베이지안 모형평균법을 이용한 경상수지 벤치마크 추정
Estimation of Current Account Benchmarks via Bayesian Model Averaging
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초록
본고의 목적은 경상수지 불균형 혹은 지속가능성의 평가 기준으로 이용되고 있는 경상수지 벤치마크를 추정하는 데 있으며, 추정방법으로는 경상수지 벤치마크 추정 모형의 불확실성이 높다는 점을 감안하여 베이지안 모형평균법(Bayesian Model Averaging)을 채택하였다. 추정 결과 우리나라의 경상수지 벤치마크는 2000년 이후 2.2~2.6%의 좁은 구간 내에서 등락하는 안정적 흐름을 보였다. 경상수지 갭, 즉 실제 경상수지와 경상수지 벤치마크간의 차이로 측정한 경상수지 불균형은 주로 강력한 부(-)의 대외충격이 도래한 시기에 확대되었다가 국내외 경기가 동반 상승하면서 축소되는 경향을 보였다. 이는 중기적 시계에서 거시경제의 안정적 성장에 기여하는 정책을 통해 불균형의 자연스러운 해소를 유도하는 것이 단기에 경상수지 흑자를 축소시키는 것만을 목표로 하는 정책보다 바람직함을 시사한다. 한편 베이지안 모형평균법으로 추정한 경상수지 벤치마크와 고전적 추정방법을 이용하여 추정한 벤치마크를 비교하면, 전자가 상대적으로 더 안정적인 흐름을 보인다는 점에서 벤치마크의 개념 및 기존 추정결과에 보다 부합하는 것으로 나타났다.
Abstract
The aim of this paper lies in estimating the current account benchmarks for Korea to be employed for assessing imbalances and sustainability of the current account balance. As the model uncertainty involved in the estimation is considerable, Bayesian model averaging(BMA) is chosen as a estimation method. The estimated current account benchmarks have shown a stable path while varying within a narrow interval between 2.2% and 2.6%. The current account imbalances, assessed by the estimation results, tend to expand on the arrival of forceful negative shocks from abroad and then contract with the global and domestic economies improving in tandem. This analysis implies that it is desirable to induce the imbalances to dwindle naturally through implementing policies to contribute to a stable growth of macroeconomy in the medium-term horizon rather than the ones targeting only curtailment of current account surplus in the short-term. Comparing the current account benchmark estimated via BMA and the one via classical inference, the former proves to be more consistent with the concept of benchmark and existing estimation results in the literature in that it shows a more stable path.
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