통화정책의 상태의존적 효과 분석: 간헐적으로 유효한 대출제약을 중심으로

Abstract

본 연구는 간헐적으로 유효한 차입제약이 존재하는 2가계 새 케인지안 동태확률일반균형 모형을 이용하여 한국 통화정책의 상태의존적 효과를 분석하였다. 이 모형을 한국 자료를 이용해 베이지안 방법으로 추정한 뒤 추정된 모수를 바탕으로 정량분석을 시행한 결과 차입제약은 균제상태뿐만 아니라 통화정책 충격 발생시에도 항상 유효한 것으로 나타났다. 본 모형에서 1 표준편차의 금리 인상 충격은 단기적으로 인플레이션과 주택가격을 0.17%p와 0.45% 하락시키는 한편 GDP는 0.51% 감소시켰다. 통화정책 충격의 효과는 가계부채 수준에 따라 큰 차이는 없었다. 하지만 금리 인상 충격 발생시 LTV 규제가 강할수록 주택가격 하락폭은 컸고, 대출한도 조정속도가 빠를수록 차입가계의 디레버리징이 더 급격히 진행되었다.

Recent literature on monetary policy finds that monetary policy effects vary by the state of the economy. One of the potential explanations suggested for this phenomenon is an occasionally binding constraint. When households use houses as collateral, their borrowing constraint might be binding or slack depending on house prices. This occasionally binding constraint may lead to non-linear effects of monetary policy. This study examines how important the occasionally binding constraint is in understanding monetary policy effects in Korea. To this aim, we build a two-agent New Keynesian (TANK) dynamic stochastic general equilibrium (DSGE) model based on Guerrieri and Iacoviello(2017). The model consists of two types of households, patient and impatient, while impatient households are subject to occasionally binding constraints associated with their housing value. We estimate the model using a Bayesian method with Korean time series data. We find that the borrowing constraint is binding in the steady state, and that it always binds regardless of the magnitude of monetary shocks within a reasonable range. However, this result does not necessarily exclude a possibility that the borrowing constraint becomes slack with a substantial rise in house prices due to either a housing demand shock or an investment-specific technology shock. Additionally, we find that a one-standard deviation increase in the nominal interest rate reduces inflation and house prices by 0.17%p and 0.45%, respectively, while decreasing GDP by 0.51%. The impact of a rise in the nominal interest rate shows little variation based on the level of household debt, but varies significantly by both the tightness of Loan-to-Value (LTV) restrictions and the inertia in the borrowing constraint. For instance, an increase in the nominal interest rate suppresses house prices more if the LTV restriction is tighter, while a lower degree of inertia in the borrowing constraint leads to more rapid deleveraging of impatient households.