자본이동 확대에 따른 우리나라 통화정책의 유효성 점검
Capital flow and Monetary Policy Effectiveness in Korea
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초록
글로벌 금융연계성이 강화되는 가운데 주요국 통화정책의 국제적 영향도 확대되면서 개방경제국 통화정책의 유효성에 대한 논의가 활발해 지고 있다. 이에 본고는 소규모 개방경제 VAR 모형을 이용하여 글로벌 요인의 국내 금융 및 실물부문 파급영향과 국내 통화정책의 유효성을 분석하였다. 특히 본고에서는 이자율 기간구조 모형 등에서 확보한 통화정책 충격에 대한 정보를 이용하여 VAR 모형내 통화정책 충격 식별을 시도하였다. 분석결과, 미국의 완화적 통화정책충격은 국내 금융 및 실물부문에 유의한 경기확장적 영향을 미치고 있음을 확인할 수 있었다. 우리나라의 완화적 통화정책 충격에 대해서도 금융 및 실물변수들은 경기확장적 방향으로 유의하게 움직였다. 이 과정에서 외환부문은 대외충격을 흡수하는 역할을 하였다.
Abstract
As the financial linkages across countries have been gradually intensified and in turn the influence of global factors has persistently increased, there have been active debates on the monetary policy effectiveness in open economies. Bringing this issue into the Korean data, this paper examines the spillover effects of global factors triggered by US monetary policy changes, and the effectiveness of domestic monetary policy on domestic financial and real sectors with the help of an unified open economy VAR framework. In doing so, external instruments associated with policy shocks, which are extracted from the yield curves of the US and Korea, are employed to identify exogenous shocks. From the empirical analysis, I find that US monetary policy easing shocks have an expansionary effects on the financial and real sectors in Korea. In addition, those sectors respond in an expansionary direction to the lax Korean monetary policy shocks. During the process of transmissions, foreign exchange sector acts as a shock absorber. Finally, I also report the time varying properties of the responses by estimating a rolling VAR.
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