자연이자율, 잠재성장률과 장기 통화정책기조

조성훈 한국계량경제학회 2020 계량경제학보 Vol.31 No.2

The natural rate of interest is the real interest rate that would prevail when the macro economy is in its natural, long-term equilibrium at which the actual GDP growth rate equals its potential rate. The natural rate of interest should therefore comove with the long-term trend of the potential GDP growth. In addition, since monetary policy authority has a significant impact on real interest rates, the difference between real and natural interest rates can be the basis for determining the long-term policy stance for the real sector of the economy. This study estimates potential growth rates and natural interest rates in Korea and the United States based on the Holston et al. (2017) model with important adjustments. We use the real market interest rate faced by economic agents, which may be different from the traditional real rate computed using the policy rate. Also, GDP per capita is considered, which is theoretically more suitable when population growth is taken into account. The estimation results using these new measures and the associated adjustment in the model reveal that the estimated natural rate of interest captures the theoretical characteristics of the natural interest rate better than the estimate using standard real interest rate. In addition, since the 2000s, Korea's real rate was much lower than the estimated natural interest rate, suggesting that the long-term monetary policy stance in Korea might have been strongly accommodating. 자연이자율은 거시경제가 장기 균형상태에 있을 때 적용되는 실질이자율로서 잠재성장률이 실질 성장률의 추세를 나타내는 것처럼 실질이자율의 장기적 균형을 반영하고, 이론적으로 자연이자율은 잠재성장률과 추세적으로 유사해야 한다. 또한 통화정책당국이 실질이자율에 큰 영향을 미치기 때문에 실질이자율과 자연이자율의 차이는 통화정책당국의 실물부문에 대한 장기적 정책기조를 판단할 수 있는 근거가 될 수 있다. 본 연구는 Holston et al. (2017)의 모형에 근거하여 한국과 미국의 잠재성장률과 자연이자율을 추정한다. 그러나 경제주체가 직면하는 실질이자율은 실질시장이자율로서 전통적인 실질기준금리와 다를 수 있고 또한 인구증가가 있을 때 1인당 총생산이 이론적으로 더 적절한 변수일 수 있다. 본 연구는 이러한 점에 착안하여 위와 같은 대안으로 제시된 변수들과 모형의 조정을 통해 실질기준금리를 이용한 경우와 비교분석한다. 추정결과 실질시장이자율을 사용한 경우가 전통적인 실질기준금리를 사용한 경우보다 자연이자율의 특성을 더 잘 나타낸다는 것을 확인하였다. 또한 2000년대 이후 한국은 실질기준금리가 추정된 자연이자율보다 매우 낮아 통화정책당국의 장기적 기조가 매우 완화적이었을 가능성을 시사한다.

자연이자율, 잠재성장률과 장기 통화정책기조

조성훈(Seonghoon Cho) 한국계량경제학회 2020 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.31 No.2

자연이자율은 거시경제가 장기 균형상태에 있을 때 적용되는 실질이자율로서 잠재성장률이 실질 성장률의 추세를 나타내는 것처럼 실질이자율의 장기적 균형을 반영하고, 이론적으로 자연이자율은 잠재성장률과 추세적으로 유사해야 한다. 또한 통화정책당국이 실질이자율에 큰 영향을 미치기 때문에 실질이자율과 자연이자율의 차이는 통화정책당국의 실물부문에 대한 장기적 정책기조를 판단할 수 있는 근거가 될 수 있다. 본 연구는 Holston et al. (2017)의 모형에 근거하여 한국과 미국의 잠재성장률과 자연이자율을 추정한다. 그러나 경제주체가 직면하는 실질이자율은 실질시장이자율로서 전통적인 실질기준금리와 다를 수 있고 또한 인구증가가 있을 때 1인당 총생산이 이론적으로 더 적절한 변수일 수 있다. 본 연구는 이러한 점에 착안하여 위와 같은 대안으로 제시된 변수들과 모형의 조정을 통해 실질기준금리를 이용한 경우와 비교분석한다. 추정결과 실질시장이자율을 사용한 경우가 전통적인 실질기준금리를 사용한 경우보다 자연이자율의 특성을 더 잘 나타낸다는 것을 확인하였다. 또한 2000년대 이후 한국은 실질기준금리가 추정된 자연이자율보다 매우 낮아 통화정책당국의 장기적 기조가 매우 완화적이었을 가능성을 시사한다. The natural rate of interest is the real interest rate that would prevail when the macro economy is in its natural, long-term equilibrium at which the actual GDP growth rate equals its potential rate. The natural rate of interest should therefore comove with the long-term trend of the potential GDP growth. In addition, since monetary policy authority has a significant impact on real interest rates, the difference between real and natural interest rates can be the basis for determining the long-term policy stance for the real sector of the economy. This study estimates potential growth rates and natural interest rates in Korea and the United States based on the Holston et al. (2017) model with important adjustments. We use the real market interest rate faced by economic agents, which may be different from the traditional real rate computed using the policy rate. Also, GDP per capita is considered, which is theoretically more suitable when population growth is taken into account. The estimation results using these new measures and the associated adjustment in the model reveal that the estimated natural rate of interest captures the theoretical characteristics of the natural interest rate better than the estimate using standard real interest rate. In addition, since the 2000s, Korea’s real rate was much lower than the estimated natural interest rate, suggesting that the long-term monetary policy stance in Korea might have been strongly accommodating.

칼만필터를 이용한 우리나라의 중립금리 추정

오형석 ( Hyoung Seok Oh ) 한국금융연구원 2014 금융연구 Vol.28 No.1

Wicksell defined the natural rate in his book published at 1898 like this. There is a certain rate of interest on loans which is neutral in respect to commodity prices and tends neither to raise nor to lower them. From the recent point of view, Wicksell`s definition of the natural rate can be interpreted as the real interest rate consistent with output converging to potential, where potential is the level of output consistent with stable inflation. In many countries involving Korea, short-term interest rate has become the primary monetary policy instrument. Under this monetary policy regime, natural rate can provide a criteria for evaluating the stance of monetary policy and represent a medium-run real rate anchor for monetary policy (Laubach and Williams. 2003). If the real policy rate is above (below) the natural rate, we can evaluate the monetary policy stance as contractionary (stimulative). Therefore, if the real policy rate remain at the level of natural rate, there may be no pressure to boost or shrink economy from the monetary policy stance. Above this, the gap between real policy rate and the natural rate can be used as an indicator for future inflation (Neiss and Nelson, 2003). In order to estimating the natural rate, various methods are used. First, simple average of long-term real policy rate is mainly used by financial market participants. This method is very easy to get the natural rate, but the level of natural rate may be differ according to the sample period (Ferguson, 2004). Second, Kalman filter method is broadly used by many central banks and international organizations. This method can consider economic factors of determining the natural rate and time varying character of the natural rate. However, estimates of a time-varying natural rate by Kalman filter method may be very imprecise (Laubach and Williams, 2003). Finally, estimates of the natural rate from DSEG model (Smet and Wouters, 2007) and TIPS (Bomfim, 2001) are also used. In this paper, I use the model developed by Laubach and Williams (2003) to estimate the natural rate in Korea. This model is composed of IS equation, Phillips curve equation, Natural rate equation and so on. Especially, the natural rate is deeply related to the trend growth rate owing to the theoretical linkage between these two variables. And the trend growth rate and the natural rate are designed to have time-varying character because economic theory implies that the natural rate varies over time in response to shift in preference and technology (Laubach and Williams, 2003). Because the level of potential output, its trend growth rate and the natural rate are all unobservable, the Kalman filter method is applied to jointly estimate these variables. The data for estimating this model is quarterly basis and estimation period is from 1991:1 to 2012:4. I find that the natural rate shows significant variation in Korea. Variation in the trend growth rate is an important determination of change in the natural rate, as predicted by economic theory and described by related literatures like Laubach and Williams (2003). According to the decline of the potential GDP growth rate in Korea, the natural rate has been also steadily declined over the past twenty years. Judging the monetary policy stance from the gap between real policy rate and the estimates of natural rate since 2000, the stance of policy appears stimulative during the year of 2001, 2004, 2009. Especially, the expansionary policy stance after global financial crisis appears much stronger for a long time. On the other hand, the policy stance from the end of 2006 to the first half of 2008 appears contractionary to prevent high inflation. Judging from the gap between real policy rate and the natural rate, the Bank of Korea has conducted monetary policy considering global and domestic economic conditions sufficiently to stabilize the business cycle and inflation.

COVID-19 시기 이전 자연금리 변화의 결정요인 분석: 한국, 미국, 일본을 중심으로

박준하,조두연 한국은행 2023 經濟分析 Vol.29 No.2

This study investigates how the pattern of demand-side secular stagnation changed in countries such as Korea, the US, and Japan before the COVID-19 pandemic. First, we analyze how the natural rate of interest is determined theoretically using the overlapping generations model with imperfect competition in a goods market and with liquidity constraints imposed on the household. A firm's mark-up rate plays a key role as a wedge between the natural rate of interest and the marginal product of capital. In particular, we find that with an additional condition, an increase in the mark-up ratio reduces the natural interest rate without affecting the marginal product of capital. Based on a theoretical analysis, we also empirically analyze whether a decline in natural interest rates in Korea, the US, and Japan is caused by capital accumulation or by an increase in the markup. The estimation results indicate that while natural interest rates in each country tend to fall and the marginal product of capital in Korea and Japan also declines in a trend, the marginal product of capital in the US shows a distinct pattern compared to the trend of declining natural interest rates. This implies that, unlike the case for Korea and Japan, the decline in the natural interest rate in the US appears to result from the markup rather than capital accumulation. 본 연구는 COVID-19 시기 이전, 자연금리의 추세적 하락으로 인하여 명목금리가 제로금리 제약(Zero lower bound)에 도달하고 총수요가 잠재수준에 미달하는 수요 측면 장기침체(Secular stagnation) 양상을 분석하였다. 먼저, 기업의 가격 설정력과 가계의 유동성 제약이 존재하는 중첩세대모형(Overlapping generations model)을 이용하여 자연금리와 한계자본수익률이 균제상태에서 어떻게 결정되는지 이론적으로 분석하였다. 분석 결과, 추가적 조건 하에서 마크업(Markup) 비율의 증가는 한계자본수익률에 영향을 미치지 않고 자연금리를 감소시키는 것으로 나타났다. 이론적 분석 결과에 기초하여 한국, 미국, 일본에서 자연금리 하락의 원인이 자본축적에 따른 한계자본수익률 감소 또는 마크업 증가인지 알아보기 위해 실증적으로 분석하였다. 분석 결과, 각국의 자연금리는 추세적으로 하락하였고, 한국과 일본의 한계자본수익률도 추세적으로 하락한 반면, 미국의 경우, 추세적으로 하락하는 자연금리와 다른 양상을 보였음을 발견하였으며, 이러한 결과는 미국의 자연금리 하락은 한국, 일본과 달리 자본축적보다는 마크업에 기인함을 의미한다. 한국의 경우, 감소하는 자연금리가 한계자본수익률을 비교적 잘 반영하며, 구축효과로 인한 비용이 상대적으로 크지 않음을 시사한다.

Endogenous Growth and the Real Interest Rate : Evaluating Korea's Low Interest Rate Regime

Joonkyung Ha 서울대학교 경제연구소 2006 Seoul journal of economics Vol.19 No.1

This paper attempts to evaluate Korea's low interest rate regime of the post-2000 period by estimating the, long-run equilibrium real rates using dynamic macroeconomic models. A unified endogenous growth model incorporating both R&D and human capital is constructed to ascertain the relative importance of various determinants of the real rate. The estimates of the long-run equilibrium rates for the unified model, the Solow model, and the Schumpeterian model are presented. The results show that (1) in all cases, the gap between the actual rate and the equilibrium rate seems to have been widening, and (2) estimates for the long-run equilibrium rates indicate that there has been no significant regime shift that would have justified the low interest rates of the post-2000 period, although the unified model shows that there has been a downward shift in the real rate in the 1990s mainly due to changes in human capital productivity.

Estimation the Natural Output Korea: A Bayesian DSGE Approach

황영진 한국개발연구원 2009 KDI Journal of Economic Policy (KDI JEP) Vol.31 No.1

This paper attempts to estimate the natural rates of output and interest of Korea in a simple DSGE set-up with a few stylized New Keynesian features using Bayesian methods. The major findings of this paper are as follows. First, the estimates of output gaps are less volatile than the measures from conventional approaches, although they exhibit non-negligible variations depending on the model specification. Another key finding is that the hybrid type Phillips curve with a backward-looking component and/or habit formation in consumption may play an important role in characterizing the macroeconomic dynamics of Korea.

스톡홀름 학파의 거시경제정책: 빅셀 및 <일반이론>과의 관련을 중심으로

박종현 ( Jong Hyun Park ) 연세대학교 경제연구소 2007 延世經濟硏究 Vol.14 No.2