우리나라의 근원인플레이션 지표 분석
Analysis on Various Core Inflation Indices in Korea
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참고문헌
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초록
본 연구에서는 다양한 근원인플레이션 지표를 분석하여 통화정책 운영 시 참고할 수 있는 우수한 근원인플레이션 지표를 제시하고자 한다. 분석 대상 지표로는 현재 통계청에서 발표 중인 농산물·석유류제외지수와 식료품·에너지제외지수뿐만 아니라, 농산물·석유류·공공서비스제외지수, 식료품·에너지·공공서비스제외지수, 조정평균지수, 가중평균지수를 이용하였다. 동 근원인플레이션 지표를 대상으로 소비자물가에 대한 예측력, 소비자물가 상승률의 근원인플레이션 수렴 여부, 국내 경기와의 연계성 측면에서 분석하였다. 분석 결과, 소비자물가 예측력 측면에서는 식료품·에너지제외지수가, 소비자물가 상승률의 수렴 여부 측면에서는 식료품·에너지제외지수와 식료품·에너지·공공서비스제외지수가 우수한 것으로 분석되었다. 소비자물가의 수렴 여부 측면에서는 농산물·석유류·공공서비스제외지수가 우수한 것으로 나타났다. 경기와의 연계성 측면에서는 대부분의 근원인플레이션 지표가 만족하는 것으로 나타났으나, 2010년 이후를 대상으로 한 분석에서는 경기와의 연계성이 높은 근원인플레이션 지표는 없는 것으로 나타났다.
Abstract
This paper analyzes various core inflation indices in Korea and suggests a good core inflation index which can be utilized when the central bank conducts the monetary policy. The core inflation indices for the analysis are the consumer price index (CPI) excluding agricultural products, oils, and public services, the CPI excluding food, energy, and public services, symmetric and asymmetric trimmed mean, median, and weighted median as well as the CPI excluding agricultural products and oils, the CPI excluding food and energy which are officially released by Statistic Korea. I analyze these indices from the perspectives of the ability of forecasting CPI, the convergence of the CPI inflation to the core inflation, and the correlation between the core inflation indices and the business cycle. I find that the CPI excluding food and energy and the CPI excluding food, energy, and public services are better than other indices in terms of the forecasting ability. Regarding the convergence to the core inflation, the CPI excluding agricultural products, oils, and public services is the best. Lastly, most of the core inflation indices show a correlation with the business cycle for the whole analysis period. However, no indices are highly correlated with the business cycle after 2010.
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