비용상승 충격의 불확실성과 통화정책
Cost-push Shock Volatility and Monetary Policy
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초록
본 논문은 비용상승 충격의 변동성이 증가할 경우 인플레이션과 생산 그리고 금리가 어떠한 반응을 보이는지를 분석하고 있다. 이론모형에 의한 분석결과 비용상승 충격의 변동성이 증가하면 인플레이션이 증가하고 그에 따라 생산이 감소하며 이러한 두 효과가 결합되어 최종적으로 명목금리는 상승하는 것으로 나타났다. 즉 비용상승 충격의 변동성이 증가하면 최초의 비용상승 충격 효과가 더 증폭되는 것이다. 이는 비용상승 충격의 불확실성이 증가할 경우 예상되는 미래의 이윤감소를 상쇄하기 위하여 기업들이 이번 기의 제품가격을 인상하게 되고 그에 따라 인플레이션이 증가하기 때문이다. 한편 중앙은행이 인플레이션에 보다 적극적으로 대응할 경우 인플레이션의 변동성이 감소하게 되고 그에 따라 미래물가에 대한 불확실성도 감소하므로 비용상승 충격의 변동성 증가로 인한 인플레이션 상승효과를 상쇄시킬 수 있는 것으로 나타났다.
Abstract
This paper examines the effects of cost-push shock volatility on inflation, output, and interest rates. A small open economy model shows that time-varying volatility of cost-push shock leads to an increase in inflation and a subsequent decrease in output, and the combined effects on inflation and output, consequently, cause interest rates to rise. This is because domestic producers, who want to compensate for the possible loss of future profit due to the increased uncertainty, set this period’s price higher. This paper also exhibits that a more inflation-oriented monetary policy counteracts this volatility effect of cost-push shock by reducing the inflation uncertainty.
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