금융시장 마찰이 존재하는 소규모 개방경제모형을 이용한 대안적 통화정책 분석: 한국의 경우
Alternative Monetary Policy Rules in a Small Open Economy with Financial Frictions: The Case of Korea
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본고에서는 한국경제의 외부충격에 대한 대응능력을 분석하기 위해 먼저 Uribe and Yue(2006)가 제시한 VAR 모형을 이용하여 외환위기 이후 대외충격이 한국경제에 미치는 효과를 분석하였다. 이러한 한국경제의 특징을 반영할 수 있는 이론적 모형을 설정하여 대외충격 발생 시 바람직한 통화정책을 논의하였다. 특히 본고에서는 한국경제에 존재하는 다양한 시장 마찰적 요인을 이론적 모형에 반영하기 위해 가격 및 임금 경직성과 소비습관이 존재하는 다부문 소규모 개방경제모형에 Bernanke et al.(1999)의 금융시장 마찰을 도입하였다. 이러한 금융마찰이 존재하는 경제환경하에서는 환율변동을 통하여 외부충격을 흡수할 수 있는 변동환율제가 환율을 고정시키는 고정환율제보다 우월한 것으로 분석되었는데, 이는 한국경제가 경험한 1997년 및 2007년의 외환 및 금융위기와 유사하다. 한국과 같이 기업과 금융기관 간에 상당한 금융마찰이 존재하는 경제환경에 예상치 않은 신용스프레드 상승이 발생할 경우, 금융시장의 상황을 반영하여 이자율을 조정하는 정책이 여타 시행가능한 이자율 정책보다 사회후생 관점에서 한계적으로 우월한 것으로 분석되었다. 그러나 외환시장 상황을 반영하여 환율변동을 억제하는 이자율 정책은 바람직하지 않은 것으로 분석되었다. 마지막으로, 광의의 물가지수보다는 협의의 물가지수를 정책목표 변수에 포함시켜 이자율을 조절하는 정책이 경기변동완화와 사회후생 관점에서 바람직한 것으로 분석되었다.
Abstract
This paper first shows an empirical result of VAR that Korean economy has experienced an severe economic contraction to an exogenous country spread shock. To analyze the effect of alternative monetary policy on the economy, the paper sets up a multi-sector small open economy new Keynesian (NK hereafter) model with financial frictions due to asymmetric information between firms and financial intermediaries along the line of Bernanke et al. (1999). It shows that the small economy with financial frictions is more vulnerable to the exogenous shocks such as the foreign exchange rate shock under the fixed exchange rate regime than under the flexible exchange regime. It also shows that the interest rate rule that responds to financial market conditions is better than any other interest rate rules only if it dose not react to the exchange rate fluctuations. Moreover, an interest rate rule that responds to the exchange rate fluctuations, i.e. the monetary policy under the managed floating exchange rate regime is inferior to the monetary policy rules that do not respond to the exchange rate fluctuations. Finally, it shows that the monetary authority needs to stabilize a narrow price index such as domestic price index rather than a general price index such as consumer price index under the financial friction circumstances.
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