통화정책의 상태의존적 효과 분석: 간헐적으로 유효한 대출제약을 중심으로

초록

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.

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