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대내외 금융순환과 중기시계의 경기변동 위험 : 통화정책 운영에 대한 시사점

Global and Domestic Financial Cycles and Growth-at-Risk in the Medium-Term: Implications for Monetary Policy

함준호|이동진
한국경제의 분석패널 (Panel for Korean Economic Analysis)|2021.04|한국경제의 분석 (Journal of Korean Economic Analysis)|제27권 제1호|pp. 1-64|DOI 10.22823/jkea.27.1.202104.1

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통화정책Monetary Policy금융순환경기변동 위험중립금리Financial CycleGrowth-at-RiskNeutral Interest Rate
주제분류경제학

초록

본 연구의 목적은 대내외 금융순환이 중기적 시계에서 국내 실물경기의 변동 위험에 미치는 영향을 실증적으로 구명하고, 이러한 영향을 고려하여 적정 통화정책을 운영하기 위한 준거지표를 제시함에 있다. 실증분석 결과, 대내외 금융상황의 개선은 단기시계에서 조건부 예상 성장률 분포의 하방위험을 낮추며 대외 금융순환보다는 대내 금융순환의 영향이 더 큰 것으로 추정되었다. 그러나 이러한 효과는 단기시계에 그치며, 중기시계로 갈수록 오히려 현 시점의 금융확장이 예상 성장률 분포의 하방위험을 높이는 기간 간 상충성이 존재하는 것으로 분석되었다. 특히 신용호황기와 같이 민간부채가 빠르게 누적되는 경우에는 중기적으로 성장률의 하방위험이 뚜렷하게 높아지는 비선형적 효과가 존재하며, 국내 신용호황기가 해외 신용호황기와 중첩되는 경우 이러한 부정적 영향이 더욱 증폭되는 것으로 나타났다. 한편 금융순환이 실물경기 변동에 미치는 영향을 조정한 후 GDP갭과 중립금리를 추정해 본 결과, 국내에서도 금융순환의 확장국면이 지속되는 경우 전통적인 인플레이션 중립성에 기반한 잠재성장률이 과대 추정되어 GDP갭과 중립금리의 과소 추정을 야기할 가능성이 있는 것으로 분석되었다. 이러한 분석 결과는 특히 실물경기와 금융순환의 괴리가 확대 지속되는 상황에서는 보다 중기적인 시계에서 금융순환의 영향을 신중히 고려하는 통화정책 운영이 요구됨을 시사한다.

Abstract

This study empirically investigates the relationship between global and domestic financial cycles and the conditional distribution of GDP growth over the medium-term. Using the growth-at-risk (GaR) and quantile regressions applied to the Korean data, we find that the intertemporal tradeoff in the term structure of GaR found by Adrian et al. (2020) also exists in Korea. Namely, an expansionary financial cycle is associated with a lower downside risk to GDP growth in the short-term but with a higher downside risk in the medium-term. This trade-off becomes more profound under a credit boom and when both domestic and global credit booms are synchronized. Our findings strongly suggest that this medium-term dynamics must be carefully considered in conducting monetary policies in open emerging economies. We further explore the impact of domestic and global financial cycles on the monetary policy benchmarks such as output gap and neutral interest rate. By explicitly including financial cycle variables in the semi-structural model of Laubach and Williams (2003), we show that the conventional output gap and neutral rate measures estimated from inflation neutrality tend to be underestimated when accommodative financial conditions persist.

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