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금리준칙에서 통화의 역할

The Role of Money in the Monetary Policy Rule

김동헌
한국계량경제학회|2010.09|계량경제학보 (Journal of Economic Theory and Econometrics)|제21권 제3호|pp. 91-112

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참고문헌

키워드

금리준칙Monetary policy ruleTwo pillar strategyTwo Pillar Phillips CurveIS 모형M3 & Lf 통화량IS modelM3 & Lf monetary aggregate
주제분류경제학

초록

최근 유럽중앙은행에서는 장기적 관점에서 통화의 역할을 고려하는 두기둥 통화정책전략을 강조하고 있다. 이러한 배경에는 장기 통화증가율이 필립스곡선을 설명하는데 중요한 역할을하거나 장·단기 인플레이션 타겟팅을 위한 교차점검으로써 통화의 역할 때문이다. 또한 최근연구에서는 IS모형을 설명하는데 통화가 중요한 역할을 한다는 것을 보여주고 있다. 본 연구에서는최적의 금리준칙이 필립스곡선과 IS모형을 바탕으로 유도되는 점을 고려하여 필립스곡선과IS모형에서 통화가 중요한 역할을 하는 지를 살펴봄으로써, 최적 금리준칙에서 통화의 역할에 대하여분석하였다. 외환위기 이후 월별자료를 이용한 실증분석 결과 대부분의 통화량 변수는 필립스곡선과IS모형에서 통계적 유의성이 없는 것으로 나타났다. 이러한 결과는 Taylor유형 금리준칙에서통화량변수의 유용성을 지지하지 못함을 시사한다. 다만 Lf 통화량은 일부 설명력이 있는 것으로보여 본 연구는 한국은행이 금리중시 통화정책을 운용해감에 있어서 Lf통화량 정보를 주의 깊게검토해 갈 것을 제안한다.

Abstract

Recently, the European Central Bank emphasized two pillar strategy for monetary policy analysis in terms of considering the role of money in the long run. The background of this strategy is that the long-run money growth plays an important role in explaining the Phillips curve or the money functions as a cross-check for the shortrun and long-run inflation targeting. Additionally, recent study showed that the money is important for explaining the IS model. This study examines the role of money in the monetary policy rule through looking at the significant role of money in the Phillips curve and in the IS model on the ground that the optimal monetary policy rule can be derived based on the Phillips curve and the IS model. The empirical results show using after-Korean financial crisis data that most of monetary aggregates except the Lf (M3) are not statistically significant in the Phillips curve and the IS model. This result implies that it is unlikely for the money to play an important role in the Taylor-type monetary policy rule. However, the Lf monetary aggregate appears to be statistically significant, and thus this study suggests that the Bank of Korea (BOK) looks carefully into the information on the Lf monetary aggregate when the BOK conducts the Taylor-type monetary policy rule.

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