내생적 통화공급과 통화정책의 효과

채희율 ( Hee-yul Chai ) 한국금융학회 2017 금융연구 Vol.31 No.1

대부분의 경제학 교과서에는 통화공급이 외생변수로 취급된다. 즉 중앙은행이 본원통화의 규모를 정하고, 이로부터 통화승수효과에 의해 통화공급 규모가 정책적으로 결정된다고 설명 한다. 그러나 현대경제에서 통용되는 통화는 대부분 상업은행이 민간에 대해 신용을 공여하면서 창출된다. 예금통화는 신용에 의해 결정되고 본원통화는 본원통화 수요에 대응해서 공급된다. 이 글은 이러한 변수들간 관계를 도식적으로 설명하는 간략한 모형을 제시하였고, 그러한 관계를 뒷받침하는 실증분석을 수행하였다. 실증분석 결과 통화량 목표제 기간에서는 본원통화의 통제를 통해 은행대출에 영향을 미칠 수 있었으나 물가안정목표제가 자리 잡으면서 이러한 가능성이 약화 되었으며 은행대출 변화가 본원통화의 변화를 초래하는 인과관계가 뚜렷이 나타났다. 다만 글로벌 금융위기 이후 예대율 규제 도입 등의 영향으로 본원통화의 변화를 통해 은행신용에 영향을 미치는 효과가 다시 나타났지만 은행신용으로부터 본원통화로 가는 인과관계는 더 강화되었다. 기준금리 변화에 따라 은행신용이 변화했는지를 분석한 충격반응함수 분석은 또 다른 각도에서 통화가 내생적으로 공급되고 있는지를 살펴보는 것인데, 물가안정목표제 기간에서 기준금리 변화가 은행대출에 별다른 영향을 미치지 못하는 것으로 나타났다. 이는 물가안정목표제 기간에 전반적으로 통화가 내생적으로 공급되고 있음을 보여주는 결과이다. 이러한 분석의 정책적 시사점은 다음과 같다. 첫째, 통화정책의 전파경로로서 은행대출경로의 중요성이 크게 약화되었다. 중앙은행이 긴축정책을 통해 은행대출의 공급을 줄이고, 확장정책을 통해 은행대출의 공급을 늘리는 것이 매우 어렵게 되었다는 사실은 오늘날 통화정책의 유효성이 저하된 하나의 중요한 원인이라 할 수 있다. 둘째, 양적완화와 같이 직접 유동성을 공급하려는 정책은 중앙은행 대차대조표의 대변이 아니라 차변의 구성 변화에 초점을 두어야 한다. 즉 중앙은행이 `얼마만큼`의 자산을 매입하는가 보다는 `어떠한` 자산을 매입해야 하는가라는 점이 더 중요하다. Standard economics text book describes money supply as exogenous variable: Money is supplied according to the money multiplier process, given the monetary base fixed by the central bank. However, the money in the modern economy is largely determined by commercial banks when they offer loans to the public. Money is determined through lending, and monetary base is supplied in accordance with the demand for it. This paper proposes a simple conceptual framework explaining the process of endogenous money supply, and investigates empirically the nature of money supply in Korea. The empirical investigation is based on the Granger causality tests and the impulse response analysis to a BOK`s policy rate shock. The Granger causality tests are conducted between monetary base and bank loans. The test between bank loans and money supply is excluded because the two variables affect each other within the same period so that the results from the Granger causality test might be misleading. The sample for the Granger causality tests is divided into three subsets: period I refers to the M2 targeting and before the 1997 crisis; period II refers to the inflation targeting and before the global financial crisis; and period III refers to the inflation targeting and after the global financial crisis. The sample for the impulse response analysis covers the inflation targeting period. The results from the Granger causality tests show that, while the central bank had been able to control the bank loans through the control of monetary base during the period when it targeted monetary aggregates before 1998, it became difficult for it to control bank loans since the adoption of inflation targeting. Reverse causation which run from bank loans to monetary base became predominant during the inflation targeting period. While the causality running from monetary base to bank loans reappeared after the global financial crisis in 2008 presumably due to loan-deposit ratio regulation, the causality from bank loans to monetary base was reinforced in the same period. Another empirical results from the impulse response analysis to a BOK`s policy rate shock during the inflation targeting period show that a positive shock to a policy rate does not have an important impact on bank loans. These results altogether can be regarded as the evidence for the endogeneity of money supply during the inflation targeting period. The policy implications of the analysis are as follows. First, the importance of bank lending channel is weakening. The fact that the central bank can hardly increase or decrease bank loans through control of the policy rate or the monetary base is one of the reasons why the monetary policy became ineffective in these days. Second, the policy aiming at increasing directly monetary aggregates like quantitative easing should pay more attention to the asset side of the central bank`s balance sheet rather than the liability side. In other words, more accent should be given to “what kind of”, rather than “how many” assets the central bank is acquiring. Third, policy makers and regulators should bear in mind that bank lending might fluctuate abruptly engendering huge macroeconomic consequences, as banks can lend loans and create money ex nihilo.

금융감독의 국제화 : EU 의 경험과 시사점

채희율 (Hee Yul Chai) 한국EU학회 1997 EU학연구 Vol.2 No.2

The European financial supervisory authorities try to minimize the potential negative effects of the European financial market integration by regulatory harmonization or supervisory cooperation. Even though these efforts seem to be largely beneficial, it remains to be reexamined in some regards. The regulatory harmonization should not be considered as an effective way to level playing field, in view of the national differences in accounting system, financial products and nature of sanction. The supervisory responsibility of the host country should be enhanced, In line with the Basel Committee`s supervision guidelines, to minimize the supervisory loophole. The constitution of a supranational supervisory body can help to ameliorate the effectiveness of the supervision in the EU. This paper examines these issues one by one. Also, this paper draw some implications of the EU`s experience for the Korea`s financial supervisory policy.

정책금리 변화가 캐시플로우 경로를 통해 소비지출에 미치는 영향

채희율 ( Hee-yul Chai ),한상범 ( Sang B. Hahn ) 한국금융연구원 2020 금융연구 Vol.34 No.2

본 연구는 한국에서 통화정책의 캐시플로우 경로를 분석한다. 이를 위해 정책금리 변화에 따른 여신금리와 수신금리의 변화, 이에 따른 이자수지 변화의 방향과 크기, 그리고 지급이자 및 수취이자에 대한 소비지출의 민감도를 ARDL 공적분모형, 자금순환표와 가계금융·복지조사 자료를 활용한 패널 회귀모형을 통해 추정한다. 분석 결과 정책금리의 인상에 대해서는 수신금리보다 여신금리가 더 반응하고 인하에 대해서는 반대로 나타났다. 정책금리의 인상과 인하 양경우 모두 가계의 이자수지를 축소하는 방향으로 작용하였다. 차입가구의 금리민감 캐시플로우에 대한 소비지출 탄력성은 저축가구에 비해 높게 나타났다. 종합적으로 정책금리 인상과 인하 모두 캐시플로우 경로만을 볼 때 소비지출을 줄이는 방향으로 작동하였다. 다만 차입가구 캐시플로우 경로와 저축가구 캐시플로우 경로가 서로 상쇄되면서 종합적으로 그 강도는 약한 것으로 나타났다. Changes in interest rates can affect household consumption expenditures through a variety of channels, including substitution effects, wealth effects, credit channel, cash flow channel, and aggregate demand channel. Most of these channels act to increase consumption expenditures when interest rates fall. But the direction of consumption change via cash flow channel is uncertain. This is because a decrease in interest rates leads to a decrease in interest payments, but also a decrease in interest receipts, and the sensitivities of consumption expenditures to interest payments and interest receipts are not the same. This study analyzes empirically the cash flow channel of monetary policy in Korea. To this end, we estimate first the change in lending rates and deposit rates and interests balance following the change in the policy rate. The ARDL cointegration model is used to analyse the asymmetric movement of bank lending and deposit rates to the change in the policy rate. The sensitivities of consumption expenditure on interest payments and receipts are estimated based on the panel regression model using the data collected from the Household Finance and Welfare Survey. The main results are as follows: the lending rates responded more to the policy rate increase than the deposit rates, and inversely to the policy rate cut. Both policy rate hikes and cuts acted to reduce household interest balances. The elasticity of consumption expenditure to interest-sensitive cash flows for borrowing households was higher compared to saving households. Overall, both policy rate hikes and cuts acted to reduce consumption expenditure when looking only at the cash flow channel. However, as the borrower cash flow channel and the saver cash flow channel canceled each other, its overall strength was weak.

독일 금융시스템의 특징에 관한 연구

채희율 ( Hee Yul Chai ) 한국EU학회 2013 EU학연구 Vol.18 No.2

이 글은 독일 금융시스템의 몇 가지 특징적 양상을 검토하고, 이를 통해 한국금융에 대한 시사점을 논의한다. 독일은 전형적 은행중심 금융구조를 지니고 있다. 세 가지 유형의 은행그룹으로 구성되는 은행부문이 전체 금융시스템에서 핵심적 역할을 한다. 자본시장과 펀드산업의 미발달로 인해 가계의 재산관리 및 창업기업의 자금조달 기회가 제한된다는 약점은 있으나 은행, 특히 비영리 목적의 은행들에 의한 관계형 금융을 통해 다른 어느 나라보다도 실물부문 지원이라는 금융의 가장 기본적 기능은 충실하게 제공되고 있다. 경직적으로 분화된 은행구조와 특이한 은행 소유 및 지배구조 등에 기인한 은행산업의 낮은 수익성이라는 단점이 있지만 뛰어난 복원력과 경기역행적 은행서비스 제공이라는 장점도 있다. 금융산업의 부가가치 비중이나 일자리 제공은 약하지만 경제 전체적으로 성장이나 일자리 창출은 뛰어나다. 독일 금융시스템의 사례는 글로벌 금융위기 이후 새롭게 금융산업을 디자인하고 비전을 정립해야 하는 과제에 직면해 있는 우리나라에 유용한 시사점을 제공한다. 특히 현재 7%인 금융산업의 부가가치 비중을 향후 10년간 10%로 끌어올리겠다는 정부의 이른바 “10-10 밸류업” 비전이 만약 영미식 금융시스템을 일방적으로 좇는 것이라면 그러한 비전은 신중하게 재고될 필요가 있음을 시사한다. This paper discusses some distinguishing features of the German financial system and their lessons for the Korean financial system. The German financial system can be characterized as the typical example of the bank-based financial structure: The banking sector with the famous three-pillar structure predominates the financial scene. While the underdevelopment of capital markets and fund management industry result in limited scope for household`s wealth management and start-ups` funding opportunities, the relationship banking services, provided especially by non-profit banking segments, performs the basic function of finance in its support for real sector business better than any other financial systems. The structurally low banking profitability due largely to rigid fragmentation of the banking structure and the peculiar banking ownership and governance structure need to be weighed against the high resilience and the counter-cyclical nature of the banking services. While the value-added and job creation of the financial sector itself are weak, the economic growth and the job creation of the whole economy remain strong. The German financial system provides a useful anecdote for the design of the future Korean financial system. Especially, the so-called “10-10 value-up” vision announced by the Korean government, which aims to elevate the value-added created by the financial sector compared to GDP from 7% today to 10% in ten years, should be seriously thought twice if it means to follow unilaterally the anglo-saxon financial model.

유로와 한국경제 유로화와 국제금융시장의 변화

채희율(Hee Yul Chai) 한국EU학회 2001 EU학연구 Vol.6 No.2

This study overviews the changes in the international financial markets initiated by the euro and demands whether such changes can challenge the international monetary and financial hegemony of the US dollar and dollar-denominated markets. To see this, the paper divides the financial markets into five segments (exchange markets, short-term financial markets, bond markets, stock markets and banking) and identifies the changes therein. First, the euro contributes to accelerate the integration of European financial markets and intensify the competition. This does not mean, however, that the European financial markets will become completely integrated in the near future nor that the euro-denominated markets are to threaten the international financial hegemony of dollar-denominated markets. Much should be done including the facilitation of the issue, circulation, clearing and settlement of international securities, the harmonization of financial regulations and practices in the euro-zone. Second, the European continental financial system becomes more market-oriented. This is due to the fact that the euro changed the securities markets more than the traditional banking. Third, the role of euro as international medium of exchange diminished with regard to the deutsche mark whereas euro plays an important role in the international store of value function. The role of euro as international medium of exchange is expected to grow in the future, especially with the EU enlargement. The credibility of the ESCB and the development of the euro financial markets will also contribute to the international use of euro.

EMU 의 출범이 한국경제에 미치는 영향

채희율(Hee Yul Chai) 한국유럽학회 1998 유럽연구 Vol.8 No.1

This paper starts with the discussions on the external dimension of EMU. It is argued that the euro will be in the long run a strong currency susceptible to challenge dollar` s supremacy. But further cooperation between financial authorities and private actors of the monetary union towards more integrated, efficient and stable euro capital markets would accelerate the internationalization of the euro. External value of euro will show a large fluctuation even though it will presumably rise in the long run. Based on these discussions this paper identifies and analyses the impacts that the EMU will have on korean economy. The covered issues are classified to four sections. First one have to do with the use of euro and european financial markets by koreans: choice of invoicing currency, access to cheaper sources of funds, diversified FX risk. Next one is related to trade environment stronger EU will absorb more korean products but, competition will become more intense in european markets. Third section discusses the issues that firms and financial institutions established in european markets will face on. Finally, this paper deals with Korea`s external policy implications of EMU. It is argued that the bi-polar international financial hegemony is beneficial to third countries when these have some voice in the international scene. From this point of view, monetary and financial cooperation, not to speak integration, between east asian countries seem to be urgent for them to cope with the changing international monetary and financial order.

A Proposal for the Establishment of the Asian Exchange Rate Stabilization Fund

채희율 ( Hee Yul Chai ) 한국국제경제학회 2007 한국국제경제학회 동계학술대회 Vol.2007 No.1

신용보증이 중소기업 성과에 미친 영향과 신용보증제도 개선에 대한 시사점

채희율(Hee-Yul Chai) 한국경제연구학회 2012 한국경제연구 Vol.30 No.2

본 연구는 1999~2009년 기간 동안 기술보증기금이 제공한 미시적 자료와 외감자료를 결합한 패널회귀분석을 통하여 신용보증이 수익성, 성장성, 재무건전성등 기업의 재무적 성과에 미친 효과를 분석하고 신용보증제도 개선방안에 관한 시사점을 논의한다. 분석결과 기술보증은 기업의 수익성에는 긍정적 영향을 미친 반면 성장성에는 부정적 영향을 미치고 부채비율을 높이는 것으로 분석되었다. 신용보증기금 자료에 기초한 선행 패널분석 결과와 달리 보증이 수익성에 긍정적 영향을 미친다는 본 견구결과는 신용보증 심사에서 기업의 재무적 성과보다는 기술력이나 영업 전망 등 비재무적 평가에 보다 큰 비중을 두는 것이 바람직할 것임을 시사한다. 신용보증 급등기를 제외한 기간만의 분석 혹은 정책기간더미를 추가한 분석의 결과는 신용보증을 경기정책적 수단으로 사용하는 것이 기업의 성과에 반드시 부정적인 것은 아닐 수 있다는 점을 보여준다. 마지막으로 기술보증과 신보보증의 중복 보증이 추가적으로 기업이 성과에 미친 영향을 보면 수익성과 성장성에 강하지 않지만 대체로 긍정적 영향을 미친 것으로 나타나 보증규모가 일정 수준이 되거나 일정 기간 지속되어야 중소기업의 수익성과 성장성개선에 도움이 될 수 있는 것으로 해석된다. This study evaluates the impact of credit guarantee on SEMs’ financial performances such as profitability and growth through panel regression method based on data set collected from Korea Technology Finance Corporation and externally audited companies. from 1999 to 2009. and discusses implications for reform of credit guarantee schemes. The result indicates that technology credit guarantee influenced positively on profitability, and negatively on growth and financial sanity. The positive effect of credit guarantee on profitability contrasts with the previous panel analysis using KODIT data, and might imply that screening needs to be based on firm’s vision or technical level rather than financial record or collateral. Panel regression from 2003 to 2007 or the regression including policy period dummy as an independent variable suggest that the use of credit guarantee as an instrument of macroeconomic stabilization purpose is not necessarily harmful. Finally, the result suggests that guarantee size and/or duration might matter since double reception of technology credit guarantee and credit guarantee from KODIT had marginally positive impact on firms’financial performances.

특집 : 유럽통합과 유럽금융구조의 변화

이영섭 ( Yeong Seop Rhee ),채희율 ( Hee Yul Chai ) 한국EU학회 2005 EU학연구 Vol.10 No.1

미테랑 대통령 재임 14년간 프랑스 경제정책의 평가

채희율 한국EU학회 2000 EU학연구 Vol.5 No.1

Based on the historical survey of the evolution of the French economic policy, this study identifies its main characteristics and tasks for the future. The period covered is centered on Mitterand's 14 years presidency. Among diverse policies, the focus is given to the industrial policy. During socialist presidency, France was able to overcome the economic crisis and expect to enter into a stable growth path. This study argue that such an outcome have to do with the fact that the economic policies of the government were largely appropriate and timely. In particular the state played an important role in establishing market economy order and corporate governance mechanism. Nonetheless, French state have yet a lot to do in order to establish a democratic and effcient corporate governance mechanism. Finally, French state have to overcome a leadership crisis due to the dismissal of statist pattern of economic policy making caused by both ongoing europeanization of economic policy and loss of policy tools along with privatization and deregulation.