정부부채와 금융시장의 관계
Public Debt and Financial Markets
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초록
불완전 시장 하에서 국채공급의 증가는 소비자의 위험 헷징 능력을 제고하고, 이는 다시 위험자산 투자 증가로 이어질 개연성이 있다. 본 연구에서는 2 세대 중첩세대 동태 확률적 일반균형모형을 기반으로 하여 정부부채 증가에 따른 국채공급의 증가가 민간 위험자산시장에 미치는 영향에 대한 이론적 논의를 진행한다. 그에 따르면 정부부채가 일정 규모이하(이상)인 경우 정부부채의 증가에 따른 국채공급의 증가는 민간자본시장을 키우는(위축시키는) 효과를 가진다는 결과를 도출할 수 있다. 이는 정부부문의 증가에 따른 구축효과와 무위험 자산인 국채의 공급으로 인한 보험효과가 대립되는 가운데, 양자의 크기가 정부부채의 규모에 따라달라지기 때문인 것으로 해석된다.
Abstract
This paper aims to explore the consequences of government deficit on the financial market. In an incomplete market, the increased government bond,which is generally accepted as a risk-free asset, tends to enhance the hedging capacity of consumers and may induce them to take a greater position of the private risky asset. The paper, based on a stochastic general equilibrium model with two overlapping generations, delivers theoretical discussions on this issue. It identifies a threshold, below(above) which increase in the government debt is likely to enlarge(shrink) the market for private capital.
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