중앙은행 디지털화폐(CBDC) 발행이 은행산업 및 거시경제에 미치는 영향
Effects of the Introduction of Central Bank Digital Currency on Banking Industry and Macroeconomics
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초록
본 논문은 파산위험성이 존재하는 시중은행이 예금자와 예금계약, 그리고 기업과 대출계약 거래를 하는 시장에서, 중앙은행이 Central Bank Digital Currency (CBDC)를 도입할 때 금융시장 및 거시경제에 미치는 영향을 분석한다. CBDC의 발행은 시장의 유동성 부족을 해소하여, 자산가격의 유동성 프리미엄으로 인한 시장의 비효율을 완화하고 온라인 거래량을 증가시켜 총생산을 제고한다. 또한 CBDC는 개인으로 하여금 은행의 파산위험을 일부 회피할 수 있는 수단으로 활용됨으로써 은행의 파산으로 인한 사회후생의 감소를 완화시켜 준다. 본 연구는 국내 경제지표들의 값을 근거로 정량분석의 결과도 제시한다. 구체적으로 캘러브레이션된 모형에서 CBDC가 도입될 경우 은행예금과 기업대출규모는 각각 1.29% 및 1.32%씩 감소하였고 예금이자율와 대출이자율은 각각 1.31bp 및 1.32bp씩 증가하였으며, 총생산은 0.24% 증가하였다.
Abstract
In this paper, we construct a monetary model in which commercial banks that have a risk of bankruptcy make deposit contracts with depositors and loan contracts with companies to investigate the effects of introducing Central Bank Digital Current (CBDC) on financial markets and macroeconomics. The introduction of CBDC alleviates a liquidity shortage in the market, which, in turn, mitigates the market inefficiency caused by the liquidity premium of asset prices, and, hence, aggregate production increases. In addition, CBDC alleviates the social welfare cost caused by bank bankruptcy by being used as a means of avoiding the bank's bankruptcy risks. We calibrate the model using Korean macroeconomic indicators, and show that the introduction of CBDC decreases the size of bank deposits and corporate loans by 1.29% and 1.32%, respectively, and increases deposit rate, loan interest rate, and aggregate production by 1.31bp, 1.32bp, and 0.24%, respectively.
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