Monetary Policy Effectiveness in China : Evidence from a Structural VAR Model

Li Hao,Lee Ki-Seong 아시아유럽미래학회 2022 유라시아연구 Vol.19 No.1

통화정책의 유효성을 분석하기 위해서 실물경제에 대한 통화정책의 파급경로를 파악하는 것이 매우 중요하 다. 이를 위하여 본 연구에서는 구조적 VAR 모형을 토대로 2001년 1월부터 2020년 12월까지 중국의 금융 및 실물 거시경제변수에 대한 월별 자료를 이용하여 통화정책의 파급경로와 실물경제에 미치는 영향을 분석 하여 중국 통화정책의 유효성을 살펴보았다. 특히 분석기간을 글로벌 금융위기 이전과 이후로 구분하여 글로 벌 금융위기 전후 통화정책의 파급효과 변화 여부도 살펴보았다. 본 연구의 분석결과를 요약하면 다음과 같다. 금리의 상승충격에 대하여 산업생산은 글로벌 금융위기 전후 지속해서 장기간 부(-)의 영향을 보이며, 소비 자물가는 전후 모두 상승하여 가격 퍼즐 현상이 나타나고 있다. 그리고 통화량은 감소하고 위안화 환율은 하 락하는 것으로 나타났다. 금리의 상승충격에 대하여 주가지수는 경제이론의 예측과 같이 하락하는 것으로 나 타났다. 한편, 통화량의 상승충격에 대하여 산업생산은 글로벌 금융위기 전후 상반된 모습을 보이며, 소비자물가에 는 단기적으로 정(+)의 효과를 보이는 것으로 나타났다. 위안화 환율은 통계적으로 유의하지 않지만, 부(-)의 효과가 나타나고 있으며, 주가지수는 글로벌 금융위기 전후 상반된 모습을 보이는 것으로 나타났다. 중국의 통화정책에 대한 일부 거시경제변수들의 반응이 경제이론에서의 예측과 달리 나타나고 있을 뿐만 아니라 통계적 유의성도 낮게 나타나는 것으로 보아 통화정책의 유효성과 파급효과가 상당히 결여되어 있음 을 알 수 있다. 통화정책의 파급경로와 효과는 일명 블랙박스(black box)와 같기 때문에 금융시장의 상황이나 거시경제 여 건 등에 따라 차이가 발생할 수밖에 없다. 즉, 통화정책의 파급경로와 효과는 완벽하게 작동되는 것이 아니다. 그뿐만 아니라 통화정책의 효과가 실물부문에 영향을 미치기까지는 상당한 시차가 필요하다. 그러므로 중국은 통화정책의 효과를 극대화하기 위해서 현재의 경제 상황을 정확하게 판단하고 정책을 전개해야 한다. 더 나아 가 금융자원 배분의 효율성 제고와 금융시장이 구조조정 및 리스크 방지 역할을 효과적으로 수행할 수 있도록 금융시장 시스템의 개선을 적극적으로 추진해 나가야 할 것이다. This study aims to analyze the effectiveness of monetary policy. It is important to study the influence channel of monetary policies on the real economy. Based on the structural VAR model, this study uses the monthly data from the Chinese financial sector and actual macroeconomic variables from January 2001 to December 2020 to analyze the influence channel of monetary policy and its impact on the real economy in order to find out about the effectiveness of monetary policy. Focusing on before and after the global financial crisis, this study elaborates on the transmission effects of monetary policy before and after the global financial crisis. The results are as follows. In terms of the impact of rising interest rates, before and after the global financial crisis, industrial production continued to be negatively affected for a long time and consumer prices continued to increase during this period leading to price difficulties. In addition, the money supply and the RMB exchange rate decreased. Due to the shock of rising interest rates, stock indexes have fallen as predicted according to the economic theories. Moreover, because of the shock of rising interest rate, higher money supply, industrial production situation was unexpected before and after the global financial crisis, which led to a positive effect on consumer prices in the short-term. The change of RMB exchange rate was not obvious statistically, but there was a negative effect. During this period, stock indexes was the opposite of expectation. The impact of some macroeconomic variables on monetary policy can be seen as different from predictions based on economic theories and it doesn’t have much statistical significance, indicating the lack of effectiveness and transmission effect of monetary policy. The influence channel and effects of monetary policies are similar to the black box. Inevitably there will be changes in the financial markets and the real economy according to the specific conditions. It also means the influence channel and effects of monetary policy don’t play a vital role. It takes a long time for monetary policies to affect the real economy. Therefore, to maximize the effect of monetary policies, it is essential to determine the current economic situation and implement the policies. Furthermore, it is vital to actively improve the financial market system. Hence, it will be possible to enhance the efficiency of financial resource allocation and enable the financial market to do its roles in structural adjustment and risk prevention.

Monetary Policy and Asset Price Interactions in India: Should Financial Stability Concerns from Asset Prices be Addressed Through Monetary Policy?

( Bhupal Singh ),( Sitikantha Pattanaik ) 세종대학교 경제통합연구소 2012 Journal of Economic Integration Vol.27 No.1

The dynamic interactions between monetary policy and asset prices have conventionally been examined in terms of the asset price channel of transmission of monetary policy, given the pre-crisis analytical consensus against the use of monetary policy to respond directly to asset price inflation. In the post sub-prime crisis period, however, there has been an overwhelming intellectual support for revisiting the issue of whether monetary policy should become more sensitive to asset price trends and respond proactively to prevent any build up of bubbles. In the Indian context, this paper provides empirical evidence to explain the relevance of a policy of no direct use of the interest rate instrument for stabilising asset price cycles. While the asset price channel of monetary policy is clearly visible in empirical estimates, there is no evidence of monetary policy responding to asset price developments directly. Asset price changes also do not seem to influence the inflation path, as per the impulse response analysis in a structural VAR model. This suggests why monetary policy may continue to refrain from responding directly to asset price cycles. Credit market shocks, however, explain significant proportion of asset price variations over medium to long run, which though could be part of a broader comovement of variables over the business cycle, as visible in terms of simultaneous movement in real activity, credit flows and asset prices. Higher interest rates seem to lead to contraction in output, credit demand as well as asset prices; hence, only the impact on asset prices should not be viewed as a good enough reason to use monetary policy for stabilising asset price cycles. The financial stability concerns from asset price bubbles could be better addressed through micro and macro-prudential measures, and the effectiveness of such measures could be enhanced when implemented in a sound macroeconomic policy environment.

자본시장의 글로벌화와 한국 통화정책의 독립성

김소영,신관호 한국개발연구원 2010 KDI Journal of Economic Policy (KDI JEP) Vol.32 No.2

This paper empirically examines whether Korean monetary policy is independent of U.S. monetary policy during the post-crisis period in which capital account is liberalized and floating exchange rate regime is adopted and during the pre-crisis period in which capital mobility is restricted and tightly managed exchange rate regime is adopted. Before capital account liberalization, monetary autonomy can be achieved in view of the trillema, even under tightly managed exchange rate regime, as capital mobility is restricted. On the other hand, for the period after capital account liberalization, monetary autonomy can be also achieved in view of the trillema, as exchange rate stability is given up. Securing monetary autonomy, however, may not be easy under liberalized capital account for a small open economy like Korea. Huge capital movements can generate excessive instability in foreign exchange and asset markets. Strengthened international economic linkages may also be another factor to prevent monetary policy from being independent. Using block-exogenous structural VAR model, the effects of U.S. monetary policy shocks on Korean economy are examined. Empirical results show that Korean monetary policy is not independent of U.S. monetary policy for both periods before and after capital account liberalization. For the period after capital account liberalization, Korea does not seem to have implemented floating exchange rate policy in practice, which may lead Korean monetary policy to be dependent on U.S. monetary policy. For the period after capital account liberalization, portfolio flows respond dramatically to the U.S. monetary policy, which may also keep Korean monetary policy from being independent. 본 논문은 한국이 1997년 외환위기 이후 변동환율제 도입과 더불어 자본자유화로 자본시장이 글로벌화된 상황에서 외부로부터 독립적인 통화정책을 유지할 수 있었는지를 자본 자유화 이전 기간과 비교하여 분석했다. 트릴레마 이론에 비추어보면 자본자유화가 진행되기 전에는 환율시장에 적극적으로 개입을 해도 이론적으로 독립적인 통화정책을 유지할 수 있는 여지가 있었고, 자본자유화가 진행된 이후에는 자유 변동 환율 제도로 전환함에 따라 독립적인 통화 정책을 유지할 수 여지가 있었다. 하지만 한국과 같은 소규모 개방 경제의 경우 자본 시장 개방으로 막대한 양의 국제 자본 유출입으로 환율과 자산 시장의 심각한 불안정성을 초래할 수 있고 국가 간 연계성 증대로 외국의 통화 정책과 자본 흐름에 완전히 자유로운 통화 정책을 집행하기 어려울 수 있다. 본 논문의 실증분석에서는 외부를 미국으로 국한하여 한국의 통화정책이 미국의 통화정책으로부터 독립적인지 블록 외생성 구조 VAR 모형을 이용하여 보다 자세히 분석하였다. 그 결과 한국의 통화정책이 자본자유화 이전과 이후 두 기간 모두에서 미국의 통화정책에 대해 완전히 독립적으로 운용되지 못하였던 것으로 보인다. 자본자유화 이후 기간의 경우 완전한 변동환율제를 실제로 운용하기는 쉽지 않았고 이는 필연적으로 한국의 통화정책도 외부의 충격에 완전히 독립적이지 못하도록 한 것으로 보인다. 또한 포트폴리오 자본의 유출입이 자본자유화 이후 기간에 이전 기간에 비해 매우 민감하게 변화하여 독립적인 통화정책의 운영에 있어서 어려움을 초래한 것으로 보인다. 따라서 향후 자본의 글로벌화에 효과적으로 대응하면서 통화정책을 독립적으로 유지할 수 있는 정책의 틀을 개발하는 것이 시급하다고 하겠다.

A Small Open DSGE Model for the Chinese Economy

Sun, Zhaojun,한광석 부산대학교 중국연구소 2022 Journal of China Studies Vol.25 No.3

Economists disagree about the effectiveness of monetary policy and the necessity of government intervention. Classic economists, such as Adam Smith advocated a complete market so there have no use of monetary policy and government intervention. Keynesian economics emerged with propositions of government intervention and the utility of monetary and fiscal policies. New Keynesian economics modified real business cycle model, adding nominal rigidities, various shocks and frictions, incomplete markets, and so on, to construct a dynamic stochastic general equilibrium (DSGE) model, which clarifies monetary policy non-neutrality in the short run. The DSGE model has become the most widely used model for macroeconomic analysis, emphasizing Keynesian economics. Many central Banks use the DSGE model as an important reference when implementing monetary or fiscal policy. The People’s Bank of China implements monetary policy to regulate and promote economic development. Hence, it is extremely meaningful to figure out the dynamic effects of monetary policy shock in China as a reference for Chinese monetary authority. In the paper, a small open dynamic stochastic general equilibrium model was used to present the dynamic effects of monetary policy shock on the Chinese economy. Some important parametric values were estimated using a Bayesian approach, leveraging quarterly Chinese macroeconomic data representing real output and inflation from January 1992 to 2018. According to the model, a negative monetary policy shock in the home country drops interest rates below their steady-state value and expanded the interest-rate gap during the first period, whereas the interest rate gap reduced and reverted to the zero steady state in the end. The negative monetary policy shock had a negative effect on the output, labor, inflation, wages, and consumption, dropping them below their steady-state values. However, the negative monetary policy shock had a positive effect on net exports, sending it above its steady-state value. A negative monetary policy shock of the world economy has negative effects on the output, net export, labor, real wages, and consumption, causing these variables to fall below their steady-state values. A negative monetary policy shock has a positive effect on inflation, causing it to rise above its steady-state value during the initial periods. However, inflation quickly drops below its steady-state and reverts to a steady-state in the end.

텍스트 마이닝 기법을 활용한 우리나라 통화정책의 커뮤니케이션 효과분석

박재진,김재필 한국지급결제학회 2022 지급결제학회지 Vol.14 No.1

The central bank’s communication is very important as a signal of the monetary policy. The short term effect of the monetary policy, comparing to the long term effect, is relatively easy to measure because the financial market immediately responds to the change in the central bank’s monetary policy signal so that the immediate change in the interest rates in the financial market can be represented as its short term effect. There are some studies on the these theme, such as Kohn and Sack(2004) and Boukus and Rosenberg(2006), which used a text mining method and the LSA(Latent Semantic Analysis) method as the tools for this analysis. The purpose of this paper is to find out the short term effect of Korean monetary policy communication. Firstly, this paper researched the difference between the interest rate volatility of the Korean financial market during the whole period, from Jan, 2001 to Dec. 2015 and that of the same market for only the monetary policy committee’s meeting days of the Bank of Korea during the same period. This analysis revealed, with statistical significance, that the change in interest rates in the monetary policy meeting days were much higher than the change in those interest rates in the whole days. This means that there existed the short term monetary policy impact on the financial market. Secondly, using a text mining method and the LDA(Latent Dirichlet Allocation) method, this paper tried to find out the monetary policy themes. To do this, the monthly press releases for the monetary policy decision of the Bank of Korea were used. As the result of this, the five themes of the monetary policy were found out. And, with these themes, this paper analyzed the statistical correlation between those monetary policy themes and current economic conditions and future economic conditions, such as GDP, inflation etc.. This analysis revealed that there were also deep correlations between them, which means that monetary policy were deeply correlated with the current and future economic conditions. Thirdly, this paper, using statistical regression models, tried to analyze the effects of the monetary policy themes on the change in the interest rates of financial instruments, such as Certificate of Deposit, Commercial Paper, Monetary Stability Bond(the maturity of 1 year), Treasury Bond(the maturity of 3 years), and Corporate Bond(the maturity of 3 years). This also discovered that those themes, with statistical significance, had the strong correlation with the most of those interest rates, especially the stronger correlation with the short term rates, such CD and MSB than the long term rates. This analysis also proves that there existed the significant effect of the monetary policy communication on the financial market. These results imply that this study could be used to help to enhance the effectiveness of the monetary policy communication. And the monetary policy minutes and media texts such as newspapers which have broader and detailed information on the monetary policy and the current and future economic conditions could be used for the additional study using above text mining techniques. 중앙은행의 커뮤니케이션은 통화정책 시그널로서 통화정책에서 있어서 중요한 역할을 함에 따라 그 효과를 분석하는 것이 통화정책 커뮤니케이션 전략 수립에 도움이 될 것으로 기대된다. 통화정책 커뮤니케이션 효과는 통화정책 시그널에 대한 금융시장의 대응으로 인해 금리수준 또는 금리변동성에 영향을 미치는 단기적인 효과로서 성장, 물가 등 실물경제변수에 영향을 미치는 통화정책의 장기적인 효과와는 구분된다. 통화정책 커뮤니케이션의 단기 효과에 관한 해외 주요 연구사례로는 Kohn and Sack(2004)과 Boukus and Rosenberg(2006) 등이 텍스트 마이닝 기법을 활용한 연구가 있으며 국내에서는 손욱 등(2005), 방현철∙하준경(2013), 배영수(2014) 등의 국내 통화정책의 커뮤니케이션 효과에 관한 연구가 있다. 이러한 연구사례를 배경으로 본고는 먼저 통화정책 당일의 시장금리 변동성이 여타 일자의 시장금리 변동성과 차이가 있는지를 분석한 결과 통화정책 당일의 시장금리 변동성이 통계적으로 유의하게 높게 나타나 통화정책 커뮤니케이션 효과가 있는 것으로 분석되었다. 이에 따라 동 효과를 보다 상세히 분석하기 위해 한국은행의 통화정책관련 보도자료를 분석대상으로 하여 동 효과를 분석하였다. 구체적으로 2001년 1월∼2015년 12월중 한국은행 통화정책 결정관련 “기자간담회자료”를 대상으로 텍스트 마이닝 기법과 LDA(Latent Dirichlet Allocation) 기법을 이용하여 한국은행 통화정책관련 5개 주제를 추출하고, 동 주제를 시계열로 변환한 후 동 주제의 시계열과 경제동향 및 경제전망 변수와의 상관관계를 분석하였다. 분석 결과 서로 상관관계가 높은 것으로 나타나 통화정책 커뮤니케이션 효과가 뚜렷한 것으로 분석되었다. 또한 이들 통화정책 주제의 시계열을 독립변수로 하고 CD금리, CP금리 및 통안증권금리(1년), 국고채금리, 회사채금리 등 다양한 시장금리를 종속변수로 하여 회귀분석을 실시한 결과 금리 종류에 따라 결과가 다소 차이가 있긴 하였으나 대부분의 시장금리가 통화정책 주제와 통계적으로 유의한 것으로 나타났다. 특히 단기금리인 CD금리 및 통안증권금리 등에서 통화정책 커뮤니케이션 효과가 뚜렷하게 나타났다. 이러한 실증분석결과는 향후 금융통화위원회 회의록, 통화정책관련 언론기사 등 다양한 통화정책 관련 자료를 활용한 통화정책 커뮤니케이션 효과분석을 위한 토대가 될 것으로 기대된다.

주택가격 거품의 식별과 통화정책에의 시사점

박준하 ( Junha Park ) 한국금융연구원 2021 금융연구 Vol.35 No.4

본고에서는 중앙은행이 주택가격 상승에 대응하여 통화정책을 사용해야 하는지(lean against the wind)를 판단하기 위한 주요한 전제조건으로서 주택가격 거품의 존재 여부, 통화정책이 주택가격 거품에 미치는 영향 두 가지를 분석하였다. 분석 결과, 수도권 지역(서울, 인천, 경기)에서 2006~2007년 주택가격 상승이 예상 주택가격상승률을 상승시킴으로써 귀속 임대료를 비교적 크게 하락시켰던 것으로 추정되었는데 이는 당시 비합리적 거품이 존재하였음을 시사한다. 2018년 전국에서 유일하게 서울에서 이러한 거품이 발생한 것으로 분석되었으나 거품의 지속성 및 크기는 2006~2007년 보다는 약했던 것으로 나타났다. 통화정책 충격이 주택가격 거품에 미치는 효과의 경우, 금리 인상 직후 초기국면에는 거품이 감소하는지 확실하게 나타나지 않았으나 종국적으로는 거품을 감소시키는 것으로 추정되었다. 이러한 결과들은 주택시장에서의 비합리적 거품의 발생이 빈번한 현상은 아닐 수 있으며, 동시에 통화정책이 정책 초기 다소의 불확실성에도 불구하고 주택가격 거품에 대응하기 위한 적절한 수단이 될 수 있음을 보여준다. 즉, 주택시장에 거품이 존재하는지에 여부 대한 신중한 판단이 필요함을 전제로, 통화정책이 금융안정을 위해 사용될 수 있는 상황이 존재함을 시사한다. In this paper, how far there exist the bubbles frequently in the housing market and the effect of monetary policy on them are examined as the main prerequisites in evaluating whether the central bank should lean against the wind through monetary policy to achieve the financial stability goal. First, the no-arbitrage condition between the imputed rent and the market rent is established through the simple model, and empirical analysis is performed on when the condition is not satisfied in order to investigate how far bubbles occur frequently in the housing market. Next, assuming a risk-neutral investor with the rational expectations and an economy with rational bubbles, the effect of the monetary policy shock on the rational bubble included in the house price is estimated through the time-varying parameter VAR model with bayesian MCMC (markov chain monte carlo) algorithm to examine the impact of monetary policy shocks on housing bubbles. In the analysis on frequency of the housing bubbles, Estimated results implies that there was the irrational bubbles between 2006 and 2007 in the metropolitan area (Seoul, Incheon, Kyungki). It is estimated that the bubbles continued until the first half of 2008. The imputed rent to market rent ratio was significantly below the long-term average. Thus, it can be seen that during the period, consumers were still "undervalued" despite the rise in house prices, and the increase in house prices increased the expectation for future house prices growth rate, thereby reducing the imputed rents rather than increasing them. The situation in which the irrational bubble collapses after the global financial crisis shows the opposite situation. During 2009-2013, the imputed rent to market rent ratio continued to exceed the long-term average. It shows that consumers were "overvalued" despite the decrease in house prices because the expectation of a significant drop in house prices increased the imputed rents. The bubbles are analyzed to have started from the nationwide upward momentum in 2002. In the metropolitan area, the upward trend was developed into the bubble, whereas it was not developed into the bubble and prices were adjusted properly by market mechanism in other regions. Since 2014, after about six years of the bubbles extinguishing process, the imputed rents to market rents ratio was generally at the long-term average. In the case of Seoul, the imputed rents to market rents ratio was significantly below the long-term average, indicating that the irrational bubbles occurred in the Seoul area during that period. However, unlike the situation right before the financial crisis, housing bubbles did not occur in the metropolitan area other than Seoul, and the size of the bubbles is analyzed to be limited compared to the previous one. In 2019, the imputed rents to the market rent ratio again significantly exceeded the long-term average with the rising house prices. It implies that consumers overvalued house prices in 2019 and that house prices would enter a phase with downward pressure in 2020, although the big shocks related to COVID-19 in 2020 have changed all these predictions evaluated before 2020. In the analysis on the effect of monetary policy shocks on the housing bubbles, it is estimated that an interest rate hike would reduce the bubble. At the beginning of the interest rate rise, the response value of the bubbles to monetary policy shock is uncertain to evaluate the increase or decrease. But, the value gradually decreases and becomes a negative in the second half of the reaction, which implies that a tight monetary policy shock can reduce rational bubbles certainly at least after the 10th quarter from the shock. The results imply that there is evidence that monetary policy on reducing the rational bubbles can be effective after some period since the policy is implemented while there is uncertainty initially. Taken together, key takeaway from the paper are two things. First, the results that bubbles occurred in the metropolitan area in 2006-2007 and Seoul in 2018 for 20 years indirectly imply that the occurrence of the irrational bubbles in the housing market is not a frequent phenomenon. Thus, there might only be limited cases in which housing bubbles must be dealt with through monetary policy at least in Korea, given those estimation results and the theoretical possibility of continuous credit expansion derived from falling the real interest rate. Secondly, monetary policy is highly likely to reduce the housing bubble, although there are some uncertainty in the effect of the policy on bubbles in early phases. It implies that monetary policy can be used as appropriate instrument to target the financial stability in limited but necessary circumstances.

Impact of South Africa`s Monetary Policy on the LNS Economies

( Sylvanus Ikhide ),( Ebson Uanguta ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2010 Journal of Economic Integration Vol.25 No.2

The countries in the Common Monetary Area (CMA), South Africa, Lesotho, Namibia and Swaziland, have harmonised their monetary and exchange rate policies in a quasi-monetary union since 1990. Lesotho, Namibia and Swaziland (LNS) have pegged their currencies to the South African Rand thus effectively surrendering monetary policy to the South African reserve bank. The arrangement has resulted in benefits in the form of lower prices, economy on trading costs, and a large increase in trade volume and cross-border financial transactions. However, one cost that has confronted the LNS economies in this monetary arrangement is the loss of independent monetary policy decision-making for stabilisation purposes. This study applies VAR to trace the impact of South Africa Reserve Bank°Øs (SARB) monetary policy on the LNS economies. Specifically, the study examines how a change in the policy instrument of the Reserve Bank of South Africa affects money, credit and level of prices in the LNS economies and consequently assesses the capability of these economies to undertake independent monetary policy. Both the impulse response functions and the cumulated forecast errors show that the lending rates, level of prices and money supply respond instantaneously to changes in the repo rate by the South African reserve bank. Our analysis confirms that the South African repo rate is the relevant policy instrument for these economies as opposed to the LNS countries` central bank rates. The study concluded that under the existing monetary arrangement, the LNS economies may not be able to undertake independent monetary policy.

Do Labour Market Reforms Achieve a Double Dividend under EMU? Discretionary versus Rule-based Monetary Policy Revisited

Belke, Ansgar,Kamp, Martina 세종대학교 국제경제연구소 1999 Journal of Economic Integration Vol.14 No.4

High equilibrium unemployment and the inflation bias in some EU countries require fundamental reforms of labour-market institutions. Impacts of different monetary regimes inside and outside EMU on the incentives for labour-market reforms are examined in a Barro-Gordon framework from the perspective of a single country. Monetary policy (discretionary versus rule-based) and the degree of labour-market reforms are determined simultaneously. It can be shown that discretionary policy outside EMU leads to a higher degree of reforms than rule-based policy since in the former case reforms reduce both unemployment and the inflation bias. However, rule-based monetary policy inside EMU limits the benefits of reforms to a positive impact on employment. Nevertheless, total economy welfare under EMU is superior to the one under discretionary policy. Insofar as a superior instrument is available for the parallel reduction of the equilibrium inflation rate, namely a strict monetary policy rule, the higher degree of labour-market reforms under discretionary monetary policy outside EMU only signals a kind of an overshooting. (JEL Classificaions : E52, E61, J38)

소규모개방경제 모형을 이용한 통화 및 거시건전성 정책 분석

이우헌 ( Woo Heon Rhee ),정용승 ( Yong Seung Jung ) 한국금융연구원 2015 금융연구 Vol.29 No.4

The Great Recession has highlighted the interconnectedness between macroeconomic and financial stability. In particular, the housing sector has been found pivotal in understanding the crisis. Housing market has collapsed with subprime mortgage, and microprudential policies aims at preventing the risk faced by individual firm has been useless in preventing the crisis from spreading across the economy. The traditional monetary policy has been also not sufficient to avoid the crisis and gain a robust recovery. Economists and policy makers have realized that the existing set of monetary policies aimed at price stability and the microprudential regulations targeted at the financial soundness of individual financial institution are insufficient in stabilizing the economy from financial shocks. Since the outbreak of the Great Recession, various macroprudential policy tools have been discussed and introduced in advanced economies to promote the stability of the financial system and to minimize the transmission of financial shocks to the entire economy. Korean government has already implemented macroprudential tools to promote the stability of the financial system and to minimize the transmission of financial shocks to the entire economy since a household’s relatively high leverage ratio is more vulnerable to shocks. In particular, Korean government has implemented macroprudential tools, such as the loan-to-value (LTV) and debt-to-income (DTI) ratio tools to protect the system and the economy from risk. Given that macroprudential policy inevitably interacts with monetary policy, the question of whether or not and how monetary and macroprudential policy makers should respond to financial variables warrants a close look. The Fed is expected to be back on normalizing the interest rate with recovering the US economy from the Great Recession. Under this circumstance, the Korean economy heavily dependent on the U.S. economy should face with the so-called deleveraging process sooner or later. Considering a high debt burden in Korea, we need to analyze the dynamic effect of alternative exogenous shocks on the real economy as well as the desirable macroeconomic policy tools to deal with household’s debt problem. In the present study, we set up a simple small open economy with sticky price that features the housing market to discuss how monetary and macroprudential authority should react to exogenous shocks. The benchmark model is similar to that of Iacoviello (2005) with two-types of households: borrowers and savers. Impatient borrowers face the collateral constraint linked to the expected market value of their houses and labor income, whereas patient savers smoothen their consumption profile with their financial assets. We then evaluate the implications of time-varying versus time-invariant macroprudential policies, such as the LTV and DTI tools, and their interaction with the monetary policy related to financial stability and business cycles. Specifically, we introduce into the model two kinds of simple and implementable macroprudential rules to address how the macroprudential and monetary authority react to exogenous shocks: The macroprudential authority responds to either the credit growth or house price growth to avoid episodes of excessive credit growth in the spirit of the Basel III regulation. The main findings of this study can be summarized as follows. Firstly, time-varying macroprudential policy is more effective in stabilizing household debt than time-invariant macroprudential policy, whether or not the macroprudential authority accounts for a borrower’s labor income, in addition to the LTV in the macroprudential policy. Secondly, macroprudential policy based on credit growth is more effective than its reaction on house price growth in moderating household debt swings to exogenous shocks as well as in improving the welfare. Finally, it is desirable for monetary authority to cooperate with macroprudential authority to achieve its objective by smoothing its policy rate to the exogenous shocks.

金融硏究(금융연구) : 통화정책에 대한 외환보유액의 영향 분석: 우리나라를 대상으로

최재용 ( Jae Yong Choi ),우승준 ( Sung Jun Woo ) 한국금융연구원 2013 금융연구 Vol.27 No.4

통화정책에 대한 글로벌요인의 영향력이 커지면서 통화정책목표의 범위도 물가안정에서 금융안정까지 포괄하는 방향으로 확대되고 있다. 본 논문에서는 대외요인변수인 외환보유액이 통화정책에 미치는 영향 경로를 분석하고 통화정책의 유효성을 제고하기 위한 바람직한 외환보유액 관리방안을 제시하였다. 분석 결과, 외환보유액은 성장 및 물가와 정(+)의 관계에 있으며, 대외완충역할을 제공함으로써 환율변동성 및 자본조달비용을 줄이는 효과가 있는 반면 단기외채비중을 늘려 자본조달의 건전성을 저해할 수 있는 것으로 분석되었다. 따라서 외환보유에 따른 물가 및 환율절상압력과 보유비용은 금융안정을 위한 정책비용으로 인식하되, 과다 비용부담을 줄이기 위해 ALM 측면에서의 외화자산·부채관리시스템을 강화하고, 외채구조의 건전화 등을 통해 외환보유액 관련 도덕해이유인을 줄이는 한편 외환부문에서의 거시건전성 정책과 더불어 위기시나리오별 외화자산운용원칙을 마련하는 등 시장신뢰를 높임으로써 통화정책 관련 대외변수의 영향력을 줄이려는 노력이 필요하다. With global financial and economic integration, the role of global risk factors in central banks` monetary policy has been growing while the scope of the monetary policy target has also expanded to include financial stability. Considering these trends, this paper analyzes the channels through which foreign reserve-related variables can affect monetary policy and makes recommendations for how to improve foreign reserve management for more effective monetary policy. We analyze five channels through which the foreign reserves impact monetary policy-through macroeconomic variables including growth and inflation, through external shocks such as foreign exchange volatility and sovereign funding costs, through the costs of holding the foreign reserves, through moral hazard incentives for financial institutions such as to increase their short-term foreign borrowings, and through the stronger influence of external variables on the domestic monetary policy decision. The findings of analysis for the case of Korea are as follows : First, that foreign reserves have a positive impact on growth and inflation mainly through improving the nation`s current account status, although the impact on inflation weakens gradually over the longer term as monetary sterilization comes to have an effect. Second, that increases in foreign reserves are found to be one factor reducing exchange rate volatility and sovereign funding costs by providing a buffer against external shocks. Furthermore, that the cost savings increase further in the longer run due to improvement in the sovereign credit reputation. Third, that foreign reserves can hamper soundness of the external funding structure and increase the risk of currency mismatch within the public sector. The rate of growth and proportion of short-term debt to total debt tends to increase as the amount of available foreign reserves grows. Fourth, that macroeconomic variables reflecting external factors such as the exchange rate and foreign reserves have considerable influence on monetary policy. The results of analysis show the growth rate, the exchange rate (or foreign reserves), the money supply and inflation to have higher explanatory powers on monetary policy, in that order. Based upon our findings, we make recommendations on how to improve foreign reserve management for more effective monetary policy. First, that inflationary and currency appreciation pressures should be dealt with in a direction that minimizes the risks of financial destabilization from the whole macroeconomic policy perspective, while macroeconomic neutralization measures including currency swap arrangements with domestic institutions should be explored. Second, that the costs of holding foreign reserves should be recognized as policy costs of economic and foreign exchange stability, while reduction in excessive opportunity costs should be pursued by strengthening the system of foreign asset and liability management from the national ALM point of view. Third, that to diminish the moral hazard incentives due to increases in the foreign reserves, it is desirable to take a comprehensive approach, such as trying to improve sovereign debt structure soundness, rather than focusing on individual issuerelated microeconomic responses. Fourth, that diverse measures to ease the degree of procyclicality of foreign reserve management, such as by extending the investment horizon of credit exposure, should be introduced. It is also important to devote efforts to weakening the influence of external variables on monetary policy, by boosting market confidence in the financial safety net through enhancement of foreign reserve management transparency, for example by ex-ante disclosure of the principles of reserve management in different crisis scenarios, along with the employment of macroprudential policies in response to cross-border capital flow volatility.