미국 통화정책, 중앙은행 정보 및 금융 충격이 국내 거시경제에 미치는 영향: 내러티브 부호 제약 SVAR 모형
Inquiry on the transmission of U.S. structural shocks to Korea: A SVAR approach with narrative sign restrictions
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초록
본고는 SVAR 모형 분석을 통하여 미국의 통화정책, 중앙은행 정보 및 금융 부문에 오는 충격이 미국과 한국의 거시변수에 미치는 영향을 분석하였다. 구조 충격의 식별을 위해서 부호 제약 (sign restrictions)과 내러티브 부호 제약 (narrative sign restrictions)을 함께 부여하였다. 베이지안 방법으로 구조벡터자기회귀 모형 (structural vector autoregressive models)을 추정한 결과에 의하면 부호 제약과 함께 내러티브 부호 제약이 부과되는 경우 우리나라 산출, 물가 및 신용스프레드에 관한 SVAR 모형의 추론과 분석이 정교화될 수 있다.
Abstract
This paper estimates structural vector autoregressive models to analyze the effects of U.Sstructural shocks on the macroeconomic variables of Korea. Monetary policy, central bank information, and financial shocks are identified by imposing sign restrictions and narrative sign restrictions. The impulse response functions and historical decompositions show that the inference of SVARs can be improved for some Korean macroeconomic variables such as industrial production, interest rate, and credit spread.
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