유동성제약을 고려한 소비의 변동성과 소비 갭 분석
Liquidity Constraint, Consumption Volatility and Consumption Gap
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본 연구는 노동패널자료를 이용하여 유동성제약에 따른 가구별 소비의 특징을 살펴 보고, 이러한 특징을 반영할 수 있도록 단순한 형태의 2 경제주체모형을 설정하여 경기변동 관점에서 소비의 변동성과 소비 갭을 살펴보았다. 2000~2016년 기간의 노 동패널자료에 대한 분석결과, 유동성자산이 부족한 유동성제약 가구의 비중(20~40%) 이 적지 않으며, 이들 가구의 한계소비성향이 높게 추정되었다. 특히 경기하강기에 는 유동성제약이 큰 가구의 소비증가율이 비제약 가구에 비해 상대적으로 크게 하락 하였다. 또한 노동패널을 이용해 분석한 우리나라의 유동성제약 가구와 비제약 가구 간 소비 갭은 2000년대 이후에 경기역행적인 모습을 보였다. 이상은 유동성제약 가 구의 소비행태가 우리 경제의 소비 변동성을 설명하는 데 있어 중요한 요인임을 시 사한다. 다음으로 DSGE모형의 특징을 유지하면서 기존 케인지언들이 강조하는 Keynesian cross 함수를 반영할 수 있도록 변형된 2 경제주체모형을 통하여 우리나라 의 소비 변동을 살펴보았다. 분석결과에 의하면, 항구적 기술충격을 도입한 대표적 경제주체의 소규모 개방경제 실물경기변동론과 2 경제주체의 소규모 개방경제 실물 경기변동론 모두 빈도공간(frequency domain)에서 표현한 소비증가율의 스펙트럼은 실제자료에서 나타나는 소비증가율의 ‘L’자형 특징을 설명할 수 없었다. 그러나 Watson (1993)의 RMSAE측면에서는 유동성 제약을 도입한 2 경제주체의 소규모 개 방경제 실물경기변동론이 대표적 경제주체의 소규모 개방경제 실물경기변동론보다 는 다소 우월한 것으로 나타났다. 본 연구의 결과는 거시경제모형의 개선과 더불어 경기대응정책 및 경제의 복원력(resilience) 강화를 위해 가계부문의 유동성제약이 갖는 중요성을 고려할 필요성을 시사한다.
Abstract
This study examines the characteristics of household consumption by liquidity constraints using KLIPS data, and builds up a simple two-agent economic model to to examine the volatility of consumption and the consumption gap. According to analysis of KLIPS (Korean Labor & Income Panel Study) data from 2000 to 2016, the proportion of liquidity-constrained households due to insufficient amount of liquid assets (20~40%) was sizable while the marginal propensity to consume of these households was estimated to be high. Especially in economic downturns, the consumption growth rate of liquidity-constrained households was significantly lower than the unconstrained. In addition, the consumption gap between households with liquidity-constraints and without the constraints showed a counter-cyclical pattern in the sample period. This suggests that consumption behavior of liquidity-constrained households is an important factor in explaining consumption volatility of the economy. Next, we examine the consumption fluctuations of Korea through the two-agent economic model with the characteristics of the DSGE model which is modified to incorporate the Keynesian cross function emphasized by the Keynesians. According to the analysis, both the representative-agent small open economy real business cycle theory with the persistent technology shock and the two-agent small open economy real business cycle theory could not explain the L-shape characteristic of consumption growth rate data in terms of the spectrum of consumption growth rate expressed in the frequency domain. However, in terms of the RMSAE of Watson (1993), the two-agent small open economy real business cycle theory with liquidity constraints is somewhat superior to the representative-agent small open economy business cycle theory. The results of this study suggest that it is important to consider the liquidity constraints of the household sector in order to improve the performance of macroeconomic models as well as to strengthen the resilience of the economy and macroeconomic stabilization policies.
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