우리나라 인플레이션의 지속성
Inflation Persistence in Korea
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참고문헌
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초록
본고에서는 우리나라 인플레이션 지속성의 수준과 특성을 다양한 지표, 하위항목, 해외부문의 영향 등의 측면에서 살펴보았다. 자기회귀모형의 계수합을 지속성지수로 간주하고 2000.1/4∼2011.4/4를 표본기간으로 지속성을 추정한 결과 소비자물가상승률의 경우 0에 가깝게 나타나 지속성이 거의 없으며 근원인플레이션은 0.6 정도로 추정되어 충격이 1/4 이하로 축소되는 데 약 3분기 정도 걸리는 것으로 나타났다. 인플레이션 지속성은 국가별로 차이가 크지만 일반적으로 선진국이 신흥시장국에 비해 낮은 것으로 알려져 있는데 우리나라의 경우 미국과 비슷한 수준으로 나타났다. 또한 2007년 이후 인플레이션율이 크게 변동하였음에도 불구하고 인플레이션의 지속성은 안정적인 것으로 나타났다. 한편 소비자물가지수를 구성하는 하위항목의 지속성은 항목별로 큰 차이를 보이고 있는 것으로 나타났다.
Abstract
This paper examines inflation persistence in Korea from various aspects; CPI and the core inflation, their sub-components, and the pass-through effects of import goods. Some international comparisons are presented and the sources for the persistence are analyzed by a vector autoregressive (VAR) model. And the structural changes in the persistence are also investigated thoroughly. Persistence indices were estimated as the sum of autoregressive coefficients by the grid bootstrap method of Hansen (1999). During the period of 2000-2011, the persistence index for the quarterly CPI inflation turned out to be almost 0, suggesting no persistence. On the other hand, the index for the core inflation has been stable since 1990 at the level of 0.6. Meanwhile, the persistences of CPI components show significant differences one another.
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