환율변동에 대응한 인플레이션 타게팅 정책의 유효성 분석
On the Effectiveness of Inflation Targeting Policy Considering the Exchange-Rate Volatility
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본 연구는 인플레이션 타게팅 정책하에서 통화당국이 환율변동에 대해 어떻게 대응하는 것이 효과적인가에 대하여 분석하였다. 이를 위해 소규모 개방경제를 가정하고, 최근의 새케인지안 거시동학모형의 틀을 활용하는 한편, 해외물가가 수입물가에 전가되는 환율전가(exchange rate pass-through)과정을 구체화하였다. 또한 수입품의 대부분이 원재료 및 중간․자본재라는 우리나라의 특성을 반영하는 모형을 수립하였다. 동 모형경제에 대해 우리나라 자료를 이용하여 캘리브레이션하고 모의실험을 통하여 얻은 결과에 따르면, 환율변동에 대한 충격은 인플레이션 및 산출갭 변동의 상충관계(trade-off)를 발생시켜 통화정책의 딜레마를 초래하며, 환율전가율이 높아질수록 인플레이션 및 산출갭의 변동성이 높아진다. 또한 중앙은행이 금융시장 안정에 신경을 쓸수록 환율변동을 고려한 인플레이션 타게팅 정책이 단지 인플레이션 또는 환율만을 타게팅하는 정책에 비해 인플레이션 및 산출갭 안정에서 효과적이다.
Abstract
We evaluate the effectiveness of inflation targeting policy strategies in a small open economy such as Korea. We develop a sort of New Keynesian dynamic optimizing model calibrated to recent Korean data. We then explore the consequences of alternative specifications of the loss function for the central bank, with particular focus on exchange rate volatility. Policy simulations include variations on inflation targeting, exchange rate targeting, and inflation targeting considering the exchange rate volatility, in which the central bank tries to stabilize the volatility of inflation as well as that of the exchange rate. In our model, monetary policy dilemma occurs because of the trade-off between the volatilities of inflation and the output gap. Simulation results show that output gap and inflation are more stable under the regime of inflation targeting which explicitly takes into account exchange rate volatility than those of inflation or exchange rate targeting only.
참고문헌 (41)
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