Why has forecasting forex rates become so challenging? 환율 예측이 왜 이렇게 어려워졌을까?

[김우정]

메리츠 증권 스티븐 리 수석 이토노미스트의 환율예측이 왜 어려워지고 있는가에 대한 기고입니다.

첫째, 수출증가와 반비례하던 달러가 최근 우리나라의 수출증가에도 강세를 보이고 있습니다.

둘째, 원화는 신흥국과 선진국간 국가 수익률 스프레드가 축소될 때 강세였으나 최근 추세는 그렇지 않습니다.

셋째, 외국인들의 국내주식 순매수 증가에도 불구하고 원화는 약세 입니다.

필자는 연준의 금리인하 시작과 미국경제회복으로 향후 환율은 1,300원을 장기간 유지 할 것으로 예상합니다.

Why has forecasting foreign exchange rates become so challenging?
환율 예측이 왜 이렇게 어려워졌을까?

By Stephen Lee
The writer is the chief economist at Meritz Securities in Seoul.
스티븐 리
필자는 서울에 있는 메리츠증권 수석 이코노미스트이다.

Posted : 2024-04-27 08:45  Updated : 2024-04-27 08:45
Korea Times

Gettyimagesbank 게티 이미지뱅크 

Stephen Lee, chief economist of Meritz Securities / Courtesy of Meritz Securities 스티븐 리 메리츠 증권 수석 이코노미스트 / 메리츠 증권 제공

The Korean won’s traditional relationships with export growth and capital flows have been broken these days. It seems likely that elevated uncertainties and widening cross-country rate differences dominated the FX market and caused the U.S. dollar to strengthen as a trend.
최근 원화는 수출증가율과 자본흐름의 전통적인 관계가 깨졌다. 불확실성 확대, 국가 간 금리차 확대 등이 외환시장을 지배하면서 미 달러화가 강세를 보인 것이 추세적으로 작용한 것으로 보인다.

Traditional formulation explaining Korean won broken
우리나라 원화를 설명하는 전통적인 공식이 깨짐

The foreign exchange rate is regarded as one of the most vulnerable and delicate financial indicators, given its reflection of nearly every event. Therefore, it is one of the most difficult financial indicators to forecast. It has become an increasingly challenging task, as the existing formulation — with those variables explaining the Korean won vis-à-vis the U.S. dollar — has become obsolete. Here are some examples.
환율은 거의 모든 사건을 반영하기 때문에 가장 취약하고 섬세한 재무지표 중 하나로 여겨진다. 그러므로 환율은 가장 예측하기 어려운 재무지표 중 하나이다. 달러 대비 원화를 설명하는 변수들이 있는 기존의 공식이 더 이상 쓸모가 없게 되었기 때문에 이것은 점점 더 어려운 과제가 되었다. 몇 가지 예가 있다.

First, Korea's export growth traditionally led the Korean won to strengthen. Except for 2004 and 2005 when authorities implicitly intervened to weaken the won, the two variables coincided. Recently, however, Korean exports have been growing nearly 10 percent year-on-year, but the won continues to weaken against the dollar. (Chart 1)
첫째, 한국의 수출 증가가 전통적으로 원화 강세를 이끌었다. 원화 약세를 위해 당국이 암묵적으로 개입한 2004년과 2005년을 제외하고는 두 변수가 일치하였다. 그러나 최근 한국의 수출은 전년 대비 10% 가까이 증가하고 있으나 원화는 달러 대비 약세를 지속하고 있다. (표 1)

Second, the Korean won used to strengthen when the sovereign yield spread between emerging markets and advanced markets narrowed. A narrowing spread indicates net inflows to emerging financial markets from elsewhere. Therefore, the won, serving as both an emerging currency and a risk indicator, aligned with the narrowing spread, except during periods of heightened geopolitical tension on the Korean Peninsula. The relationship between the two has also been broken for the recent two years in the absence of any significant events from North Korea.
둘째, 원화는 신흥국과 선진국 간 국가 수익률 스프레드가 축소될 때 강세를 보이곤 했다. 스프레드가 축소된다는 것은 다른 곳에서 신흥국 금융시장으로 순유입되는 것을 의미한다. 따라서 한반도의 지정학적 긴장이 고조되는 시기를 제외하고는 신흥국 통화이자 위험 지표 역할을 동시에 하는 원화는 스프레드 축소에 맞춰졌다. 북한에서 이렇다 할 사건이 발생하지 않는 상황에서 최근 2년간 양국 관계도 단절됐다.

Third, the Korean won strengthened when foreign investors were net buyers in the nation’s equity market. An exception occurred in 2006 and 2007 when the won remained strong despite net selling from foreigners. Back then, short-term borrowing from overseas rose very quickly, as banks had to neutralize their foreign exchange (FX) positions amid a massive hedging demand from shipbuilders and domestic residents investing outside Korea. The relationship between the two is now also broken. (Chart 2)
셋째, 외국인 투자자들이 국내 주식시장에서 순매수를 할 때 원화는 강세를 보였다. 외국인들의 순매도에도 불구하고 원화가 강세를 유지했던 예외가 2006년과 2007년에 발생했다. 당시에, 해외에서 단기 차입금은 매우 빠르게 증가했는데, 이는 조선업자들과 국내 거주자들의 대규모 헤지 수요 속에 은행들이 외환 포지션을 무력화해야 했기 때문이다. 둘 사이의 관계도 이제 깨졌다. (차트 2)

Hypotheses on US dollar dominance
미국 달러화 지배력에 관한 가설

I might just insist that the broken relationship is temporary and argue that the won will appreciate against the dollar. But I believe, rather than simply putting forth assertions, that a macroeconomist should always be suspicious about changes in dynamics and possibilities of emerging variables that people may have missed previously.
나는 그저 끊어진 관계가 일시적인 것이라고 주장하고 달러에 대해 원화가 절상될 것이라고 주장할 수도 있다. 그러나 나는 거시경제학자가 단순히 주장만 하기보다는 사람들이 이전에 놓쳤을지도 모르는 새로운 변수들의 역학 변화와 가능성에 대해 항상 의심해야 한다고 믿는다.

What I assume is that the dollar’s dominance within the foreign exchange market may have been at the core of its continual strength. I would like to raise three hypotheses on this.
달러가 지속적으로 강세를 보인 핵심은 외환시장에서 달러의 지배력이었을 것이라고 추측한다. 이에 대해 세 가지 가설을 제기하고자 한다.

First, the U.S. may be absorbing most of the investment needs from elsewhere. U.S. equity indexes were at all-time highs and many investors are increasingly allocating their assets based on the dollar. This makes sense somewhat, as the financial account balance in the U.S. saw $890 billion worth of net inflows in 2023, and if accounting for portfolio investment balance, net inflows were a whopping $1.16 trillion. That said, massive net inflows into the U.S. have not always translated to a stronger dollar since 2000, hence this alone cannot explain the dollar's strength.
첫째, 미국이 투자 수요의 대부분을 다른 곳에서 흡수하고 있을 수 있다. 미국 주가지수가 사상 최고치를 기록하고 있고 많은 투자자들이 달러를 기준으로 자산을 배분하고 있다. 이는 2023년 미국의 금융계좌 잔액이 8,900억 달러어치 순유입되었고 포트폴리오 투자 잔액을 고려하면 순유입 규모가 무려 1조 1,600억 달러에 달했기 때문에 어느 정도 일리가 있다. 그렇다고 2000년 이후 미국으로의 대규모 순유입이 항상 달러 강세로 전환된 것은 아니기 때문에 이것만으로는 달러 강세를 설명할 수 없다.

Second, the dollar’s global presence may have surged. My conclusion on this is that the dollar is maintaining its status as the global key currency. Although the portion of the dollar within global foreign exchange reserves had been falling consistently since 2000, the U.S. still accounts for 25 percent of the global GDP in 2023 (IMF), and 88.4 percent of foreign exchange transactions were made via the dollar in 2022 (BIS triennial survey).
둘째, 달러의 글로벌 위상이 높아졌을 수도 있다. 이에 대한 필자의 결론은 달러가 세계 기축통화의 지위를 유지하고 있다는 것이다. 2000년 이후 세계 외환보유액에서 달러가 차지하는 비중은 지속적으로 하락하고 있지만, 미국은 여전히 2023년 세계 GDP의 25%를 차지하고 있고, 2022년 외환거래의 88.4%가 달러를 통해 이루어지고 있다(BIS 3개년 조사).

Third, escalating uncertainties on policies may have led to increasing speculative demand of the dollar and had the dollar strengthen consistently over time vis-à-vis non-U.S. currencies. I see this one as the most credible hypothesis.
셋째, 정책에 대한 불확실성의 확대는 달러에 대한 투기적 수요를 증가시켰을 수 있고, 비미국 통화에 비해 달러가 시간이 지남에 따라 지속적으로 강세를 보였을 수 있다. 나는 이것이 가장 신뢰할 수 있는 가설이라고 생각한다.

Come to think of it, the global economy been confronting repetitive crises and elevated uncertainties since 2007. There were the well-known global financial crisis (2007-09), followed by the European debt crisis (2011-12), the trade war between U.S. and China (2018-19) and COVID-19 (2020-). For example, major central banks were extremely dovish and even adopted untraditional policies during the first 10 years following the global financial crisis. Now they are at their most hawkish in decades, as they moved to address the strongest inflation since 1980.
생각해보면, 세계 경제는 2007년 이후 반복적인 위기와 불확실성의 고조에 직면해 있다. 잘 알려진 글로벌 금융위기(2007-09)가 있었고, 유럽 부채위기(2011-12), 미국과 중국의 무역전쟁(2018-19), COVID-19(2020-)가 그 뒤를 이었다. 예를 들어, 주요 중앙은행들은 글로벌 금융위기 이후 첫 10년 동안 극도로 비둘기파적이고 심지어 비전통적인 정책을 채택했다. 1980년 이후 가장 강력한 인플레이션을 해결하기 위해 움직였기 때문에, 이제 그들은 수십 년 만에 가장 매파적이다.

COVID-19 brought about massive forecast errors for the economy as well as policy. We never knew that recessions in major nations were to be that deep, nor that short-lived. Whether the inflation rate would surge near 10 percent, aggressive central bank responses were unknown. While it has become more comfortable to forecast the economy than it was in 2020, policy uncertainty stays heightened, which triggers consistent demand for safe havens.
코로나19는 정책뿐 아니라 경제에 엄청난 예측 오류를 초래했다. 주요국의 경기침체가 그렇게까지 깊을지, 그렇게 오래가지 못할지 우리는 전혀 몰랐다. 물가상승률이 10%에 육박할 지, 중앙은행의 적극적인 대응은 미지수였다. 2020년보다 경기예측이 편해진 반면 정책의 불확실성은 여전히 높아져 안전한 피난처에 대한 수요가 꾸준히 발생한다.

On the other side, I note that the Korean won is exceptionally sensitive to uncertainties. This is because heightened uncertainties often lead to conservative attitudes on corporate investment. Korean exports are mainly B2B-oriented, so any elevated uncertainties create woes on the nation’s export growth and the whole economy. This may have had greater influence on the FX market scene recently. (Chart 3)
다른 한편으로, 나는 한국 원화가 불확실성에 유난히 민감하다는 점에 주목한다. 불확실성의 고조는 종종 기업 투자에 대한 보수적인 태도로 이어지기 때문이다. 한국 수출은 주로 B2B 위주이기 때문에, 불확실성의 고조는 우리나라의 수출 성장과 경제 전체에 불안을 야기한다. 이는 최근 FX 시장 장면에 더 큰 영향을 미쳤을 수 있다. (표 3)

Apart from elevated uncertainties and increased safe haven demand, the strength of the dollar can be explained from a factor that is certain — the government yield difference across regions. Since U.S. economic growth outperformed its advanced nation peers, and the U.S. Federal Reserve being most aggressive among major central banks, U.S. treasury yields stood far higher than those of Germany and Japan in recent years. This has led the euro or the Japanese yen to weaken against the dollar.
높아진 불확실성과 안전 피난처 수요 증가와는 별개로, 달러의 강세는 확실한 요인, 즉 지역에 따른 정부 수익률 차이에서 설명될 수 있다. 미국 경제 성장이 선진국 경제 성장을 능가하고, 주요 중앙 은행 중 미 연방 준비 제도가 가장 공격적이기 때문에, 최근 몇 년 동안 미국의 국채 수익률은 독일과 일본보다 훨씬 높았다. 이로 인해 유로 또는 일본 엔화가 달러에 대해 약세를 보였다.

Conditions for non-dollar currency reval‎uation
비달러화 재평가 조건

I see three conditions for the dollar to reverse its trend going forward. First is the Fed initiating its rate cut. This would prompt cross-country rate differences to narrow going forward. Second, other central banks’ rate cuts prompting non-U.S. economic recovery. The eurozone economy will likely benefit from this, given its sensitivity to manufacturing — a rate-sensitive industry. Third, the economy and policy should be more predictable. In other words, uncertainties should alleviate. Returning to a normal business cycle we have seen before COVID-19 can be an example, which is difficult to predict when.
달러가 앞으로 추세를 반전시킬 수 있는 조건은 세 가지로 본다. 첫째, 연준이 금리 인하를 시작하는 것이다. 이는 향후 국가 간 금리 차이를 축소시키는 요인이 될 것이다. 둘째, 다른 중앙은행들의 금리 인하는 비미국 경제의 회복을 촉진한다. 유로존 경제는 금리에 민감한 산업인 제조업에 대한 민감성을 감안할 때, 이로 인해 수혜를 입을 가능성이 높다. 셋째, 경제와 정책의 예측 가능성이 높아져야 한다. 즉, 불확실성이 완화되어야 한다. 코로나19 이전까지 보아왔던 정상적인 경기 사이클로의 회귀가 그 예가 될 수 있으며, 이는 언제를 예단하기 어렵다.

The first and second conditions are likely to be met in the next 12 months. That said, given elevated policy uncertainties, the dollar will weaken to a limited extent. Under this environment, the Korean won will likely stay above 1,300 vs. the dollar for an extended period of time.
첫 번째와 두 번째 조건은 향후 12개월 안에 충족될 가능성이 높다. 그렇다고 정책의 불확실성이 높아진다면, 달러화는 제한적인 범위 내에서 약세를 보일 것이다. 이러한 환경하에서, 원화는 달러 대비 1,300원 이상을 장기간 유지할 가능성이 높다.

#Foreignexchangerate환율 #Exportgrowth수출증가 #Capitalflows자본흐름 #Uncertainties불확실성 #Cross-countryratedifferences국가간금리차이 #Sovereignyieldspread국가수익률스프레드 #Netinflows순유입 #Speculativedemand투기적수요 #Safehavens안전피난처 #Policyuncertainties정책의불확실성