통화신용정책과 거시건전성정책의 정책공조 효과 평가
Assessing Effects of the Policy Coordination between Monetary and Macroprudential Policy
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본 연구는 금융부문이 포함된 뉴케인지언 DSGE 모형을 이용하여 단기 정책금리로 수행되는 통화정책과 주택담보대출비율(LTV) 또는 경기대응적 완충자본(CCB)의 조정으로 수행되는 거시건전성정책의 공조 여부에 따른 정책효과를 비교분석하였다. 물가와 생산의 안정성을 추구하는 기존의 정책목표에 금융안정 지표로서 신용량을 추가할 경우 새로운 거시건전성 정책수단의 도입은 물가와 금융안정의 동시적 달성을 용이하게 해준다. 다만 LTV의 경우는 정책수행 방식이나 경제충격의 종류에 관계없이 새로운 정책목표인 신용량 변동성의 축소를 위해 기존 정책목표인 물가변동성의 확대를 감수해야 하는 반면 CCB는 수요충격에 대하여는 기존 정책목표를 훼손하지 않으면서 새로운 정책목표의 개선을 얻을 수 있는 것으로 나타났다. 한편 공조적 정책수행 방식에 정책 당국간 갈등 가능성이 내재해 있어 공조적 정책수행을 위한 협력체계의 구축이 긴요한 것으로 생각된다.
Abstract
This study assesses the effects of policy coordination between monetary and macroprudential policy using a new Keynesian DSGE model which includes financial sector explicitly. Monetary policy is implemented with a short term interest rate; on the other hand, macroprudential policy is implemented with loan to value(LTV) ratio or countercyclical capital buffer(CCB). Adding a new macroprudential policy tool to the economy improves the policy effectiveness in pursuing price and financial stability at the same time, though the price stability is hampered compared with an economy where the price stability was the only aim of the policy authority. Coordinated policy implementation turns out to be superior to uncoordinated one except the case in which CCB responds to cost shock as a macroprudential policy tool. As there exists the possibility of conflict between monetary and macropudential policy aims, clear governance system for the policy coordination is necessary.
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