유동성제약과 경기변동
Liquidity Constraints and Business Cycles
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본연구는자산시장유동성이실물경제자원배분에미칠수있는 영향을 규명하려는 Kiyotaki and Moore (2001, 2008, 2012) 모형의 정량적 특성을 투자 기회의 재분배 효과에 초점을 맞추어 분석한다. 모형에서유동성제약은 외생적인 유동성충격의 실물경제에 대한 영향을 전달하는파급경로로서역할하며투자기회의실현에따른투자자와저축자간순자산의재분배가크게나타날수록유동성충격의이와같은효과가증폭되는것으로 분석되었다. 다만 발행시장과 유통시장 각각에 대응하는 두 가지유형의 유동성충격 가운데 유통시장 유동성충격의 경우 경기변동 요인으로서의 정량적인 중요성이 상대적으로 뚜렷하지 않았다. 한편 모형에서유동성충격에대해자산가격과소비가증가하는현상은기존연구에서주목된문제점으로서본연구에서는이를두가지유형의유동성충격모두에대해 확인할 수 있었다. 보다 중요하게 본 연구는 모형에서 유동성프리미엄이 유동성경색만이 아니라 양의 생산성충격에 대해서도 상승 반응하며경기순응성을 갖는문제점을 새롭게발견하였다.
Abstract
This paper studies quantitative properties of the models of Kiyotaki and Moore (2001, 2008, 2012) which investigate propagation mechanism through which asset market liquidity affects real economy. The distinct analytical focus in this paper is on the effects of redistribution of wealth between agents due to investment opportunities. Under binding liquidity constraints faced by investors, the impacts of liquidity crunch are propagated to real economy via investment shrinkage. Numerical analyses reveal that the effects of liquidity shocks are amplified when the redistribution of wealth are more prominent. However, liquidity shocks in the secondary market, i.e., in the resaleability of assets, do not seem to be quantitatively significant driving forces of business cycles, at least compared to the ones in the primary market. This study confirmed the negatively correlated responses to liquidity shocks between investment and asset prices, and between investment and consumption, which are already pointed out in the literature. More importantly, this study newly found that liquidity premium in the model positively responded not only to liquidity crunch but also to positive productivity shocks. This pro-cyclicality of liquidity premium needs careful considerations since it can be another arguable defect of the model.
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