우리나라 일반인 인플레이션 기대 형성 행태 분석 = Korean Households’ Inflation Expectations and Information Rigidity

다국어 초록 (Multilingual Abstract)

This paper attempts to investigate the Korean households’ inflationexpectations with particular attention to information rigidity. For thispurpose, we derive an empirical model from a sticky information model a laMankiw and Reis (2002) and estimate it. In addition, it is also examinedwhether the expectation formation is state-dependent on macroeconomicconditions.
The main findings of this paper are as follows. First, it turns out thatthe information rigidity in Korean households’ inflation expectations is veryhigh. In a month, most of the households simply keep their inflationexpectations the same as before instead of updating them based on newlyarrived information. Furthermore, when updating their expectations, thehouseholds tend to rely on the backward-looking information such as actualinflation rates in the past rather than on the forward-looking forecasts byexperts. Second, it is found that the expectation formation is varying asinflation rate changes. Specifically, when the inflation is high, thesensitivity of the households’ inflation expectations to actual inflationincreases and the gap between inflation expectations and actual inflationshrinks. It implies that Korean households update their expectations morefrequently when the inflation matters than not.

국문 초록 (Abstract)

본 연구는 우리나라 일반인의 인플레이션 기대 형성 행태를 정보경직성(information rigidity)과 상태의존성(state-dependence)을 중심으로 분석한다. 우리나라 일반인의 인플레이션 기대형성 과정에 정보경직성이 존재하는지 여부를 살펴보기 위해 간단한 정보경직성 모형을 도출하여 추정하였으며, 간단한 마코프 국면전환모형을 이용하여 인플레이션 기대 형성 행태가 경제여건에 따라 달라지는 상태의존적 특징을 나타내는지도 분석하였다.
본 연구의 주요 분석 결과는 다음과 같다. 첫째, 우리나라 일반인의 대다수는 정보 갱신을통해 인플레이션 기대를 새로 형성하기보다는 기존의 기대를 관성적으로 유지하는 것으로 추정되었다. 또한 정보 갱신 과정에서도 전문가 예측치 등과 같은 미래 지향적 정보보다 과거 인플레이션율과 같은 과거 지향적 정보에 대한 의존도가 높은 것으로 드러났다.
둘째, 우리나라 일반인의 인플레이션 기대 형성 행태는 인플레이션 수준에 따라 달라지는상태의존적 특징을 보이는 것으로 드러났다. 즉, 인플레이션이 큰 폭으로 상승하는 시기에는그렇지 않은 시기와 비교하여, 인플레이션 기대의 실제 인플레이션에 대한 민감도가 상승하였을 뿐만 아니라 인플레이션 기대와 실제 인플레이션 사이의 격차가 빠르게 축소되는 것으로나타났다.

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