최우추정법을 이용한 한국의 경기변동 추정-새 케인지언 모형을 중심으로-
New Keynesian Model and Business Cycles in Korea Based on Maximum Likelihood Estimation
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본고는 전형적인 새 케인지언 모형을 설정한 후 이 모형의 주요 파라미터를 최우추정법으로 추정하고 이를 기초로 우리나라의 경기변동요인을 총수요 및 총공급 요인과 통화정책 요인으로 분류하여 각 요인이 경기변동에 기여한 정도를 분석하였다. 본고의 시사점은 첫째, 1970년대 중반 이후 우리나라의 경기변동에 있어서 공급충격이 수요충격보다, 수요충격이 통화정책충격보다 크게 작용하였다. 둘째, 1970년대 중반 이후 추세를 제거한 산출물과 인플레이션 움직임은 장단기에 있어서 공급(기술)충격에 의하여 지대한 영향을 받았다. 셋째, 콜금리로부터 추정된 높은 평활화 계수를 지닌 이자율 움직임으로부터 추정한 통화정책은 인플레이션압력이 1% 있을 경우 금리를 1% 정도 인상하는 소극적인 인플레이션 억제정책의 특성을 지니고 있었다.
Abstract
This paper considers a simple new Keynesian model with output, interest rate and inflation determination in Korea to evaluate the monetary policy before the financial crisis. The estimated new Keynesian model via maximum likelihood estimation implies that a supply shock is the most important source of the Korean business cycle, while a monetary shock is less important than a demand shock over the business cycle. The paper also shows that the monetary authority in Korea does not pursue an active monetary policy to control an inflation rate in these periods.
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