During the global financial crisis, the US monetary authority (Fed) reduced the benchmark interest rate to 0% and provided massive liquidity through three quantitative easing measures. As a result, the US Fed balance sheet expanded five times ($ 4.5 trillion) from September 2008 ($ 0.9 trillion). Much of the increased global liquidity flowed into emerging economies. The influx of capital contributed to the growth of emerging economies, leading to new credit increases such as bank loans. Emerging markets, which supported 63% of global GDP, served as an engine of the global economy at a time when the growth in the US and Europe were subdued.
   While capital inflows have a supporting role in contributing to economic growth, they have also been a potential prompting factors to systemic risk in emerging countries and Korea. Emerging economies actively responded to systemic risks from foreign capital inflows. With the introduction of macro-prudential policy measures, emerging economies have been striving to maintain an external balance by responding to the surge in domestic credit and restraining excessive capital inflows. In order for emerging countries to adopt measures to curb inflows of capital, persuasiveness and legitimacy are secured only if external influences are triggered by external factors.
   Most previous studies have shown that push factors have had a greater impact on capital outflows in emerging economies than in pull factors. Raghuram Rajan, former central bank governor of India, has pointed out that the monetary policy impact of the US Fed and the developed country central bank is a major external factor (push factor). Meanwhile, in May 2018, the US Federal Reserve Chairman Jerome Powell addressed the controversy over capital movements to emerging economies after the global financial crisis. Powell said the inflows of capital into emerging economies is unlikely to have been caused by the Fed’s interest rate policy.
   According to the study, the US Fed’s quantitative easing has had the effect of lowering the Fed base rate by a further 4%. This means that normalization of the quantitative easing policy will lead to a policy rate hike of 4 percentage points. This is the reason why the normalization of US monetary policy will have a negative impact on the global economy. At the same time, the squeezing on capital outflows in emerging economies is increasing.
   Powell’s speech contains “implied” warnings that the US monetary policy is not a triggering force of a capital outflow in emerging economies. That’s why Powell’s speech is adding to the difficulty of policy responses in emerging countries. This suggests that it is necessary to check the determinants of global capital flows. In addition, the impact of US monetary policy on Korea's financial markets and capital outflows needs to be analyzed in depth.
   In this context, Chapter 2 introduced the progress of normalization of US monetary policy and recent issues. In Chapter 3, the discussion of push vs. pull factors in cross-country capital flows were examined using panel data of 47 countries including emerging and developed countries. Empirical results show that the external/ internal factors determining capital flows in developed and emerging countries is different.
   In developed countries, both internal and external factors play an important role in determining capital inflows and outflows. However, in emerging economies, external factors were found to be a major determinant. We also found that the patterns of capital flows among the four sub-groups in emerging countries are quite different.
   For emerging Asian economies, both internal and external factors are main determinants. However, external factors in Eastern Europe and internal factors in emerging Latin America are key determinants. In addition, capital inflows into emerging economies increased from the next quarter after US interest rates were cut first. This suggests that Powell’s argument (“Large capital inflows into emerging economies begins before the Fed’s rate cuts”) need to be reevaluated.
   Chapter 4 analyzes the impact of the normalization of US monetary policy on the domestic financial market and foreign exchange market by using the TVP-VAR model. In TVP-VAR model, the volatility of the economic structure and shock varies with time. Analysis shows that US credit spread shock, which is an indicator of uncertainty in international financial markets, has had a negative impact on domestic financial markets and capital inflows. On the other hand, the impact of the US policy rate hike after 2015 was limited.
   This study also practiced a simulation based on the assumption that the US policy rate, term-premium, credit spread are all rise at the same time. The shock caused domestic long-term interest rates, credit spreads, and won/dollar exchange rates to rise. However, residents’ overseas investment funds were returned while the foreigners’ investment funds flowed out. Chapter 5 summarizes the cases of macro-prudential policy measures of major countries that responded to the capital outflow situation.
   Based on the analysis of this report, Chapter 6 presents the five policy implications. First, it is necessary to respond appropriately to an ‘externality’ such as capital outflow caused by normalization of monetary policy in developed countries. Through the G20 platform, the Government could put international institutions like IMF, OECD, BIS in doing an objective analysis of the adverse effects of capital flows between “source countries” and “recipient counties”.
   Second, when operating domestic monetary policy, Bank of Korea is necessary to consider a pattern of capital flows that have changed from the past. In the meantime, there was a concern that the expanded gap between the domestic and US interest rates would lead to capital outflows. However, the capital outflows risks from the interest rate gap is expected diminished from the two reasons. ① The capital flow pattern of 「residents’overseas investment > foreigners domestic investment」 is settled down after 2014. ② Residents’ overseas investment could return in the crisis time.
   Third, the establishment of a virtuous cycle structure of 「current account surplus ⇆ residents’overseas investment」 is key to the balance in the external sector. If current account surplus does not stay in Korea but leads to overseas investment of Korean investors, the income generated in the form of dividend income etc. will be linked to next round current account surplus and will ease the pressure on the Korean Won appreciation.
   Fourth, there is a need to increase the foreign currency deposits of residents which act as ‘the second’ foreign exchange reserves securing foreign currency liquidity. Fifth, it is time for Bank of Korea to double its efforts to communicate with the financial markets on the policy rate path. It is a good case in point for the Fed to persuade market sentiment by strengthening its communication efforts through ‘forward guidance’ vehicle, which announced the path ahead of the expected rate hike. 

서언

국문요약

제1장 서론

제2장 미국 연준의 통화정책 정상화 과정과 향후 전망
1. 글로벌 금융위기 이후 미 연준 통화정책 요약 
2. 미 통화정책 정상화 현황 및 과제

제3장 자본유출입 결정요인 분석
1. 서론
2. 문헌연구
3. 실증분석
    가. 계량모형
    나. 데이터 및 기초통계량
    다. 실증분석 결과
4. 강건성 검증
    가. 국가특성변수를 포함하는 확장모형
    나. 고정효과를 포함하는 패널모형
    다. 종속변수로 총자본유입을 사용한 OLS 회귀분석
    라. 미국 그림자금리 대신 실질금리를 사용한 OLS 회귀분석
    마. 위기기간을 제외한 분석기간에 대한 OLS 회귀분석
5. 소결

제4장 미국 통화정책 정상화가 국내 금융시장에 미칠 영향
1. 서론
2. 모형의 추정
    가. 추정방법
    나. 변수의 구성
    다. 구조적 충격의 식별
3. 분석 결과
    가. 충격반응함수 분석
    나. 시나리오별 분석
4. 소결

제5장 자본유출입 대응 주요국 거시건전성 조치 사례
1. 개요
    가. 배경
    나. IMF의 자본이동관리에 관한 제도적 시각
2. 자본유출입에 대한 주요국의 정책대응 사례
    가. 아이슬란드
    나. 브라질
    다. 콜롬비아
    라. 러시아
    마. 페루
    바. 한국
3. 소결

제6장 결론 및 정책적 시사점
1. 선진국 통화정책이 초래한 외부효과의 심각성
2. 통화정책은 자본흐름 패턴 변화를 감안할 필요
3. 「경상수지 흑자⇆내국인 해외투자 증가」의 선순환구조 정착
4. 외화유동성 확보의 중요성
5. 향후 정책금리 경로에 대한 소통노력

참고문헌 

Executive Summary