우리나라와 주요 OECD 국가간 인플레이션 격차의 원인
Inflation Differentials between Korea and 9 OECD Countries
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초록
본 논문은 우리나라를 비롯한 10개 OECD 국가 간에 인플레이션율이 격차를 나타내는 원인을 분석하였다. 2002년∼2010년을 대상기간으로 필립스곡선과 총수요함수를 시스템 GMM으로 추정하였는데 필립스곡선에서는 인플레이션 지속성, 산출갭률, 명목실효환율 변동률, 상대물가수준 등 모든 설명변수의 추정계수들이 올바른 부호를 가졌고 통계적으로도 유의하였다. 총수요함수의 경우 실질 정책금리가 금융위기 이전에는 시차를 두고 GDP갭률에 영향을 미쳤으나 금융위기 이후에는 영향력이 유의하지 못한 것으로 추정된 반면 실질실효환율은 금융위기 이후 GDP갭률에 영향을 미치는 것으로 나타났다. 한편 2010년중 우리나라의 인플레이션율이 10개국 평균보다 1.1% 포인트 높았는데 이는 인플레이션 지속성과 상대적으로 높았던 2009년의 GDP갭률에 주로 기인한 것이다. 반면 2010년중 명목실효환율은 10개국 평균보다 더 큰 폭으로 절상되어 인플레이션 격차를 축소시킨 요인으로 작용하였다.
Abstract
This paper analyses sources of the inflation differentials between Korea and 9 OECD countries: the G7, Australia and Spain. We estimate the backward-looking Phillips curve and aggregate demand equation for 10 OECD countries using the system GMM for the period of 2002-2010. In the Phillips curve, the estimated coefficients of inflation persistence, the output gap, the nominal effective exchange rate, and the comparative price level are both correctly signed and significant at the 1 percent level. In the aggregate demand equation, the policy interest rate influencing the GDP gap before the 2008 crisis appears to be insignificant after the crisis. The real effective exchange rate in contrast becomes significant after the crisis. The inflation differential between Korea and the average of the 10 OECD countries was 1.1 percentage point in 2010. The main sources of the differential were the relatively high inflation persistence and output gap of 2009 in Korea, compared to the averages of the 10 countries. However, the higher appreciation of the Korea Won has contributed to reducing the inflation differential.
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