마코프 스위칭을 고려한 DSGE모형의 이론분석 및 한국경제에서의 적용 가능성
Markov-switching Open-economy DSGE Model: the Case of Korea
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이 논문은 마코프 스위칭을 고려한 소규모 개방경제 DSGE 모형을 이용하여 1999년 이후 한국의 통화정책변화를 베이지안 방법을 통해 실증분석한다. MSRE(Markov- switching rational expectations) 모형이라고 알려진 DSGE 모형은 민간경제주체 및 정책당국의 행태가 마코프 과정을 따라 반복적으로 변화할 수 있도록 고안된 것으로 본 연구에서는 한국은행이 이자율 준칙에 따라 통화정책을 시행할 때 이자율이 인플레이션, 산출갭, 환율변화, 그리고 과거 이자율에 반응하는 계수가 마코프 과정을 따른다고 가정한다. 이 경우, 이자율이 어떤 변수에 중요하게 의존하고, 또한 1999∼2013년 기간 동안 시간에 따라 어떠한 변화를 가져왔는지 분석하였다. 본 연구의 가장 중요한 공헌은 MSRE 모형을 이용하여 최초로 실증분석을 했다는 것이다. 실증분석 결과, 한국의 이자율 준칙에 있어서 마코프 과정을 따르는 변수는 인플레이션으로서 2000년대 초반을 제외하면 전반적으로 적극적인(active) 인플레이션 안정화 정책을 폈던 것으로 추정되었다. 전반적으로 모형은 안정적인 유일한 균형을 가지는 결정성(determinacy)의 특성을 가짐을 확인하였는데, 이는 통화정책을 경제상황에 맞게 신축적으로 시행하였지만 인플레이션에 대한 안정화 기조를 전반적으로 유지해왔음을 의미한다.
Abstract
This paper estimates and studies changes in monetary policy regimes using a Bayesian estimation technique in the context of a small open economy dynamic stochastic general equilibrium(DSGE) model subject to Markov-switching. A DSGE model known as Markov-switching rational expectations(MSRE) model is suitable in study of recurrent regime changes in monetary policy stance or preferences and technologies of private agents following a Markov-process. In this paper, we allow the coefficients of inflation, the output gap, changes in exchange rate and the lagged interest rate to follow a Markov-process in a standard interest rate feedback rule of the Bank of Korea. We let the data reveal which variable the short-term interest rate is more responsive to and how the policy stance has been changed for the period of 1999-2013. The most important contribution of this paper is to conduct an empirical study for the Korean economy using a MSRE model. The empirical evidences are as follows. Firts, the monetary policy stance has been overal active, stabilizing inflation variability except for the early 2000 and the US financial crisis era around 2006. This implies that the model exhibits determinacy, i.e., a property of unique stable equilibrium in the mean-square stability, thereby leading to an active policy stance overal with periodic deviation to a passive regime.
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