우리나라 일반인 인플레이션 기대 형성 행태 분석
Korean Households’ Inflation Expectations and Information Rigidity
1
조회
0
다운로드
7
인용
0
참고문헌
키워드
초록
본 연구는 우리나라 일반인의 인플레이션 기대 형성 행태를 정보경직성(information rigidity)과 상태의존성(state-dependence)을 중심으로 분석한다. 우리나라 일반인의 인플레이션 기대형성 과정에 정보경직성이 존재하는지 여부를 살펴보기 위해 간단한 정보경직성 모형을 도출하여 추정하였으며, 간단한 마코프 국면전환모형을 이용하여 인플레이션 기대 형성 행태가 경제여건에 따라 달라지는 상태의존적 특징을 나타내는지도 분석하였다. 본 연구의 주요 분석 결과는 다음과 같다. 첫째, 우리나라 일반인의 대다수는 정보 갱신을통해 인플레이션 기대를 새로 형성하기보다는 기존의 기대를 관성적으로 유지하는 것으로 추정되었다. 또한 정보 갱신 과정에서도 전문가 예측치 등과 같은 미래 지향적 정보보다 과거 인플레이션율과 같은 과거 지향적 정보에 대한 의존도가 높은 것으로 드러났다. 둘째, 우리나라 일반인의 인플레이션 기대 형성 행태는 인플레이션 수준에 따라 달라지는상태의존적 특징을 보이는 것으로 드러났다. 즉, 인플레이션이 큰 폭으로 상승하는 시기에는그렇지 않은 시기와 비교하여, 인플레이션 기대의 실제 인플레이션에 대한 민감도가 상승하였을 뿐만 아니라 인플레이션 기대와 실제 인플레이션 사이의 격차가 빠르게 축소되는 것으로나타났다.
Abstract
This paper attempts to investigate the Korean households’ inflationexpectations with particular attention to information rigidity. For thispurpose, we derive an empirical model from a sticky information model a laMankiw and Reis (2002) and estimate it. In addition, it is also examinedwhether the expectation formation is state-dependent on macroeconomicconditions. The main findings of this paper are as follows. First, it turns out thatthe information rigidity in Korean households’ inflation expectations is veryhigh. In a month, most of the households simply keep their inflationexpectations the same as before instead of updating them based on newlyarrived information. Furthermore, when updating their expectations, thehouseholds tend to rely on the backward-looking information such as actualinflation rates in the past rather than on the forward-looking forecasts byexperts. Second, it is found that the expectation formation is varying asinflation rate changes. Specifically, when the inflation is high, thesensitivity of the households’ inflation expectations to actual inflationincreases and the gap between inflation expectations and actual inflationshrinks. It implies that Korean households update their expectations morefrequently when the inflation matters than not.
참고문헌 (41)
- 이정익, "우리나라 기대인플레이션의 특징", BOK 경제리뷰, (2012-1) (2012), 한국은행
- 최병재, "일반인 기대인플레이션 지표의 주요 특징과 시사점, 조사통계월보", 한국은행, 19~44 (2012)
- 물가보고서, "한국은행", ~ (2013)
- Akerlof, G. A., "Near-rational Wage and Price Setting and the Long-Run Phillips Curve", Brookings Papers on Economic Activity, 2000(1), pp.1~60 (2000)
- Ball, Laurence, "The Genesis of Inflation and the Costs of Disinflation", Journal of Money, Credit, and Banking, 23(3), pp.439~452 (1991)
- Ball, L., "Monetary Policy for Inattentive Economies", Journal of Monetary Economics, 52, pp.704~725 (2005)
- Branch, William A., "The Theory of Rationally Heterogenous Expectations : Evidence from Survey Data on Inflation Expectation", Economic Journal, 114, pp.592~621 (2004)
- Branch, William A., "Sticky Information and Model Uncertainty in Survey Data on Inflation Expectations", Journal of Economic Dynamics and Control, 31, pp.245~276 (2007)
- Branch, W. A., "Monetary Policy, Endogenous Inattention and the Volatility Trade-off", Economic Journal, 119, pp.123~157 (2009)
- Bryan, M. F., "The Demographics of Inflation Opinion Surveys. Economic Commentary", Federal Reserve Bank of Cleveland (2001)
- Calvo, G. A., "Staggered Prices in a Utility-Maximizing Framework", Journal of Monetary Economics, 12, pp.383~398 (1983)
- Carroll, Christopher D., "Macroeconomic Expectations of Households and Professional Forecasters", Quarterly Journal of Economics, 118, pp.269~298 (2003)
- Would Cold Turkey Work in Turkey?, "Celasun, O.", International Monetary Fund, ~, pp.IMF Working Paper WP (2003), 03[DOI]
- Obstacles to Disinflation: What is the Role of Fiscal Expectations?, "Celasun, O.", International Monetary Fund, ~, pp.IMF Working Paper WP (2004), 04[DOI]
- Cerisola, Martin., "What Drives Inflation Expectations in Brazil? An Empirical Analysis", Applied Economics, 41(10), pp.1215~1227 (2009)
- Coibion, O., "What Can Survey Forecasts Tell Us about Information Rigidities?", Journal of Political Economy, 120(1), pp.116~159 (2012)
- Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts, "Coibion, O", International Monetary Fund, ~, pp.IMF Working Paper WP (2012), 12[DOI]
- Inflation Expectations and Monetary Policy in India: An Empirical Exploration, "Patra, D. Michael", International Monetary Fund, ~, pp.IMF Working Paper WP (2010), 10[DOI]
- Easaw, J., "What Determines Households Inflation Expectation? Theory and Evidence from a Household Survey", European Economic Review, 61, pp.1~13 (2013)
- Fuhrer, J., "Inflation Persistence", Quarterly Journal of Economics, 110, pp.127~159 (1995)
- Endogenous Information, Menu Costs, and Inflation Persistence, "Gorodnichenko, Y.", National Bureau of Economic Research, ~, pp.NBER Working Paper #14184 (2008)
- Gramlich, Edward M., "Models of Inflation Expectations Formation : A Comparison of Household and Economist Forecasts", Journal of Money, Credit and Banking, 15(2), pp.155~173 (1983)
- Jang, B, "Heterogeneity in Korean Households’ Inflation Expectations:Stylized Facts and Macroeconomic Implications" (2013), Sungkyunkwan University
- Kim, C. J., "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" (1999), MIT Press
- Lanne, M., "A Naive Sticky Information Model of Households’ Inflation Expectations", Journal of Economic Dynamics and Control, 33, pp.1332~1344 (2009)
- Lorenzoni, Guido, "A Theory of Demand Shocks", American Economic Review, 99(5), pp.2050~2084 (2009)
- Mankiw, N. G., "Sticky Information versus Sticky Prices : A Proposal to Replace the New Keynesian Phillips Curve", Quarterly Journal of Economics, 117(4), pp.1295~1328 (2002)
- Mankiw, N. G., "Disagreement about Inflation Expectations", NBER Macroeconomics Annual 2003, pp.209~248 (2003)
- Households’ Disagreement on Inflation Expectations and Socioeconomic Media Exposure in Germany, "Menz, J.", Deutsche Bundesbank, ~, pp.Deutsche Bundesbank Discussion Paper, No. 27 (2013)
- Minella, A., "Inflation Targeting in Brazil : Constructing Credibility under Exchange Rate Volatility", Journal of International Money and Finance, 22(7), pp.1015~1040 (2003)
- Inflation Expectations and Monetary Policy in India: An Empirical Exploration, "Patra, M. D", International Monetary Fund, ~, pp.IMF Working Papers WP (2010), 10[DOI]
- Reis, Ricardo, "Inattentive Producers", Review of Economic Studies, 73, pp.793~821 (2006)
- Roberts, John M., "Is Inflation Sticky?", Journal of Monetary Economics, 39, pp.173~196 (1997)
- Inflation Expectation and the Transmission of Monetary Policy, "Roberts, John M.", Board of Governors of the Federal Reserve System, ~, pp.Finance and Economics Discussion Series 1998-43 (1998)
- Sims, Christopher A., "Implications of Rational Inattention", Journal of Monetary Economics, 50, pp.665~690 (2003)
- Souleles, N., "Expectations, Heterogeneous Forecast Errors, and Consumption : Micro Evidence from the Michigan Consumer Sentiment Surveys", Journal of Money Credit and Banking, 36(1), pp.39~72 (2004)
- Taylor, J. B., "Aggregate Dynamics and Staggered Contracts", Journal of Political Economy, 88, pp.1~23 (1980)
- Ueda, Kozo, "Determinants of Households’ Inflation Expectations in Japan and the United States", Journal of the Japanese and International Economies, 24(4), pp.503~518 (2010)
- Woodford, Michael, "Knowledge, Information, and Expectations in Modern Macroeconomics" (2002), Honor of Edmund S. Phelps
- "컨센서스 이코노믹스사(Consensus Economics)홈페이지"[URL]
- "한국언론진흥재단 KINDS 기사통합검색 서비스"[URL]