우리나라의 산업생산지수 성장률에 대한 기간 스프레드의 예측력 평가
An Evaluation on the Predictive Power of the Term Spread for the Industrial Production Index in Kore
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이 논문에서는 선형회귀 모형, 마코프 전환 모형 그리고 GMM을 이용하여 한국에서 기간 스프레드가 산업생산지수의 성장률에 대해 어떠한 예측력을 갖는지를 분석한다. 전체 추정 기간(2000년 10월부터 2021년 12월까지)에서 기간 스프레드는 산업생산지수의 연간 변동에 대해예측력이 있음을 보여준다. 특히 이러한 예측력은 전체 추정 기간 중에서도 2000년 10월부터2007년 12월까지의 기간에서는 거의 나타나지 않지만, 글로벌 금융위기 이후인 2008년 1월부터 2021년 9월까지의 기간에서는 양호하게 나타나고 있다. 하지만 이러한 추정 결과도 그 기간을 2010년 1월부터 2018년 12월까지로 한정할 경우에는 예측력이 전혀 나타나지 않고 있다. 이처럼 산업생산지수의 성장률에 대한 기간 스프레드의 예측력은 추정 기간에 따라 매우 다른결과를 보여주고 있다. 특히 우리나라에서는 대체로 한국은행이 물가안정(인플레이션 갭)보다는 경기안정(산출량 갭)에 대해 다소 민감하게 반응하는 통화정책을 채택할 경우에, 산업생산지수의 성장률에 대한 기간 스프레드의 예측력이 양호하게 나타났다. 반면에 한국은행이 물가안정을 우선시하거나 그것에 역행하는 정책을 선택한 시기에는 모두 기간 스프레드의 예측력이 거의 나타나지 않았다
Abstract
Purpose : In recent years, there has been continued interest in the term spread as a predictor of future economic activity. In this paper, we evaluate whether the term spread can predict the Industrial Production Index’s growth rate for 2000.10-2021.9 in Korea. Research design, data, methodology : We employ the Industrial Production Index, the call rate, 1-year rate, 10-year rate, and inflation data. We utilize the linear regression model, the Markov switching model and GMM to estimate the term spread’s predictability for the Industrial Production Index’s growth rate. Results : We find that the term spread has the predictive power of the Industrial Production Index’s growth rate for 2000.10-2021.9, and specially has the high predictive power for 2008.1-2021.9. But We find that the term spread almost has not the predictive power of it for 2000.10-2017.12 and 2010.1-2018.12. Conclusions : We show that the term spread’s predictability for the Industrial Production Index’s growth rate very differently come out according to the estimation periods. Particularly, We evince that it is high when the Bank of Korea selects the monetary policy that react sensitively to economic stabilization(output gap) rather than price stabilization(inflation gap), whereas is low when it chooses highly-controlled or the opposite monetary policy of inflation
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