물가동학에서 기대변수의 특성에 대한 연구
A Study of Characteristics of Expectation in Inflation Dynamics
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본 논문은 경제주체들이 미래에 대한 기대를 형성하는 데 있어서 기대기간이 주요한 역할을 한다는 점을 밝히는 시도이다. 정보효율성과 관련된 경제학적 가정이 확률과정에 어떠한 제약으로 작용하는지에 대한 분석으로부터 출발하여, 기대변수에 대한 조정과정이 오로지 새로이 발생한 정보만을 반영하는 경우를 미래기대의 임의보정(random revision of expectation)이라는 새로운 개념으로 제시하였다. 이러한 가정하에 물가동학 결정식을 도출할 경우, 산출갭으로 측정한 수요압력의 인플레이션에 대한 영향은 기대기간에 따라 달리 식별되었다. 이러한 모형을 우리나라 자료를 이용하여 실증한 결과, 기대기간을 단기로 설정할 경우 계수 추정치는 작아지고 통계적 유의성도 떨어지는 것으로 나타났다.
Abstract
This paper attempts to demonstrate the critical role of expectation horizons in economic agents building their expectations for the future. It starts with the analysis of what constraints the economics-based assumption related to information efficiency could impose in the stochastic process, and then suggests a new concept, random revision of expectation, to refer to the case when the adjustment process of expected variables employs newly generated information only. According to the inflation dynamics formula drawn under this condition, the demand pressure measured by output gap is found to cause different impacts on inflation according to different expectation horizons. The empirical analysis of this model using the data on Korea reveals that a short expectation horizon causes coefficient estimates to become small and statistically less significant.
참고문헌 (18)
- 이재준, "KDI 거시경제모형 재구축을 위한 연구", 한국개발연구원, ~, pp.연구자료 (2011)
- Barro, Robert J., "A Positive Theory of Monetary Policy in a Natural-Rate Model", Journal of Political Economy, 91(4), pp.589~610 (1983)
- Durrett, R, "Probability: Theory and Examples" (1996), Wadsworth
- Fama, Eugene F., "Efficient Capital Markets: A Review of Theory and Empirical Work", Journal of Finance, 25(2), pp.383~417 (1970)
- Gali, J., "Inflation Dynamics: A Structural Econometric Analysis", Journal of Monetary Economics, 44(2), pp.195~222 (1999)
- Gordon, Robert J., "The Time-varying NAIRU and Its Implication for Economic Policy", Journal of Economic Perspectives, 11(1), pp.11~32 (1997)
- Granger, C. W. J., "Spectral Analysis of New York Stock Market Prices", Kyklos, 16, pp.1~27 (1963)
- Laubach, Thomas, "Measuring the NAIRU: Evidence from Seven Economies", The Review of Economics and Statistics, 83(2), pp.218~231 (2001)
- Lee, Jaejoon, "Expectation Horizon and the Phillips Curve:The Solution to an Empirical Puzzle", Journal of Applied Econometrics, 22(1), pp.161~178 (2007)
- Lo.,rew W., "A Non-Random Walk Down Wall Street" (1999), Princeton University Press
- Malkiel, Burton G., "The Efficient Market Hypothesis and Its Critics", Journal of Economic Perspectives, 17(1), pp.59~82 (2003)
- Marcet, Albert., "Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information", Journal of Political Economy, 97(6), pp.1306~1322 (1989)
- Morley, Jamse C., "Why Are Beveridge-Nelson and Unobserved Component Decompositions of GDP So Different?", The Review of Economics and Statistics, 85(2), pp.235~243 (2003)
- Preston, Bruce, "Learning about Monetary Policy Rules When Long-horizon Expectations Matter", International Journal of Central Banking, 1(2), pp.81~126 (2005)
- Roberts, J. M., "New Keynesian Economics and the Phillips Curve", Journal of Money, Credit., Banking, 27(4), pp.975~984 (1995)
- Rudd, Jeremy., "New Tests of the New-Keynesian Phillips Curve", Journal of Monetary Economics, 52(6), pp.1167~1181 (2005)
- Samuelson, Paul A., "Proof that Properly Anticipated Prices Fluctuate Randomly", Industrial Management Review, 6(2), pp.41~49 (1965)
- Smith, Gregor W., "Pooling Forecasts in Linear Rational Expectations Models", Journal of Economic Dynamics And Control, 33(11), pp.1858~1866 (2009)