신용공급 충격이 재화별 소비에 미치는 영향 = The Effects of Credit Supply Shocks on Durable and Nondurable Consumption

국문 초록 (Abstract)

본고는 가계의 차입이 담보자산(내구재)에 의해 제약되는 two-sector 뉴케인지언모형에서 신용공급 충격(LTV비율 충격)시 VAR 분석과 같이 소비재간(내구재 및비내구재) 공행성(comovement)을 위해서는 모형에 임금 경직성을 도입할 필요가있음을 보이고 있다. 임금이 신축적인 경우 부정적 신용공급 충격시 비내구재생산은 감소하나 내구재 생산은 오히려 증가하는 공행성 문제(comovement problem) 뿐만 아니라 총생산도 증가하는 것으로 나타났다. 그러나 임금 경직성을 모형에도입할 경우 신용공급 충격에 대해 총노동이 감소하면서 비내구재뿐만 아니라내구재 생산도 감소하여 공행성 문제가 발생하지 않는 것으로 나타났다. 임금경직성 정도가 모형의 결과에 영향을 미치는지 확인하기 위해 민감성 분석을실시한 결과 임금 경직성이 낮은 경우에도 신용공급 충격에 대해 내구재 및비내구재 생산이 감소하는 결과는 바뀌지 않는 것으로 나타났으며 임금이경직적인 경우에는 내구재 가격이 경직적이라도 공행성 문제는 나타나지 않고있다.

다국어 초록 (Multilingual Abstract)

This paper shows the role of wage stickiness in the transmission of credit supply shocks in a two-sector New Keynesian model with a collateral constraint. In the vector autoregression analysis, durable and nondurable goods comove in response to a credit supply shock. However, in a two-sector New Keynesian model with flexible wages, the output of nondurables decreases, whereas the output of durables and total output increase in response to a negative credit supply shock. Therefore, the comovement problem in a two-sector New Keynesian model arises in response to a credit supply shock. If we introduce nominal wage stickiness, the output of nondurables and durables decrease together and, as a result, total output also falls. This result is robust to the degree of wage stickiness and to durable price stickiness. The share of borrowers also does not influence the main result.

참고문헌 (Reference)

1 Lombardo, G., "Welfare Implication of Calvo vs. Rotemberg Pricing Assumptions" 100 : 275-279, 2008

2 Avouyi-Dovi, S., "Wage Rigidity, Collective Bargaining, and the Minimum Wage: Evidence from French Agreement Data" 95 (95): 1337-1351, 2013

3 Elsby, M., "Wage Adjustment in the Great Recession and Other Downturns: Evidence from the United States and Great Britain" 34 (34): 249-291, 2016

4 Ciccarelli, M., "Trusting the Bankers: a New Look at the Credit Channel of Monetary Policy" 18 : 979-1002, 2015

5 Lown, C., "The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey" 38 : 1575-1597, 2006

6 Bihan, H., "Sticky Wages: Evidence from Quarterly Microeconomic Data" 4 (4): 1-32, 2012

7 Barsky, R. B., "Sticky Price Model and Durable Goods" 97 (97): 984-998, 2007

8 Barattieri, A., "Some Evidence on the Importance of Sticky Wages" 6 (6): 70-101, 2016

9 Ascari, G., "Real Wage Rigidities and Disinflation Dynamics:Calvo vs. Rotemberg Pricing" 110 : 126-131, 2011

10 Aoki, K., "Optimal Monetary Policy Responses to Relative-price Changes" 48 : 55-80, 2001

11 Christiano, L., "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy" 113 (113): 1-45, 2005

12 Monacelli, T, "New Keynesian Models, Durable Goods, and Collateral Constraints" 56 (56): 242-254, 2009

13 Getler, M., "Monetray Policy Surprises, Credit Costs, and Economic Activity" 7 (7): 44-76, 2015

14 Busch, U., "Loan Supply in Germany During the Financial Crisis" Deutsche Bank 2010

15 Gambetti, L., "Loan Supply Shocks and the Business Cycle" 32 : 764-782, 2015

16 Druant, M., "Firms' Price and Wage Adjustment in Europe: Survey Evidence on Nominal Stickiness" 19 (19): 772-782, 2012

17 Barsky, R. B., "Do Flexible Durable Goods Prices Undermine Sticky Price Models?" National Bureau of Economic Research 2003

18 Sterk, V, "Credit Frictions and the Comovement between Durable and Non-durable Consumption" 57 (57): 217-225, 2010

19 Kim, J, "Constructing and Estimating a Realistic Optimizing Model of Monetary Policy" 45 (45): 329-359, 2000

20 김광환, "Collateral Constraints, Sticky Wages, and Monetary Policy" 지암남덕우경제연구원 43 (43): 35-65, 2014

21 Carlstorm, C., "Co-movment in Sticky Price Models with Durable Goods" Cleveland Fed 2006

22 Alpanda, S., "Addresssing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?" Bank of Canada 2014

23 Whelan, K., "A Guide to the Use of Chain-aggregated NIPA Data" Board of Governors of the Federal Reserve System 2000