신용공급 충격이 재화별 소비에 미치는 영향
The Effects of Credit Supply Shocks on Durable and Nondurable Consumption
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본고는 가계의 차입이 담보자산(내구재)에 의해 제약되는 two-sector 뉴케인지언모형에서 신용공급 충격(LTV비율 충격)시 VAR 분석과 같이 소비재간(내구재 및비내구재) 공행성(comovement)을 위해서는 모형에 임금 경직성을 도입할 필요가있음을 보이고 있다. 임금이 신축적인 경우 부정적 신용공급 충격시 비내구재생산은 감소하나 내구재 생산은 오히려 증가하는 공행성 문제(comovement problem) 뿐만 아니라 총생산도 증가하는 것으로 나타났다. 그러나 임금 경직성을 모형에도입할 경우 신용공급 충격에 대해 총노동이 감소하면서 비내구재뿐만 아니라내구재 생산도 감소하여 공행성 문제가 발생하지 않는 것으로 나타났다. 임금경직성 정도가 모형의 결과에 영향을 미치는지 확인하기 위해 민감성 분석을실시한 결과 임금 경직성이 낮은 경우에도 신용공급 충격에 대해 내구재 및비내구재 생산이 감소하는 결과는 바뀌지 않는 것으로 나타났으며 임금이경직적인 경우에는 내구재 가격이 경직적이라도 공행성 문제는 나타나지 않고있다.
Abstract
This paper shows the role of wage stickiness in the transmission of credit supply shocks in a two-sector New Keynesian model with a collateral constraint. In the vector autoregression analysis, durable and nondurable goods comove in response to a credit supply shock. However, in a two-sector New Keynesian model with flexible wages, the output of nondurables decreases, whereas the output of durables and total output increase in response to a negative credit supply shock. Therefore, the comovement problem in a two-sector New Keynesian model arises in response to a credit supply shock. If we introduce nominal wage stickiness, the output of nondurables and durables decrease together and, as a result, total output also falls. This result is robust to the degree of wage stickiness and to durable price stickiness. The share of borrowers also does not influence the main result.
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