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고빈도 데이터를 활용한 한국의 통화정책 충격 식별 -통화정책에 담긴 중앙은행 정보효과를 중심으로-

Identifying Monetary Policy Shocks Using High Frequency Data: Evidence from Korea -Focusing on the Central Bank Information Effect Contained in Monetary Policy-

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주제분류경제학

초록

본 논문은 한국은행 기준금리 공표 당일 금융시장의 일중 고빈도 데이터를 이용해 통화정책의 파급효과를 분석한다. 이를 위해 한국은행 기준금리 공표 직후 금융시장에서 발생한 서프라이즈(Surprise)를 추출하고 Jarociński and Karadi (2020)를 참고해 서프라이즈 가운데 중앙은행 정보효과(Central Bank Information Effect)에 기인한 부분을 제거하여 통화정책 충격을 식별한다. VAR 모형 분석 결과 긴축적 통화정책 충격은 실물경제를 수축시킨 반면 정보충격은실물경제를 확장시킨 것으로 나타났다. 이와 같은 결과는 글로벌 금융위기 이후제기된 금리중시 통화정책 체계에 대한 회의적인 견해에도 불구하고 한국에서 통화정책의 파급경로가 여전히 유효하다는 것을 의미한다.

Abstract

This paper analyzes the effect of monetary policy using high frequency data of the financial market on the day of the Bank of Korea MPB's policy-setting meetings. We calculated “Surprise” of the financial market which occurred immediately after the announcement of the Bank of Korea Base Rate. Then we identified monetary policy shocks by purging the “Central Bank Information Effect” from the Surprise following Jarociński and Karadi (2020). We found that the monetary policy shock contracted the real economy, while the information shock expanded the real economy. These results imply that despite concerns about the effect of monetary policy raised after the Global Financial Crisis, the transmission of monetary policy in Korea is still valid.

참고문헌 (53)

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