명목임금 하방경직성과 통화정책 효과의 비대칭성
Downward Nominal Wage Rigidity and Asymmetric Effects of Monetary Policy
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초록
본 연구는 긴축적 통화정책 충격과 완화적 통화정책 충격의 효과가 비대칭적이라는 실증연구에 기반하여 명목임금의 하방경직성이 비대칭적 통화정책 효과를 가져오는 원인의 하나가 될 수 있음을 주택부문이 포함된 뉴케인지언 two sector DSGE 모형을 통해 보이고 있다. 모형의 모수를 모의적률법(simulated method of moments)을 이용하여 추정한 결과 명목임금의 하방경직성과 관련한 모수가 통계적으로 유의하게 추정되었으며 긴축적 및 완화적 통화정책 충격에 대한 경제변수들의 반응이 비대칭적으로 나타났다. 명목임금이 하방경직적인 경우 긴축적 통화정책 충격시 소비재 및 주택(내구재)투자의 감소폭이 완화적 통화정책 충격에 비해 크게 나타나는데 이는 명목임금의 하방경직성으로 인하여 실질임금 감소폭이 크지 않아 노동이 명목임금 경직성이 대칭적인 경우에 비해 크게 감소하기 때문이다. 또한 주택투자와 소비재간에는 주택투자의 비대칭성이 소비재에 비해 더 크게 나타나는데 이는 긴축적 통화정책 충격시 상대가격 변화폭이 작아 소비는 크게 반응하지 않고 노동 감소가 주택(내구재)산업 부문에서 주로 일어나기 때문이다.
Abstract
This paper shows that downward nominal wage rigidity can be a reason of asymmetric effects of monetary policy using a two sector DSGE model consisted of consumption sector and housing sector. We estimate the degree of downward nominal wage rigidity with other parameters, using simulated method of moments. We find that the parameter for downward nominal wage rigidity is statistically significant and the impulse responses of consumption and housing investment are asymmetric to the monetary policy shocks. When nominal wage is downward rigid, the magnitude of responses of consumption and investment to positive monetary policy shock is much larger than that to negative shock. This is due to, when monetary policy is tightened, the real wage doesn’t decrease very much so the labor supply decrease a lot compared to symmetric wage rigidity. In addition, the asymmetric response of housing investment is much larger than consumption. It is because the change of relative price is small with positive monetary shock. Small change of relative price induces the consumption to vary small magnitude. Consequently, a significant decrease of total labor supply and a small change of labor in consumption sector with positive shock results in a large decrease of labor in housing sector.
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