.

In response to the speculative pressure the central bank with large forei

gn 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.

However, low interest rate policy is costly since it has to sacrifice domestic economic condition.

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.

Therefore, the choice of interest rate involves trade-off between the stability of exchange rates and the stability of the macro economy.

20

21

• 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.

22

• Optimization

Market maker’s optimization:

Central bank optimization:

23

• 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.

Important propositions