통화정책 파급경로로서의 콜시장
Call Market as a Channel of Monetary Policy
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초록
본 연구는 금융통화위원회에서 콜금리 운용목표를 매월 대외적으로 공표하기 시작한 1999년 5월 6일부터 2007년 12월 31일까지의 콜시장의 일별자료를 분석하였다. 자료분석 결과에 따르면 콜금리는 변동성이 낮아서 매우 안정적이었으나 목표금리를 평균적으로 달성하지 못하였다. 또한 목표금리는 콜금리에 그랜저 인과적 영향을 미치는 경우가 적었다. 또한 목표금리는 여타 시장금리(CD제외)에 인과적 영향을 미치지 못하고, 오히려 여타 시장금리가 목표금리에 인과적 영향을 미치는 것으로 나타났다. 그러나 2005년 4월까지의 금리 인하기조가 이후 인상기조로 전환되면서 이러한 경향은 많이 완화된 것으로 나타났다.
Abstract
This paper explores the effect of monetary policy in the call market. It examines how effectively the call market is working as a channel of monetary policy by looking at the daily data until December 31st, 2007 since May 6th, 1999 when the Monetary Policy Committee has publicly released its target rate. According to an empirical analysis, the call rate in the market is so stable that it does not much deviate from the target rate of the monetary authority. However, the call rate is not statistically equal to the target rate. That means that the monetary authority has not achieved its target in some extent. In addition, the target rate does not granger-cause other market interest rates except the CD rate whereas other market interest rates granger-cause the target rate.
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