통화정책과 은행의 역할: 은행부문이 포함된 DSGE 모형에서 통화정책 대응 분석을 중심으로
The Role of Money and Banking in Monetary Policy: Does It Matter Quantitatively for the Korean Economy?
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본고는 통화수요와 은행부문을 고려한 폐쇄경제 동태일반균형(DSGE) 모형을 이용하여 물가안정목표제하에서 정책금리 인하, 재화생산 관련 생산성 향상, 담보용 자산가격 하락 등 외생적 충격이 발생할 때 통화당국이 인플레이션 안정 등을 위해 정책금리를 조절하여 대응하는 과정에서 은행의 역할이 이를 고려하지 않을 때에 비해 정량적(quantitatively)으로 어느 정도 중요한지를 분석하였다. 분석결과 통화당국이 은행의 역할을 감안하지 않고 경제상황을 판단하여 정책을 수행하면 최근 글로벌 금융위기 등 외생적 충격이 발생할 때 거시경제의 안정을 위해 정책금리 조절을 통해 대응하더라도 생산, 인플레이션 등 주요 목표변수의 당초 의도한 수준을 달성하지 못하는 정책오류를 범할 수 있다는 점을 시사하고 있다. 특히 정책금리 조절을 통해 물가안정목표제를 운용하는 경우에도 신용량(통화량) 변동에 적극 대응할수록 거시경제 안정 및 사회후생 증대를 보다 효과적으로 달성하는 것으로 나타났다.
Abstract
The novelty of the model is the embedding into a variant of the standard monetary general equilibrium framework of a micro-founded banking sector motivated by Goodfriend and McCallum (2007, GM henceforth), which allows for the presence of an external finance premium as a source of business fluctuations. A closed economy DSGE model is implemented quantitatively by applying the Bayesian likelihood approach, with calibration based on the Korean data. The presence of the external finance premium in the model turns out to matter quantitatively for the transmission of monetary policy, due to the potential for amplification of the real effects of expansionary monetary policy through a countercyclical banking "accelerator." Meanwhile the magnitude and persistence of the real effects are relatively weaker than those in Christiano, Eichenbaum and Evans (2005) and others, owing to the presence of a banking "attenuator" at work to attenuate the accelerator effect as in GM (2007). As another experiment, the desired monetary policy responses to a positive goods productivity shock and a negative collateral shock are compared to what is required when a central bank does not consider the effect of the presence of banking. The results reveal that, in order to stabilize modest deflation, monetary policy needs to be more accommodative in response to each shock than what is implied in the model without a banking sector. Finally, among the relative welfare performances of alternative monetary policy rules that include financial variables such as credit aggregates and asset prices as independent arguments in a standard Taylor rule (including output gap), we find that the central bank invariably attains a lower level of loss, and thereby stabilization gain, when responding positively to credit aggregates than it does when responding to other financial variables. The evidence provides renewed insight on the potential benefits of considering credit (monetary) aggregates in the interest rate policy actions.
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