비용측(cost-push) 접근법을 이용한 금융위기 이후 인플레이션 동학 변화 분석

공철,심영수,김명수 한국경제연구학회 2016 한국경제연구 Vol.34 No.1

우리나라는 2012년 하반기 이후 물가 오름세가 1%대로 낮아지며 물가목표범위(2.5%∼3.5%)를 13분기 연속 하회하는 저인플레이션(disinflation)이 이어지고 있다. 이에 따라 최근의 저인플레이션을 단순히 저유가 등에 따른 일시적 현상으로 치부하기보다 금융위기 전후 인플레이션 동학(inflation dynamics)에 어떠한 구조적 변화가 없는지에 대해 면밀히 검토해 볼 필요가 있겠다. 비용측(cost push) 접근법을 이용하여 인플레이션의 결정요인을 분석한 결과, 단위노동비용, 국제유가 및 원/달러환율이 소비자물가와 안정적 장기관계를 형성하는 가운데, 농축수산물가격 등 외생적 충격도 단기 물가변동에 상당한 영향을 미치는 것으로 나타났다. 이러한 인플레이션 결정식을 이용하여 인플레이션 동학 변화 여부를 검토한 결과, 기조적(autonomous) 인플레이션 수준이 금융위기 전후 상당 폭 하락하여 최근에는 1%대 중반 정도에 머물고 있는 것으로 추정되었다. 또한 글로벌 위기 이후 인플레이션 변동성이 확대되고 있는데 이는 원/달러환율, 국제원자재가격, 농산물가격 등에 크게 영향 받은 것으로 보인다. 본 분석의 주요 시사점을 정리해 보면 먼저, 기조적 인플레이션 수준이 낮아지는 등 금융위기 이후 인플레이션 환경이 크게 변화된 만큼 물가목표설정 등 통화정책 운영에 이를 충분히 고려해야 할 것이다. 둘째, 2000년대 이후 국내 물가변동에서 원/달러환율 및 국제원자재가격의 일시적 변동에 따른 영향이 커지고 있는 점을 감안할 때, 거시경제의 안정적 운영을 위한 최적 인플레이션 변동성(optimal inflation volatility)에 대한 심도 있는 논의가 필요해 보인다. 셋째, 최근의 저인플레이션 기저에는 노동시장 이중구조, 가계부채 등 다수의 구조적 문제점들이 자리하고 있는 만큼 경기부양을 위한 통화정책적 측면의 대응에 보다 신중할 필요가 있겠다. Since CPI inflation rate declined a level of 1% year on year from the second part of 2012, disinflation which is well below the lower bound of the inflation target range of 2.5∼3.5% has been continuing 13 quarters in a row. Rather than considering low inflation as a transitory phenomenon caused by low oil price and so on, we need to examine a possibility of structural change in inflation dynamics around the global financial crisis thoroughly. Analyzing the determinants of inflation using the cost-push approach, the results suggest that unit labor cost, international oil price and Korean won/US dollar exchange rate play a major role in determining long-run inflation, while the prices of agricultural, stock, and marine products have an impact on the short-term dynamics of inflation. Looking over the possibility of change in inflation dynamics using the estimated inflation model, we find that the level of underlying inflation rate is supposed to be in the middle of 1% level by the large drop around the financial crisis. And inflation volatility increased after the global crisis because inflation is largely affected by Korean won/US dollar exchange rate, international raw material prices, and agricultural prices. Our results show that the monetary authority should consider a big change of the inflation environment through the financial crisis when they determine the future policy. Second, giving consideration to the enhanced impact of transitory shocks such as Korean won/US dollar exchange rate, international raw material prices etc. on the inflation in the 2000s, an in=depth study on optimal inflation volatility is needed for the stable operation of the Korean economy. Lastly, since there are several structural problems such as dual structure of labor market, households debt and so on at the base of recent low inflation, the monetary policy to stimulate economy should be prudently carried out.

International Inflation Synchronization and Implications

천소라 한국개발연구원 2020 KDI Journal of Economic Policy (KDI JEP) Vol.42 No.2

This study analyzes global inflation synchronization and derives policy implications for the Korean economy. Unlike previous studies that assume a single global inflation factor, this study investigates if inflation in Korea can be explained further by other global inflation factors. Our principal component analysis provides three principal components for global inflation that are linked to the Korea inflation rate ― the first component is closely related to OECD inflation, and the second and third components reflect China’s inflation. This study empirically demonstrates via in-sample fitting and out-of-sample forecasting that the three principal components of global inflation play a significant role in explaining and predicting Korean inflation in the short-term, while their role is limited in the mid-term. Domestic macroeconomic variables are found to be more important for the mid-term movements of the Korean inflation rate. The empirical results here suggest that the Bank of Korea should focus more on domestic economic conditions than on global inflation when implementing monetary policy because global factors are likely to be already reflected in domestic macro-variables in the mid-term.

기대인플레이션과 통화정책

박진호 ( Jin Ho Park ),곽준희 ( Jun Hee Kwak ) 한국EU학회 2021 EU학연구 Vol.26 No.2

기대인플레이션은 중앙은행이 물가안정목표를 달성할 수 있는지에 대해 경제주체가 신뢰하는 정도를 나타내는 척도로 인식되고 있다. 글로벌 금융위기 이후에 미국, 유로지역, 영국 등의 지역에서 인플레이션이 낮은 수준에서 유지되면서 중앙은행이 어떻게 기대인플레이션을 안착시킬 것인가에 대한 문제가 주목받고 있는 점에 착안하여 3개 지역에 대해 필립스곡선을 사용하여 가계의 기대인플레이션이 실제 인플레이션을 얼마나 잘 예측하는지를 테스트하였다. 실증분석에서는 뉴케인지언 필립스곡선 모형과 네오클래시컬(Neoclassical) 필립스곡선 모형, 그리고 이 두 모형을 혼합한 하이브리드 필립스곡선 모형의 세 가지 필립스곡선모형을 각각 추정한 결과를 토대로 기대인플레이션이 실제인플레이션을 얼마나 잘 예측하는지를 비교하였다. 세 가지 필립스곡선 모형을 3개 지역(미국, 유로지역, 영국)에 대해 2단계일반화 적률법으로 추정한 결과를 보면, 하이브리드 필립스곡선 모형의 예측력이 뉴케인지언 필립스곡선 모형과 네오클래시컬 필립스곡선 모형에 비해 더 우수한 결과를 보여주었다. 또한 구조변화 시점(글로벌 금융위기 전후)을 기준으로 표본기간을 2개로 나눠 하이브리드필립스곡선 모형을 사용하여 추정한 결과에서는 실제인플레이션에 대한 기대인플레이션의 영향력이 구조변화 이후에 확대되었다. 하이브리드 필립스곡선 모형의 추정 강건성을 테스트하고 필립스곡선 모형의 설명변수 간 상호작용이 어떤지를 알아보기 위해 벡터자기회귀모형을 사용하여 추정한 결과를 보면, 기대인플레이션이 실제인플레이션에 미치는 영향이 유의미하게 나타났으며, 구조변화 이후에 실제인플레이션에 대한 기대인플레이션의 영향력이 확대되었다. 그러나 기대인플레이션이 실제인플레이션으로부터 받는 영향력이 그다지 많지 않아, 기대인플레이션은 실제인플레이션에 대한 의존성이 낮아 미래지향적 특성을 갖는 것으로 나타났다. 실증분석 결과를 종합해 보면, 기대인플레이션이 실제인플레이션에 주는 영향력이 상당하다는 것을 시사한다. 그러므로 중앙은행은 물가안정목표에 기대인플레이션이 안착되도록 하기 위해 경제주체와 충분하고도 직접적인 커뮤니케이션을 함으로써 정책투명성 및 신뢰도를 강화하는 것이 요구된다. Inflation expectations are recognized as a measure of the degree to which economic actors trust whether the central bank can achieve its inflation target. In light of the fact that the issue of anchoring inflation expectations is drawing attention as low inflation continues in some countries, such as the euro area, the predictability of households’ inflation expectations focusing on these regions was verified using the Phillips curve. We compared the predictive power of inflation expectations against actual inflation by estimating the New Keynesian model, which presupposes forward-looking characteristics of inflation expectations, the Neoclassical model reflecting the backward-looking characteristics of inflation expectations, and the Hybrid model mixing both models. As a result of estimating the three models mentioned earlier using the generalized momentum method (GMM) for the United States, the euro area, and the United Kingdom, the predictive power of the Hybrid Phillips Curve model, which includes both expected and actual inflation variables in the explanatory variable was found to be superior to those of the other two models. In addition, as a result of estimating the Hybrid Phillips Curve model in consideration of structural changes before and after the global financial crisis, the effect of inflation expectations on actual inflation increased after the financial crisis. In the result of estimating the VAR model to verify the robustness of the estimated model and to understand the interactions between variables, inflation expectations have a significant effect on actual inflation, and the influence of inflation expectations increased after the financial crisis. On the other hand, inflation expectations were relatively unaffected by actual inflation. Therefore, we conclude that inflation expectations have a forward-looking characteristic that does not depend heavily on actual inflation. These results suggest that the anchoring of inflation expectations is essential in order for actual inflation to anchor the inflation target. As inflation expectations have a significant impact on actual inflation, the central banks need to further enhance transparency and credibility in policy through sufficient and direct communication with economic agents to ensure that inflation expectations are well anchored against the central bank’s inflation target.

中国输入型通货膨胀的传导机制的实证分析: 基于VAR模型的Granger检验

辛善姬 부산대학교 중국연구소 2022 Journal of China Studies Vol.25 No.4

One of the significant impacts of the coronavirus disease 2019 (COVID-19) pandemic on the economy is the large fluctuations in price levels. Moreover, since 2022, the impact of the Russian-Ukrainian conflict has been superimposed, and global inflationary pressure has increased further. Therefore, the imported inflation pressure faced by China has increased significantly. Hence, this study examines whether there is imported inflation in China and profoundly investigates the transmission path of China’s imported inflation as a breakthrough to complete this study. Imported inflation refers to the phenomenon that, under the condition of an open economy, price changes in the international market lead to inflationary pressures in a country’s domestic economy through commodity and monetary channels. The commodity path is mainly based on changes in asset prices. Specifically, in terms of commodity path, the transmission mechanism of imported inflation is expressed as “changes in foreign market prices → changes in prices of imported commodities → changes in costs and prices in domestic open economic sectors → changes in costs and prices in domestic non-open economic sectors → changes in the general domestic price level”. Another transmission channel is the monetary path, the massive inflow of foreign capital. Inflationary pressure is caused by a passive increase in the money supply caused by the inflow of foreign capital. This study uses monthly data from January 2008 to July 2022 to construct a vector autoregressive (VAR) model and uses the Granger causality test method to analyze deeply the causes of inflation in China. This study uses consumer price index (CPI) and producer price index (PPI) to represent China’s inflation level. Meanwhile, this study selects the CRB index to represent the commodity channel factor of imported inflation. In addition, foreign direct investment (FDI) can reflect the impact of international capital flows on China’s imported inflation. Thus, this study uses FDI to represent the monetary channel factor of imported inflation. Moreover, the impact of different types of international commodity prices on domestic inflation may be inconsistent. Therefore, this study also adopts two sub-indices of the CRB index, namely the CRB primary industrial products sub-index and the CRB metal sub-index for robustness testing. This study carried out the stationarity test of the variables. The method adopted is the ADF test to verify the long-term stable relationship of each time series variable. In this way, this study performs VAR model regression on stationary time series variables. Furthermore, this study uses the Granger causality test to determine the causal relationship between variables and the direction of influence. Results show that the commodity channel factor can predict China’s inflation rate. Conversely, the monetary pathway factor has no predictive power for China’s inflation rate. This result shows that global inflation is mainly imported into China through commodity channels rather than monetary channels. The results of the robustness test again show that the commodity channel factor has a significant impact on China’s inflation. Therefore, China’s inflation presents an import-oriented feature dominated by the commodity channel.

글로벌 금융위기와 물가안정목표제 평가: 근원인플레이션을 중심으로

박원암 한국개발연구원 2010 KDI Journal of Economic Policy (KDI JEP) Vol.32 No.3

The global financial crisis has exerted enormous impacts on the attainment of inflation target in Korea. The annual average CPI inflation was 3.3% during the targeting period of 2007-2009 and the target was 3.0±0.5%. Thus Korea has succeeded in keeping annual average CPI inflation just below the upper limit of the 2007-2009 target under the global crisis. This paper intends to evaluate the performance of the inflation targeting system in Korea. First, it estimates the conventional call rate reaction equation under the global crisis and finds that the policy interest rates never reacted to expected inflation, output gap, and won/dollar exchange rate, as expected by theory. Second, it identifies the shock of global financial crisis into core and non-core, applying the structural VAR model. The core shock was defined to have no (medium- to) long-run impact on real output. The core shock was identified to have the character of the demand shock, since it has the positive impact on the inflation and output in the short run. The structural core inflation due to core shock was an attractor of headline inflation, not vice versa. Therefore, the structural core inflation that reflects the demand-side shock would be the better intermediate target for the final headline inflation target than the official core inflation that excludes the volatile inflation of agricultural and oil-related products. During the inflation targeting period of 2007-2009, the structural core inflation was more volatile than the official core inflation, because the global crisis has very large negative impacts on the domestic demand as well as the prices of agricultural and oil-related products. This paper shows that the negative core shock during the fourth quarter of 2008 was larger than that in the financial crisis in 1998. But the core shock turned into positive very quickly in 2009, as the Korean economy recovered very quickly from crisis. The volatile changes in structural core inflation suggests that the Bank of Korea barely managed to attain the 2007-2009 inflation target, owing to the very large negative impacts of the global financial crisis on the domestic demand. It also suggests that the rapid rise in core inflation with the rapid recovery of the Korean economy will lead to rapid rise in headline inflation. 본고에서는 글로벌 금융위기의 충격을 산출량에 장기적 중립성을 가지는 근원적 충격과 장기적 중립성을 가지지 않는 비근원적 충격으로 나누어 글로벌 금융위기 기간 중 근원적 충격이 물가안정목표 달성에 미친 영향을 분석하였다. 본고에서 보인 바와 같이 글로벌 금융위기가 수요에 미친 영향과 이로 인해 물가가 안정된 효과를 제대로 파악하지 못하면 향후 물가안정이 어려워질 수 있다. 농산물과 석유류 제품의 일시적 공급충격을 제거한 통상적 근원인플레이션을 기준으로 평가하면, 2007~09년 중 물가안정목표는 안정적으로 달성된 것처럼 보이고 향후 목표 달성도 무난해 보인다. 그러나 중앙은행의 통제 대상인 구조적 근원인플레이션을 기준으로 평가하면 매우 달라진다. 글로벌 금융위기를 전후한 수요충격으로 근원인플레이션이 크게 변동하였으며, 2007~09년 중 물가안정목표 달성은 글로벌 금융위기에 따른 마이너스 성장에 기인한 바가 크다. 또한 글로벌 금융위기 이후 각종 경기확대정책에 힘입어 경기가 빠르게 회복되면서 근원인플레이션이 급격하게 상승하고 있으므로 향후 적절한 출구전략을 마련해야 한다.

Dynamic Linkages between Food Inflation and Its Volatility: Evidence from Sri Lankan Economy

Abdul Majeed MOHAMED MUSTAFA,Selliah SIVARAJASINGHAM 한국유통과학회 2019 The Journal of Asian Finance, Economics and Busine Vol.6 No.4

This study examines the dynamic linkages between food price inflation and its volatility in the context of Sri Lanka. The empirical evidence derived from the monthly data for the period from 2003M1 to 2017M12 for Sri Lanka. The relationship between inflation rate and inflation volatility has attracted more attention by theoretical and empirical macroeconomists. Empirical studies on the relationship between food inflation and food inflation variability is scarce in the literature. Food price inflation is defined as log difference of food price series. The volatility of a food price inflation is measured by conditional variance generated by the FIGARCH model. Preliminary analysis showed that food inflation is stationary series. Granger causality test reveals that food inflation seems to exert positive impact on inflation variability. We find no evidence for inflation uncertainty affecting food inflation rates. Hence, the findings of the study supports the Friedman-Ball hypothesis in both cases of consumer food price inflation and wholesale food price inflation. This implies that past information on food inflation can help improve the one-step-ahead prediction of food inflation variability but not vice versa. Our results have some important policy implications for the design of monetary policy, food policy thereby promoting macroeconomic stability.

Quantifying AS Path Inflation by Routing Policies

Qixin Gao,Feng Wang,Lixin Gao 보안공학연구지원센터 2016 International Journal of Future Generation Communi Vol.9 No.1

A route in the Internet may take a longer AS path than the shortest AS path due to routing policies. In this paper, we systematically analyze AS paths and quantify the extent to which routing policies inflate AS paths. The results show that AS path inflation in the Internet is more prevalent than expected. We first present the extent of AS path inflation observed from the RouteView and RIPE routing tables. We then employ three common routing policies to show the extent of AS path inflation. We find that No-Valley routing policy causes the least AS path inflation among the three routing policies. Prefer-Customer-and-Peer-over-Provider policy causes the most AS path inflation. In addition, we find that single-homed stub ASes experience more path inflations than transit ASes and multi-homed ASes. The AS pairs with shortest AS path of 3 AS hops experience more path inflations than other AS pairs. Finally, we investigate the AS path inflation on the end-to-end path from end users to two popular content providers, Google and Comcast. Although the majority of the shortest AS paths from end users to the two providers consists of no more than three AS hops, the actual end-to-end paths that the traffic will take are longer than the shortest AS paths in many cases. Quantifying AS path inflation in the Internet has important implications on the extent of routing policies, traffic engineering performed on the Internet, and BGP convergence speed.

Stock Returns, Housing Returns and Inflation: Is There an Inflation Illusion?

길재욱,홍광헌,LEEBONGSOO 한국증권학회 2013 Asia-Pacific Journal of Financial Studies Vol.42 No.4

The inflation illusion hypothesis of Modigliani and Cohn (1979) has received renewed attention in explaining a negative relation not only between stock returns and inflation but also between housing returns and inflation. We reexamine the empirical relation in general and the validity of the inflation illusion hypothesis in particular using data from the US, the UK and Korea. We find three key results. (1) The negative relation is particularly strong in recession periods, indicating that the relation is sensitive to business cycles. (2) There are two regimes with positive and negative asset returns and inflation relations for all three countries, and the two-regime relation is found not only for the stock return–inflation relation but also for the housing return–inflation relation. This finding is at odds with the inflation illusion hypothesis because the hypothesis anticipates only a negative relation for both positive inflation and negative inflation. (3) Housing returns Granger-cause inflation, and their dynamic net effect on inflation is significantly positive for all three countries. This is at odds with the inflation illusion hypothesis, which anticipates inflation being related to negative returns. Overall, we find limited evidence for the inflation illusion hypothesis. If there is inflation illusion, only a small fraction of investors suffer from it.

A New Measure for Core Inflation Based on Generalized Dynamic-Factor Model

Kim, Jinill,Ahn, Byung Kwun 한국은행 2012 經濟分析 Vol.18 No.2

Many central bankers pay attention to measures for core inflation when deciding how to adjust policy from meeting to meeting even though their statutory targets are set in terms of headline inflation. It is because what central bankers are truly concerned with is underlying inflation going forward. For example, while the official target is set in terms of headline CPI inflation, the Bank of Korea considers a variety of core inflation measures. However, those core inflation measures are somewhat volatile and do not provide a reliable signal of medium-term underlying inflation. Continuing inflation in oil and food prices causes headline CPI inflation rate to deviate from core inflation measures for an extended period of time. In order to provide a clearer picture of underlying inflation pressures to policy makers, we need to develop a new core inflation measure that tracks underlying inflation more closely. Consistent with the current objective of the Bank of Korea that is based on headline CPI inflation, we review several core inflation measures that have been used or proposed by various authors - including those currently used by the Bank of Korea - and propose a new core inflation measure that is based on generalized dynamic-factor modeling. We discuss the behavior of our proposed core inflation measure starting in the 1990s and show that it performs better than the conventional core inflation measures that are currently used.

A New Measure for Core Inflation Based on Generalized Dynamic-Factor Model

김진일,안병권 한국은행 2012 經濟分析 Vol.18 No.2

Many central bankers pay attention to measures for core inflation when deciding how to adjust policy from meeting to meeting even though their statutory targets are set in terms of headline inflation. It is because what central bankers are truly concerned with is underlying inflation going forward. For example, while the official target is set in terms of headline CPI inflation, the Bank of Korea considers a variety of core inflation measures. However, those core inflation measures are somewhat volatile and do not provide a reliable signal of medium-term underlying inflation. Continuing inflation in oil and food prices causes headline CPI inflation rate to deviate from core inflation measures for an extended period of time. In order to provide a clearer picture of underlying inflation pressures to policy makers, we need to develop a new core inflation measure that tracks underlying inflation more closely. Consistent with the current objective of the Bank of Korea that is based on headline CPI inflation, we review several core inflation measures that have been used or proposed by various authors - including those currently used by the Bank of Korea - and propose a new core inflation measure that is based on generalized dynamic-factor modeling. We discuss the behavior of our proposed core inflation measure starting in the 1990s and show that it performs better than the conventional core inflation measures that are currently used.