거시건전성 정책수단 설계 및 적용방법론

Abstract

This study reviews the purpose of macroprudential policy, it’s instrument choices, and other related issues based on the existing literature and examines an early warning indicators empirically. The empirical results using Korean Quarterly credit data show that the credit-to-GDP ratio and the credit-to-GDP ratio gap play an important role as an early warning indicator. Moreover, the probit model estimation indicates that the credit-to-GDP ratio may be more useful in predicting the currency crisis than the credit-to-GDP ratio gap while the credit-to-GDP ratio gap seems to be better in the banking crisis prediction. As one of asset prices, the housing price index seems to provide useful information for financial crisis prediction but appears not to be clear as one of candidates for early warning indicator. The preliminary analysis result shows that to the central bank, the reserve ratio(or reserve asset) may be a useful instrument for controlling the credit supply. Based on these empirical results, we provide an example for a dynamic stochastic general equilibrium model in which a central bank establishes an operating mechanism pursuing the traditional monetary policy and the macroprudential policy simultaneously based on two pillar policy system in order to achieve price stability, stable economic growth and financial stability.