부채누증 속도 및 누증 정도에 대한 정보를 이용한 과다부채⋅실물경제간 관계 분석
Effects of Household Over-indebtbess on Real Economy: An Empirical Analysis Using New Measures
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초록
가계부채는 부채수준 과다 여부 또는 부채증가 속도에 따라 실물경제에 긍정적 또는 부정적 영향을 미칠 수 있으나 부채비율 수준 또는 부채비율의 증감 자체로는 이러한 비선형성을 분석하는데 제약이 있다. 본고에서는 가계부채의 과다 정도를 적절히 나타낼 수 있는 지표를 제시하고 이를 통해 판단한 과다 부채가 실물경제에 미치는 영향을 검토하였다. 과다 부채는 합리적 버블이론에 근거한 부채증가 속도 및 장기균형 수준으로부터의 괴리 정도 등에 기반하여 두가지 형태로 제시하였다. 소비함수 추정결과 정의 영향을 미치는 단순 부채비율과 달리 부채 누증은 시차를 두고 소비와 성장을 유의적으로 위축시키며 금리민감도도 크게 확대시키는 것으로 나타났다. 또한 벡터자기회귀모형을 이용한 충격반응 분석결과 과다 부채가 거시경제의 불확실성을 확대시키는 효과도 큰 것으로 나타났다.
Abstract
This paper examines the effects of household over-indebtness on real economy. We fist develop new indicators of aggregate household over-indebtness called , which measures the excess credit-to-GDP ratio that are greater than the market fundamental level. Two measures are provided based on the rational bubble theory and on the cointegrations respectively. We then estimate consumption equation and perform the impulse response analysis. The empirical analysis shows that an increase in household overindebtness decreases consumption growth as well as an increase in macroeconomic uncertainty, which cause decline in GDP growth.
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