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한국의 월별 거시-금융 모형 추정

Estimating monthly Macro-Finance Model for Korea

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한국은행|2009.06|경제분석 (Economic Analysis)|제15권 제2호|pp. 1-53|DOI 10.23299/bokeri.2009.15.2.001

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참고문헌

키워드

통화정책이자율 기간구조Monetary PolicyTerm structureInflation target거시-금융 모형인플레이션 목표Macro-finance model
주제분류경제학

초록

본 연구는 새케인즈 이론과 No-arbitrage 조건하에서의 이자율 기간구조를 접목 시켜 월별 거시-금융(macro-finance) 모형을 도출하고 2001년 이후 한국 자료를 사용하여 모형을 추정하였다. 기존 선행연구와 차별적인 것은 모형을 월별 자료에 맞게 구성하고 이자율 기간구조의 정보를 효율적으로 사용하여 추정하였다는 것이 다. 또한 실제 이자율 기간구조와 모형에 의해 추정된 이자율 기간구조의 차이를 금융시장의 마찰적 요인과 해외 변수들을 사용하여 분석하였다. 추정 결과, 첫째, 모형이 기대가설 (Expectations Hypothesis)을 가정하고 있음에도 불구하고, 이자 율 기간구조를 매우 잘 설명한다는 것이다. 둘째, 이자율 기간구조의 평균적인 움 직임은 인플레이션에 대한 장기적 예측치, 또는 시장이 인식하는 인플레이션 목표 에 크게 의존한다는 점이다. 셋째, 장단기 이자율 스프레드는 주로 인플레이션 목 표의 변화와 통화정책 충격에 크게 의존한다는 점이다. 넷째, 실제 이자율 기간구 조와 모형에 의해 도출된 이자율 기간구조의 차이는 채권시장의 개인의 순매수, 그리고 환율 swap rate와 연관성이 있는 것으로 나타났으나 그 역할은 매우 제한 적이라는 것이다. 한편 한국의 통화정책은 외환위기 이후 인플레이션 경기 안정화 에 기여해 온 것으로 판단되지만 안정화의 정도는 선진국에 비해 다소 낮은 것으 로 나타났다.

Abstract

This paper derives a monthly macro-finance model under No-arbitrage condition in a general equilibrium setup for the Korean Economy since 2001. What differentiates this paper from the existing literature is that (1) the model is designed suitable for monthly data within a compact macro-finance framework and (2) it utilizes the overall term structure information not relying on yields of particular maturities. In addition, this paper attempts to identify the wedge between the actual term structure and the model-implied counterpart, utilizing the frictional factors not embedded in the model. Our estimation results can be summarized as follows. First, even under the Expectations-Hypothesis, the implied term structure matches the actual term structure remarkably well. Second, The average movement in the term structure is mostly accounted for by the expected long term inflation or inflation target. Third, the slope and the curvature of the term structure are influenced by the monetary policy, but not as important as the inflation target, which is in contrast to the empirical evidences observed in U.S. Forth, the difference between actual and implied term structure is small and it is partly correlated with transactions of individuals in the bond market and changes in foreign exchange swap rate. Finally, the weight of the monetary policy authority on inflation stabilization relative to output stabilization is smaller than that observed in U.S. or other industrialized countries, potentially reflecting that the Korean economy experienced sizable business fluctuation but quite stable inflation rates since 2001.

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