실질이자율 비정상 추세의 검정, 추정 및 동태분석
Inference and Dynamic Analyses of Non-stationarity of Real Interest Rate
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본고는 실질 이자율의 추정과 안정성(stationarity)의 검정에 대한 기존 접근이 ‘사후적 실질 이자율의 인플레이션과의 내생성(endogeneity)’, ‘공적분 여부가 반드시 실질이자율의 안정성을 담보할 수 없다’는 점 등 한계를 지닌 것을 고려하여, 명목이자율에 인플레이션 충격과 독립적인 실질이자율 추세가 존재하는지 검정하고 이를 추정하고자 한다. 이를 위하여 Kim(2014)의 방법론을 따르고자 하는데 Kim(2014)는 자산가격이 I(1)인 경우, 발산하는즉 I(d, d>1)의 합리적 버블과 달리 I(1)인 확률버블추세 (stochastic bubble trend)의 개념을도입하고 있다. 우리나라 자료를 이용하여 외환위기 전후를 대상으로 실증분석한 결과 5% 유의수준에서 외환위기 이전의 경우 I(1)인 실질 이자율 추세가 존재하지 않으나 외환위기이후에는 존재하는 것으로 나타났다. 통화정책이 실질이자율에 미치는 영향을 파악하기 위하여 콜금리(또는 실질산업생산지수)와 실질 이자율과 인플레이션 추세로 구성된 VAR 모형에서 일반화된 충격반응을 분석한 결과, 콜금리 하락 충격은 실질이자율 추세를 하락시키고 다시 실질 산업생산을 단기적으로 소규모 상승시키는 것으로 추정되었다. 명목 금리는 인플레이션 충격에 유의하게 반응하지도 않으며, 대신 실질이자율 추세에 의해 큰 영향을 받는 것으로 나타났다.
Abstract
This paper conducts the inference and dynamic analyses on the nonstationary trend of real interest rate considering limitedness of current approaches; i.e., ‘ex post real interest rate’s endogeneity with inflation’, ‘cointegretaion does not necessarily mean the stationarity of real interest rate’. For this, we follow Kim(2014)’s approach who introduced a concept of I(1) stochastic bubble trend in an I(1) asset price that is different from conventional I(d, d>1) rational bubble. According to the empirical analyses using Korean data for the terms of before and after Asian financial crises, we can not find I(1) real interest rate trend for the term of before Asian financial crisis, while we can find I(1) real interest rate trend or the term of after Asian financial crises with 5% significance level. To evaluate how monetary policy affects to the real interest rate trend, we conducted a generalized impulse response analyses within a VAR model of call rate (or real industrial production), real interest rate and inflation trend. From this work, we found that the decrease of call rate may invoke the decrease of real interest rate trend and, in turn, the increase of real industrial production. Finally, the nominal interest rate does not significantly respond to the inflation impulse while it is significantly affected by the real interest rate impulse.
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