금리정책의 국제공조가 국내 거시경제변수에 미치는 영향
The Effect of International Cooperation of Interest Rate Policy on Domestic Macroeconomic Variables
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본 연구에서는 VAR 모형과 Jorda(2005)의 국소투영모형에 의한 충격반응함수를 이용하여 국내외 금리정책의 공조가 주요 국내 거시경제변수에 미치는 영향을 동태적으로 분석하였다. 국소투영 모형의 충격반응분석결과 미국과 한국이 금리를 동시에 인상하는 경우 소비자물가는 하락하나 산업생산과 원/달러환율에 대한 효과는 명확하지 않다. 반면 양국이 금리를 동시에 하락시키는 경우에는 산업생산과 소비자물가, 그리고 원/달러환율 모두 상승한다, 전반적으로 금리인상에 따른 산업생산과 물가의 반응은 금리인하의 경우보다 느리게 나타난다. 물가의 반응 또한 금리인상시보다 금리인하시 더 크며 원/달러환율의 변동폭도 금리인하시 더 지속적이고 크다. 간단히 요약하면 한국과 미국의 금리정책공조는 국내 거시경제변수의 변동폭을 증가시킬 뿐만 아니라 물가와 환율에 하방경직적이며 비대칭적인 효과를 가지고 있다.
Abstract
The paper analyzes the dynamic effect of international cooperation of interest rate policy on domestic macroeconomic variables by using impulse response functions derived from VAR and local projections models. According to the empirical results from local projections, simultaneous increases in federal funds and overnight call rates decrease consumer prices, while have unclear impacts on industrial production and won/dollar exchange rates. On the other hand, simultaneous decreases in both interest rates increase all of them. Responses of industrial production and consumer prices are generally slower in the rise than the cut in interest rates. Response of prices are also bigger in the cut than the rise in interest rates. Changes of won/dollar exchange rates are bigger and more persistent when interest rates decrease. In summary, both countries' cooperative interest rate policy enlarges changes of domestic macroeconomic variables and results in downward rigidity and asymmetry in responses of prices and exchange rates.
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