유가충격과 통화정책 : 바람직한 통화정책의 모색
Comparison of Alternative Monetary Policy Rules under Oil Shocks: The Case of Korea
0
조회
0
다운로드
5
인용
0
참고문헌
키워드
초록
유가상승충격은 우리나라 경제에 부정적 영향을 미치는데, 그 정도는 통화정책당국이 유가충격에 어떻게 대응하는가에 따라 다르게 나타나게 된다. 1980년 이후의 우리나라 시계열 자료를 이용한 SVAR 모형분석에 따르면 유가상승충격은 산출량, 투자, 제조업 가동률 등 주요 실질변수들을 하락시키고 물가를 증가시킨다. 본 연구에서는 유가상승충격이 우리나라 경제에 미치는 효과를 적절히 반영하도록 명목가격 경직성하의 소규모 개방경제모형을 설정하였다. 동 모형을 이용한 정책분석에 따르면, 유가상승 충격에 대응하여 통화정책당국이 상대적으로 실물부문보다 물가안정을 중시한 결과 우리나라 경제가 바람직한 통화정책을 시행하였을 경우보다 다소 침체하는 경향이 있었다. 통화정책당국이 물가안정을 위해 적정수준이상으로 이자율을 조절할 경우 유가상승충격은 국내 실물경제의 하락폭을 증가시키는 특징이 있다. 본 연구에 따르면, 바람직한 통화정책은 통상적인 이자율준칙보다 다소 높은 인플레이션을 허용하고 주요 실질변수의 하락폭을 줄이는 결과를 함축한다.
Abstract
This paper sets up a small open economy with nominal price rigidities and external habit formation to explore the role of monetary policy in response to oil shocks. The propagation mechanism of oil price shocks shows that the negative effect of oil shocks on the Korean economy depends upon the response of monetary authority to the shocks. The analysis with a SVAR model shows that oil price increases typically resulted in a surge of inflation rate and a decline in real activity in Korea. The paper shows that the monetary authority has increased its policy rate a little bit more than necessary to mute the inflation rate to the oil price shocks, leading to unnecessary economic downturn. The welfare analysis of alternative monetary policy rules based on a small open economy with nominal price rigidities and external habit formation shows that the excessive response of policy rate to maintain a stable price level tends to attenuate economic downturn arising from oil price shocks. The paper finds that a monetary policy that allows a temporary increase of inflation rate, but less severe downturn in real sector in response to oil price shocks is desirable in Korea.
참고문헌 (11)
- Monacelli, Tommaso, "Monetary Policy in a Low Pass-Through Environment", Journal of Money Credit and Banking, 37(6), pp.1047~1066 (2005)
- Natal, Jean-Marc, "Monetary Policy Response to Oil Price Shocks", Journal of Money Credit and Banking, 44(1) (2012)
- Schmitt-Grohe, Staphanie, "Closing Small Open Economy Models", Journal of International Economics, 61, pp.163~185 (2003)
- Yie, Myung Soo, "The Role of Foreign Debt and Financial Frictions in a Small Open Economy DSGE Model", manuscript (2011)
- Bernanke, Ben S., "Systematic Monetary Policy and the Effects of Oil price shocks", Brookings Papers on Economic Activities, 1, pp.91~142 (1997)
- Bernanke, Ben S., "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy", JMCB, 36, pp.287~291 (2004)
- The Macroeconomic Effects of Oil Shocks: Why are the 2000s so different from the 1970s?, "Blanchard, O.", NBER, ~ (2007)
- Hamilton, James D., "Oil Shocks and Aggregate Macro- economic Behavior: The Role of Monetary Policy", JMCB, 36, pp.281~313 (2004)
- Hoover, K. D., "Post hoc ergo propter once more: an evaluation of ‘Does monetary policy matter?", in the spirit of James Tobin, 34, pp.47~73 (1994), JME
- Garganas, N.C., "Macroeconomic management in an environment of aggregate supply shocks - Lessons from recent experience", BIS Review (2006)
- Romer, C. D., "Does monetary policy matter? A new test in the spirit of Friedman and Schwartz, In NBER Macroeconomic Annual Vol.4" (1989), MIT press