기대인플레이션을 이용한 미국의 중장기인플레이션 예측
Forecasting Medium-and Long-term Inflation in U.S. by Using Inflation Expectation
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초록
본 연구에서는 인플레이션율의 움직임에 대한 고찰을 바탕으로 민간의 기대를 이용하여인플레이션의 움직임을 모델링하였다. Hull-White 모형을 통해 도출한 시변적(time variant) 추세를 이용하여 미래인플레이션의 추세를 예측하였다. 모형의 예측력을 평가해본 결과 모형을통해 도출한 CPI의 RMSE가 1.921(금융위기기간 제외 시 1.858)로 나와 평균적으로 CPI 대비약 0.88%(금융위기기간 제외 시 약 0.86%) 정도의 오차범위를 보여 CPI의 움직임을 비교적잘 나타내고 있다. 이는 IMF의 예측치와 비교해 봐도 손색이 없는 수준이다. 모형에 공급충격을반영할 수 있게 확장한 후 가장 최근의 자료를 이용하여 미국의 인플레이션 전망경로를 생성한결과, 미국의 인플레이션율은 지속적으로 2.0% 이하의 낮은 수준을 유지할 것으로 나타나지만2017년 이후부터는 예기치 못한 공급충격으로 2.5% 이상의 수준을 보일 상방리스크가 크게존재한다.
Abstract
In this paper, based on the study of inflation dynamics, we generate future trends of inflation rates by using private sector's inflation expectation and Hull-White model. The RMSE of estimated CPIs is 1.921(1.858 when financial crisis period is excluded), that is about 0.88%(0.86% when financial crisis period is excluded) for average CPI level. After modifying the model to include supply shocks, we forecast inflation rates in U.S. by using the latest data. According to the forecast, the inflation rates in U.S. will stay below 2.0% continuously. However there are upside risks which the inflation rates might be above 2.5% due to unexpected supply shocks from 2017.
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