우리나라 통화정책 효과의 구조변화: 시간변화계수-VAR 모형을 이용한 실증분석
Structural Changes in Monetary Policy in Korea: An Empirical Investigation Using a Time Varying Parameter VAR Model
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본 연구는 혼합 이노베이션(mixture innovation) TVP-VAR 모형을 이용하여 지난 30년 기간의우리나라 통화정책 효과 전달체계의 구조적 변화를 분석하였다. 첫째, 최근의 기간으로 올수록통화충격에 대한 생산과 인플레이션의 충격반응이 약화되는 추세가 발견되었다. 둘째, 통화충격에대한 통화정책의 반응은 최근 보다는 초기 표본기간에 더 강하고 지속적이었으며 이 기간 통화당국이 경기안정화 이외에 다른 요인들에 더욱 반응하였던 것으로 나타났다. 따라서 생산증가율및 인플레이션의 수준과 변동성의 장기 완화추세는 주로 통화정책 운영기조 변화와 이에 따른통화정책 효과의 전달체계의 구조적 변화에 기인한 것으로 평가된다. 마지막으로 두 차례 경제위기기간에 대한 분석결과, 강력한 확장적 통화정책이 위기 탈출에 도움이 된 것으로 나타났다. 이상과 같은 분석결과는 통상적인 선형 VAR 모형을 이용한 통화정책 효과의 평가에는 그 한계가있다는 것을 의미한다.
Abstract
Using the TVP-VAR with mixture innovation, this study evaluates structural changes in transmission mechanism of monetary policy in Korea over the past three decades. First, our impulse response analysis indicates that the effects of monetary shocks on output and inflation have weakened in recent periods relative to earlier periods. Second, policy response to monetary shocks is stronger and more persistent in earlier periods and monetary authority responds more to factors other than output and inflation. These results imply that the observed long moderation of output growth and inflation over the three decades is mostly attributable to structural changes in monetary transmission mechanism in association with operational regime changes in monetary policy. Lastly, the analysis indicates that strong monetary expansions are effective policy responses in times of economic crisis. The results imply that policy analysis in Korea using a conventional linear VAR model may be misleading.
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