韩国对外部门的结构变化及其对汇率的影响

Kim, MinEconomist, International Finance Research Team,International Department, Bank of KoreaTel. 02-759-5966Email:min.kim@bok.or.kr Kim, JihyunEconomist, International Finance Research Team,International Department, Bank of KoreaTel. 02-759-5882Email:jihyun@bok.or.kr ①Traditionally, a current account surplus has been understood to reflect enhanced competitiveness ofdomesticgoods and expanded net exports,accompanied by a falling real exchange rate(KRWappreciation). However, since 2023 Q2,Korea has experienced a prolonged episode in which a wideningcurrent account surplus has coincided with a rising real exchange rate (KRW depreciation). ②Since theGlobalFinancialCrisis,the composition of Korea’s overseas assets has tilted toward private-sectorportfolio investment, and away from public-sector reserve assets.This shift has occurred alongsiderising savings and slowing domestic investment associated with demographic aging. Since the currentaccount simultaneously reflects the outcome of net exports and net capital outflows, this structural changein external asset accumulation suggests that the factors driving fluctuations in the current account and thereal exchange rate may have changed. ③To empirically examine this possibility, we distinguish between“goods shock”(which generate a currentaccount surplus alongside KRW appreciation) and “financial shock” (which generate a current accountsurplus alongside KRW depreciation) and assess the relative importance of each type acrosssubperiods.We find that the overall frequency of financial shocks is similar before and after Korea's transition to netexternal creditor status, but that positive financial shocks—those associated with capital outflows andKRW depreciation—have become more frequent.Compared with major advanced economies with deeperFX markets, currency depreciation following financial shocks is relatively larger in Korea. ④We use a structural model (a two-country New Keynesian open economy model) to provide a structuralinterpretation of the empirical findings and to quantify the effects of each shock.Positive financial shockis furtherdecomposed into an increase in residents' demand for dollar assets (corresponding to a decreasein non-residents' demand for KRW assets) and an expansion of savings demand. The results indicate thatthe influence of goods shocks, which drove KRW appreciation through around 2014, has weakenedinrecent years, while the influence of dollar asset demand and savings demand—driven by demographicaging and weak domestic investment—has strengthened. The recent pattern of current account surpluscoinciding with KRW depreciation can be attributed to these structural shifts. ⑤These findings suggest that the adjustment mechanism between the current account and the real exchangerate is changing as Korea transitions toward a stage of private-sector-led overseas asset management. Theyalso imply that the importance of resident capital flows for the external sector and the exchange rate hasgrown relative to the past, underscoring the need to account for resident capital flows in policies aimed atmaintaining FX market stability. ⑥During thisstructural transition, if resident demand for overseas assets expands rapidly in the short term,or if volatility in non-resident capital flows increases due to changes in external conditions, FX marketsensitivity may rise and supply-demand imbalances mayintensify, amplifying exchange rate volatility. Thispoints to the need for policy responses to address short-term supply-demand imbalances alongside medium-to long-term policies aimed at deepening the FX market. ■Disclaimer:Theviewsexpressedhereinarethoseoftheauthors,anddonotnecessarilyreflecttheofficialviewsoftheBankofKorea.Whenreportingorcitingthispaper,theauthors’namesshouldbealwaysexplicitlystated.■WewouldliketoexpressoursincereappreciationtoKyoungsooYoon,Jae Hyun Yoo, Yong O Kwon,for their comments and suggestions. Any errorsinthispaperaresolelytheresponsibilityoftheauthors. 1I. Background 1. Since 2023 Q2, Korea's current accountsurplus has widened while the real exchangerate has risen (KRW depreciation). This diverges from the historical pattern in whichcurrent account surpluses were accompanied by a declining real exchange rate (KRWappreciation).As shown in