소규모 개방경제의 특성을 고려한중립적 실질금리 추정 및 변동요인 분석
Estimating the Neutral Real Interest Rate (NRIR) and Analyzing Factors of its Fluctuation in Korea
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초록
중립적 실질금리(NRIR: neutral real interest rate)는 중·장기 시계에서 실제GDP가 잠재GDP 수준과 일치하고 인플레이션 압력이 안정된 상황에서의 균형실질정책금리 수준을 의미한다. NRIR은 통화정책의 주요 수단이 통화량에서 금리로 전환된 이후 통화정책 기조를 판단하는 중요한 잣대로 활용되고 있다. 본고에서는 소규모 개방경제의 현실을 고려한 준구조모형을 설정하여 우리나라의 NRIR을 추정하고 변동요인을 분석하였다. 분석결과 우리나라의 중립적 실질금리는 순수 폐쇄경제 또는 자본이동이 완전한 소규모 개방경제를 전제하는 방식으로는 식별되지 못하며 제한적 자본이동 및 자국편향(home bias) 등 중간단계의 현실을 반영해야 식별 가능한 것으로 나타났다. 또한 우리나라의 NRIR은 외환위기 이전 6∼9% 수준에서 2000년대 들어 2% 내외 수준까지 큰 폭으로 하락하였고 글로벌 금융위기 이후에도 추가적으로 낮아졌을 가능성이 높은 것으로 추정되었다. 이처럼 NRIR이 빠른 속도로 하락한 것은 외환위기 이후 잠재성장률이 큰 폭으로 하락한 데다 경상수지 흑자기조에 따른 환율절상 기대 등의 영향으로 저금리의 글로벌 자금이 유입되었기 때문으로 분석된다. 아울러 글로벌 금융위기 이후에는 선진국 경제의 잠재성장률 하락이 상당히 작용하고 있는 것으로 보인다.
Abstract
Since central bank changed its policy instrument from the quantity of money to interest rate, the neutral real interest rate (NRIR) has been used as an important benchmark for assessing monetary policy stance. In this paper, we estimate the NRIR in Korea with the semi-structural model proposed by Laubach & Williams (2003), but extend the original model into a small open economy version which uses modified interest parity condition and reflects global investors’ behavior. Model evaluation indicates that the NRIR in Korea can be identified by the model to consider the economic characteristics of realistic small open economy such as imperfect capital mobility, home bias, etc., rather than by the model to assume purely closed or perfectly-open economy. We also find that the NRIR in Korea has fallen since the Asian crisis because of a decline in the potential growth rate (domestic factor) and the long-standing current account surplus (country-specific factor) which forms expectations of domestic currency appreciation and lowers country risk premium. In addition, the NRIR in Korea has possibly fallen further after the global financial crisis because weakened economic growth potential of developed countries affect that of South Korea (global factor).
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