해외공급충격과 개방경제의 최적금리준칙
External Supply Shocks and the Optimal Interest Rate Rule in an Open Economy
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초록
수입원자재 가격의 상승과 같은 해외 공급충격 발생시 인플레이션과 총생산이 반대방향으로 움직이므로 통화당국은 물가안정과 경기안정이라는 두 정책목표가 상충하는 어려움에 직면하게 된다. 본고는 소규모 개방경제의 특징을 반영하는 새케인지안 모형을 이용하여 해외 공급충격에 대응한 통화당국의 최적 금리준칙을 사회후생 극대화 관점에서 도출하였다. 모형구축에 있어 불완전경쟁과 명목가격 경직성 등 기존의 새케인지안 모형의 특징뿐만 아니라 우리나라 경제구조에 부합하도록 국내중간재와 수입원자재간 낮은 대체탄력성, 수출입가격 설정의 비대칭성 등을 추가로 고려하였다. 분석결과에 따르면 수입재 국제가격의 불확실성이 높아진 상황에서의 최적 금리준칙은 인플레이션과 생산갭 계수를 각각 3.1과 1.1로 설정하는 것으로 나타났다. 이는 인플레이션과 생산갭을 함께 고려하여 대응하되 인플레이션에 보다 중점을 두는 금리준칙이 최적임을 의미한다. 또한 공급충격의 지속성이 커지거나 불확실성이 확대될수록 인플레이션에 대한 대응을 강화하는 것이 사회후생 측면에서 바람직한 것으로 분석되었다. 나아가 수입재 가격상승이 거시경제변수에 미치는 영향을 충격반응 분석을 통해 살펴보면, 최적 금리준칙을 수행할 경우 공급충격 직후 금리가 상승함으로써 인플레이션이 안정되고 생산, 소비 등 실물부문도 점진적으로 회복되는 것으로 나타났다. 이러한 분석결과는 해외 공급충격 발생시 충격의 강도, 불확실성 및 지속가능성 등에 대한 정확한 이해와 판단을 바탕으로 체계적이고 명시적인 통화정책을 수행할 경우 경제에 대한 부정적 영향을 최소화할 수 있음을 시사한다.
Abstract
Inflation and output move in opposite directions under an external supply shock such as a rise in imported raw material prices. Because of this conflicting movement, the monetary authority confronts a difficulty that two of its policy goals - between price and economic stability - are in conflict. The paper attempts to derive the optimal interest rate rule of the monetary authority responding to the external supply shock from the perspective of maximizing social welfare, using a New Keynesian model. In constructing the model, the paper takes into account the characteristics of the standard new open economy macroeconomic model, such as imperfect competition and nominal price rigidity. In addition, the research takes account of the low elasticity of substitution between domestic intermediate goods and imported raw materials, and the asymmetry of price-setting between import and export goods so that the model conforms with the Korean economic structure. According to the analysis, the optimal interest rate rule, under circumstances where the uncertainty of international prices of imported goods mounts higher, sets inflation and output coefficients at 3.1 and 1.1, respectively. This signifies that an interest rate rule putting more weight on inflation can be optimal while taking into account inflation and the output gap at the same time. As the sustainability or uncertainty of the supply shock becomes greater, moreover, strengthening the response to inflation is analyzed to be desirable from the social welfare aspect. Furthermore, the effects of the rise in imported raw material prices on macroeconomic variables are examined via an impulse response analysis. When the optimal interest rate rule is followed, interest rates increase after the supply shock and then inflation stabilizes. As a result, the real sector such as production and consumption appears to recover gradually. The result implies that under an external supply shock, the monetary authority should conduct a systematic and explicit monetary policy based upon accurate understanding and judgement as to the degree, uncertainty and sustainability of the shock. In this case, the negative effects of the shock on the economy can be minimize.
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