통화정책의 금리전달경로에 대한 유효성 분석 = An Empirical Analysis on Interest Rate Channel of Monetary Policy Transmission : Korean Bond Market Evidence

국문 초록 (Abstract)

본 논문은 콜금리와 장단기 채권수익률 등 시장금리의 움직임을 분석하여 통화정책 금리전달경로의 유효성을 실증적으로 검증하였다. 특히 통화정책이 외생적 또는 선제적으로 수행되어 왔음을 주장하는 통화당국의 주장에 대해 논의하였다. 벡터오차수정모형(VECM)을 이용한 주요 분석결과는 다음과 같이 요약할 수 있다. 첫째, 기준금리 변동의 직접적 영향을 받는 콜금리는 채권수익률과의 관계에서 외생적인 변수가 아니라 내생적으로 결정되는 변수로 나타났다. 둘째, 콜금리 변동이 채권수익률 변동에 미치는 영향력은 채권만기에 따라서 다르게 나타나고 있다. 단기 채권수익률인 1년 만기 통안채수익률은 콜금리 변동의 영향을 받고 있으나 콜금리 변동보다 자기 자신의 과거변화의 영향을 더 크게 받고 있는 것으로 분석되었다. 반면, 장기 채권수익률인 3년 만기 국고채 수익률은 콜금리 변동에 대해 독립적으로 결정되고 있다는 결과를 도출하였으며, 5년 만기 국고채수익률의 경우에는 콜금리와 공적분 관계조차 나타나지 않았다. 셋째, 콜금리와 장단기 채권수익률 간의 인과관계 분석에서는 5% 유의수준에서 양 방향 모두 귀무가설을 기각함으로써 어느 한 변수의 일방적인 선행성을 주장하기 힘든 것으로 나타났다. 이와 같이 콜금리의 내생성과 더불어 채권수익률 기간구조에 따라 콜금리 변동의 영향력이 다르게 작동하고 있음을 고려할 때 우리나라의 경우 적어도 통화정책의 금리전달경로 측면에서는 통화당국의 주장과는 달리 선제적 통화정책이 시행되기 매우 어려운 여건인 것으로 판단된다.

다국어 초록 (Multilingual Abstract)

This paper explores the effectiveness of interest-rate channel of monetary policy transmission. In particular, we focus on investigating whether monetary policy rate is preemptive as claimed by the monetary authority in Korea. According to a VECM analysis, we can draw three conclusions. In the first, the overnight call rate appears to be an endogenous variable rather than an exogenous variable. The coefficient of Error correction term of bond yield demonstrates negative sign and call rate`s coefficient demonstrates positive sign, respectively, with reliable t-value indicators. Second, the influence of call rate change to bond yield is differ to bond maturities. For example, the short interest rate, such as 1 year maturity MSB yield, is more influenced by its previous change than by any changes in the call rate, whereas a long interest rate, such as 3 year maturity TB yield, seems to move independently of the call rate. Moreover, in case of 5 year maturity TB yield has shown no cointegration with call rate. Third, through causality test, we found bi-directional causality exist between the call rate and market interest rates. Thus, the assertion of preemptive monetary policy lacks persuasion. The monetary authority in Korea has always asserted a preemptive target rate adjustment, and the policy effect will realize in mid and/or long horizon. However, empirical analysis shows that the policy rate is determined endogenously, and in fact follows market rate`s movement. In addition, long term interest rate tends to move independently of the call rate. Thus, the interest-rate channel of monetary policy is not effective, and a preemptive target rate adjustment is not convincing in Korean financial market. Most of former domestic analyses about effectiveness of interest-rate channel of monetary policy transmission had performed based on policy rate`s exogeneity. Nonetheless, this paper finds different precondition about policy rate`s exogeneity and examines the degree of influence of policy rate`s change that tends to differ according to the bond maturities. Looking forward, further research on this topic should consider how the effect of policy rate change differs according to the term structure of interest rate. In addition, it is recommended that more analyses be conducted on asymmetric transmission in interest-rate channel of monetary policy as well.

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