고용지표의 유용성: 인플레이션 예측력을중심으로
In Search of Better Labor-Market Indicators: Assessment of Inflation Predictability
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초록
본고는 인플레이션 정보변수로서 실업률 등 일반적 고용지표를 보완하는 대안적 지표를모색하고 필립스곡선 모형을 통한 인플레이션 예측력을 기준으로 그 유용성을 평가하였다. 대안적 고용지표로는 확장실업지표인 U6 및 불완전취업자, 실질한계비용의 결정요인인 실질임금, 단위노동비용 및 노동소득분배율 그리고 고용유량변수로서 기업경기실사지수 중 인력사정지수, 퇴직·해고율, 신규채용률 및 Shimer(2012)의 방법에 따라 추정한 정상상태 실업률 등을 고려하였으며, 자기회귀모형 대비 예측력을 기준으로 실업률, 고용률 등일반적인 고용지표와 비교하였다. 평가 결과, U6 및 불완전취업자, 실질임금, BSI 인력사정지수, 퇴직·해고율 및 정상상태실업률 등에서 예측력이 뚜렷이 제고되었으며, 근원 인플레이션보다는 전체 인플레이션에서 그리고 개별예측보다는 결합예측에 있어서 예측력 제고 효과가 두드러졌다. 대안적 지표의 예측력 제고 효과는 경제의 자원활용도 및 노동시장의 경색 정도 등을 보다 잘 반영하는 본질적 특성과 함께 이들 지표들이 공통적으로 가지는 인플레이션에 대한 뚜렷한 선행성에서도 기인하는 것으로 평가된다. 아울러 대부분의 대안적 지표들은 실물경제활동에대한 설명력에 있어 실업률보다 우수한 것으로 나타났다.
Abstract
Applying the Stock and Watson’s (1999) Phillips curve forecasting model to theKorean quarterly data (1985Q1-2011Q4), we assess the performances of theconventional employment and alternative labor-market indicators for forecasting CPIinflation over the last 10 years (2002Q1-2011Q4). As for the alternative indicators,we select a few concepts of extended unemployment (U6 and the underemployed),main determinants of real marginal cost (real wage, unit labor cost, and labor shareof income), and some labor-flow indicators (Shimer’s (2012) conditional steady-stateunemployment, BSI (labor force), and hiring or quit/layoff rate, etc.). Main findings are as follows: the conventional employment indicators, such asthe official unemployment rate, do not improve the model's forecastingperformance significantly when compared with the naive AR model. Contrarily,we find that most of the alternative indicators―such as U6, the underemployed,real wage, BSI (labor force), quit/layoff rate, and the steady-state unemployment―significantly enhance the forecasting power of the otherwise traditional Phillipscurve model. This improvement in forecasting performances is more striking whenwe forecast headline CPI rather than core CPI, and the indicators forecast inflationjointly rather than individually. The better performance of the alternative indicatorsis mainly due to their leading correlation with inflation and real activity as wellas their theoretical superiority as a measure of resource utilization or labor markettightness. Moreover, most of those alternative indicators also exhibit moreprominent pro-cyclicality than the official unemployment rate does.
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