자산가격 변동과 통화정책
Asset Price Volatility and Monetary Policy
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초록
본 논문은 자산가격 변동에 대응한 통화정책의 효과를 분석하였다. 이를 위하여 투자를 고려한 새케인지안 동학모형을 설정하였고, 동 모형을 기반으로 한 모의실험 결과에 따르면 중앙은행이 자산가격의 변동성에 관심을 기울일수록 자산가격의 변동성을 낮추는 성과를 얻을 수 있다. 대신 인플레이션과 GDP갭의 변동성을 증폭시키는 대가를 치러야 한다. 특히, 자산가격에 버블이 존재하는 경우, 중앙은행이 자산가격의 변동성에 관심을 기울일수록 자산가격의 변동성은 낮출 수 있지만 인플레이션의 변동성을 높이는 희생을 치러야 하는 정도가 더 심해짐을 확인할 수 있다.
Abstract
Asset price volatility poses different problems for monetary policy, and no consensus has yet emerged on the appropriate startegy for monetary authority. One view is that central bankers would have no reason to concern themselves with asset pirce volatility per se, since movements in asset prices simply reflect changes in underlying economic fundamentals. An alternative view is that central bankers can improve macroeconomic outcomes by setting interest rates with an eye toward asset prices in general, and misalignments in particular. I set up a New-Keynesian dynamic macroeconomic model, and simulate the model. From the simulation, I find that the central bank can reduce the volatility of asset prices by concern itself with asset price volatility. In the meantime, it fails to reduce volatilities of inflation and the output-gap.
참고문헌 (22)
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