우리나라 재정정책의 유효성에 관한 연구
On the Efficacy of Fiscal Policy in Korea during 1979~2000
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초록
본 연구는 재정수입 및 지출 그리고 국민소득의 세 변수를 구조적 벡터자기회귀(Structural VAR) 모형에 대입하여 재정의 경기조절기능을 분석하고자 하는 시도에서 비롯하였다. 이를 위해 우선 교란항에 다양한 형태의 선험적 제약을 부여하여 재정승수를 추정한 후 그 결과를 제약식별로 비교․검토한다. 다음으로는 3-변수 모형을 확장하여 외부경제로부터의 충격을 반영하는 변수를 추가한 4-변수 SVAR을 분석한다. 이는 다른 나라와 비교하여 우리나라 경제의 해외부문 의존도가 큰 것을 감안한 까닭이다. 1979년부터 2000년까지의 한국은행의 『조사통계월보』 자료를 이용하여 3-변수 SVAR을 실증분석한 결과에 따르면, 추정된 재정 승수의 규모와 지속기간이 매우 작거나 짧을 뿐 아니라 추정값의 통계적 유의성도 그리 높지 않은 것으로 나타났다. 또한 해외부문을 포함한 4-변수 SVAR 모형을 계산한 결과도, 추정된 재정승수의 통계적 유의성이 일부의 경우에서 다소 높아짐에도 불구하고, 3-변수 SVAR 모형의 결과와 대체적으로 일치하는 것으로 나타났다. 따라서 해외부문으로부터의 외생적 충격의 고려 여부와는 상관없이 재정정책의 유효성이 우리나라에서는 통계적으로 유의한 수준에서 확인되지 않는 것으로 보인다. 하지만 이 결과를 받아들임에 있어 사용된 『조사통계월보』 자료 및 분석모형의 한계에 대해서도 고려하여야 할 것이다.
Abstract
This paper mainly estimates a trajectory of GDP induced by variations in fiscal expenditure and taxation policy using three variable structural VAR models. By assigning different combinations of identifying restrictions on the disturbances and measuring the corresponding fiscal multipliers, we compare how robust the estimated values of fiscal multipliers are with respect to the restrictions. Then, considering the dependency of Korean economy on the foreign sector, we extend the three variable SVARs to four variable ones by adding a variable reflecting external shocks. Empirical analyses into the Korean quarterly data (from 1979 to 2000) with the three variable SVARs reveal that the size and the significance of the estimated fiscal multipliers in Korea are very small and low or they decay very fast. Results from the four variable SVARs confirm these results while the significance of the effectiveness of fiscal policy is enhanced in some cases.
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