통화정책과 기업 설비투자: 자산가격경로와 대차대조표경로 분석 = Monetary Policy and Corporate Investment: Analysis of the Asset Price Channel and the Balance Sheet Channel

다국어 초록 (Multilingual Abstract)

In order to confirm whether the monetary policy affect corporate investment or not, this paper examines the validity of the asset price channel and the balance sheet channel among monetary policy transmission mechanisms. Unbalanced dynamic panel model based on system GMM method is employed and annual financial statements data of Korean firms from 2000 to 2016 are used. For estimating the asset price channel, Tobin’s q is used as the independent variable, and for estimating the balance sheet channel, the cross products of liquidity asset ratio and call rate difference or liquidity asset ratio and rate of increase in monetary base are used as interaction independent variables. In addition, debt ratio and operating profit ratio are included as the regressors. The dependent variable is investment ratio (the ratio of real investment amount to real tangible fixed asset amount).
The empirical test results show that there is a statistically significant relation between investment at t and Tobin’s Q at t-1. Considering lowering policy rate possibly increase stock price, and then stock price has a positive relation with Tobin’s Q, the plus signal of Tobin’s Q means that the asset price channel of monetary policy functions statistically significant.
The coefficient of liquidity asset ratio at the former period (t-1) is also estimated as plus – it means that there might be information asymmetry between firms and banks.
Meanwhile, the coefficient of interaction term which is the cross product of liquidity asset ratio and call rate difference is estimated plus and the one which is the cross products of liquidity asset ratio and rate of increase in monetary base is estimated minus. This means that the impact of liquidity asset on investment gets weaker during the time of easing monetary policy; therefore, the balance sheet channel of monetary policy function is statistically significant.
Model estimation by firm size distribution shows that the impacts of the asset price channel and the balance sheet channel are stronger in the smaller firms. Besides, the impact of operating profit on investment is estimated more powerful in the smaller firms rather than in the larger firms. On the contrary, only the debt ratio coefficient of top 50% sized-firm group shows statistically significant minus sign.
This study has policy implications in the aspects of firms’ investment during the time of tightening monetary policy, and external fund premium for smaller firms.

국문 초록 (Abstract)

저자 : 박상준(와세다대학교), 육승환(금융통화연구실)









<요약>









본 연구는 통화정책이 기업의 설비투자에 미치는 파급경로를 불균형 동태적 패널모형으로 분석하였다. 2000~2016년 중 우리나라 기업의 재무제표 데이터(연간)를 이용하여 자산가격경로와 대차대조표경로의 유효성을 검증하였는데 이 과정에서 내생성 문제를 해결하기 위해 시스템 GMM 기법을 적용하였다. 분석 결과, t-1기의 토빈 q는 t기의 투자율과 유의적인 양의 관계를 갖는 것으로 나타났다. 정책금리의 인하가 주가 상승에 긍정적인 영향을 주고 주가 상승이 토빈 q와 양의 상관관계가 있는 점을 고려하면 유의적인 양의 값으로 추정된 토빈q의 계수는 자산가격 파급경로가 작동하고 있음을 의미한다. 전기 유동성자산의 계수도 양의 값을 갖는 것으로 추정되었다. 이는 은행과 기업 간에 정보의 비대칭성이 존재할 가능성을 시사한다. 한편, 유동성자산 비율과 콜금리 차분의 교차항은 양의 값을, 유동성자산과 본원통화 증가율의 교차항은 음의 값을 갖는 것으로 추정되었다. 이는 확장적 통화정책이 실시되고 있을 때에는 투자에 대한 유동성자산의 영향력이 감소하는 것을 의미하는 것으로, 대차대조표경로가 작동하고 있음을 뜻한다. 기업을 규모별로 분류하여 추정한 결과, 기업 규모가 작을수록 자산가격경로와 대차대조표경로가 더 뚜렷하게 작동하는 것으로 보인다. 한편 영업이익률의 투자에 미치는 영향력도 규모가 큰 기업보다는 규모가 작은 기업에서 더 큰 것으로 나타났다. 반면에 부채비율은 상위 50% 기업에서만 유의적인 음의 값을 갖는 것으로 추정되었다. 본 연구는 기업 단위의 분석을 통해 통화정책의 자산가격경로와 대차대조표경로가 작동하여, 통화정책이 기업의 투자결정에 영향을 미친다는 것을 실증적으로 확인한 데 의미가 있다. 또한 통화정책 기조 변화가 기업의 투자결정에 미치는 영향이 기업 규모별로 상이할 수 있음을 보인 것도 정책적 측면에서 시사하는 바가 있다.

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