자금조달제약 하의 투자기회 변동과 경기순환
Investment Opportunity Shifts, Funding Constraints, and Business Fluctuations
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초록
이 모형연구는 투자기회의 외생적 변동이 자금조달제약과의 상호작용을 통해 경기순환과정에 잠재적으로 미칠 수 있는 영향을 조명한다. 이를 위해 자본재 생산과 관련된 투자기회의 수준 충격과 분산 충격을 2부문 모형의 틀 안에서 정의한다. 모형에 새롭게 반영된 투자기회 충격은 총요소생산성이 일정하더라도 소비의 투자로의 대체를 유발해 투자 변동을 야기하는 점에서 생산성충격에 대해 독립적이다. 충격반응분석 결과는 생산성충격과 투자기회 충격이 경기변동효과에 있어 뚜렷한 차이점이 있음을 시사한다. 투자기회 충격의 효과는 투자기회의 비대칭성이 클수록 증폭되고 그 지속성이 강화되는 것으로 나타났다. 또한 투자기회의 비대칭적 실현에 따른 저축자와 투자자 사이의 부의 재분배와 함께 금융마찰요인인 외부자금조달제약이 투자기회 충격의 파급에 있어 중요한 역할을 하는 것으로 분석되었다.
Abstract
This modelling research explores the potential effects on business fluctuations of exogenous shifts in investment opportunities under financial constraints. To this end, this paper newly defines, within the framework of two-sector model, the concepts of "level shock" and "variation shock" of investment opportunities, both inherent in the capital-good producing sector. These shifts are orthogonal to the typical total factor productivity shock in the consumption-good producing sector, in the sense that the former may drive changes in investment through substitutions between consumption and investment in the absence of the latter. Impulse-response analyses reveal that investment opportunity shifts are clearly distinct from the usual productivity shifts concerning the business cycle effects. Both the redistribution of wealth between savers and investors and the constraints on outside funding seem to play important roles in the propagation of investment opportunity shifts. Also it is found that the effects of the shifts are more amplified and to become more persistent when the asymmetry in investment opportunities among entrepreneurs are more severe.
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