가변자본가동률 조정비용은 DSGE 모형에서 어떻게 구현되어야 하는가?
How the capital utilization adjustment cost should be implemented in DSGE model?
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초록
본 논문에서는 가변자본가동률(variable capital utilization rate) 조정비용을 정의하는 두 가지 방식 중 어느 방식이 경기변동을 더욱 잘 설명하는지 분석해보고자 한다. 이를 위해 여러 마찰들(frictions)과 당기(contemporaneous) 및 뉴스(news) 충격들을 동시에 포함하고 있는 DSGE 모형에 대해 베이지안 추정을 실시한다. 분석 결과, GHH방식으로 자본가동률 조정비용을 정의한 모형이 CEE방식으로 정의한 모형에 비해 항상 경기변동을 잘 설명한다는 것을 알 수 있었다. 이는 주로 GHH방식 모형이 명목변수(명목이자율, 인플레이션)를 실제데이터에 보다 근접하도록 설명해주는데 기인하였다.
Abstract
Variable capital utilization is an important element in recent DSGE models. To allow capital utilization to respond to shocks, the cost of varying utilization is modelled in terms of either accelerated depreciation of capital (Greenwood et al., 1988) or foregone consumption (Christiano et al., 2005). We perform a Bayesian estimation of the standard medium-scale DSGE model augmented with news shocks to examine which specification is supported by the data. The former exhibits a superior fit with the data relative to the latter. We show that it is attributable to the fact that the former explains better the properties of nominal variables, such as inflation and nominal interest rates.
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