韓國開發硏究제 33 권제 1 호 ( 통권제 110 호 ) 소규모개방경제하에서의교역조건충격과통화정책 이한규 ( 한국개발연구원부연구위원 ) Terms of Trade Shocks and Nontradable Goods Price Inflation Targeting Unde

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1 韓國開發硏究제 33 권제 1 호 ( 통권제 110 호 ) 소규모개방경제하에서의교역조건충격과통화정책 이한규 ( 한국개발연구원부연구위원 ) Terms of Trade Shocks and Nontradable Goods Price Inflation Targeting Under a Small Open Economy Lee, Hangyu (Associate Research Fellow, Korea Development Institute) * 본논문은기발간된 소규모개방경제하에서의교역조건충격과통화정책 ( 정책연구시리즈 , 한국개발연구원, 2009) 을보완및수정한것임을밝힌다. ** 이한규 : ( ) hglee@kdi.re.kr, (address) Korea Development Institute, 49 Hoegiro, Dongdaemun-gu, Seoul, Korea Key Word: (Small Open Economy), (Terms of Trade Shocks), JEL Code: F41, E52 (Nontradable Goods), (Monetary Policy) Received: Referee Process Started: Referee Reports Completed:

2 ABSTRACT Terms of trade shocks have been considered one of the main driving forces causing business cycle fluctuations in small open economies. Despite their importance in business cycles of small open economies, it is hard to find a serious study in existing literature investigating their implications on monetary policy under a small open economy. Considering it, this paper studies what form of monetary policy rule is the most adequate for a small open economy where terms of trade shocks are dominant factors in generating its business cycle fluctuations. For this purpose, various implementable monetary policy rules frequently analyzed in existing literature are compared in terms of social welfare levels which they can provide for the economy respectively. Main results of this paper can be summarized as follows. First, for a small open economy where terms of trade shocks are main driving forces of its business cycle fluctuations, the nontradable goods price inflation targeting can provide higher level of social welfare than other traditional monetary policy rules such as the CPI inflation targeting or the fixed exchange rate regime. Second, the social welfare improvement of the non-tradable goods price inflation targeting is more apparent when export goods price shocks are more important than import goods price shocks.

3 소규모개방경제하에서의교역조건충격과통화정책 3 Ⅰ. 서론, (price-taker).,.., Mendoza(1995) Kose(2002). 1), Mendoza (1995) (real business cycle theory) (quantitative), 50%,, Kose(2002) 90%,., (New Keynesian),. Galí and Monacelli(2005) 1), Neumeyer and Perri(2004), Lubik and Teo(2005).

4 4 韓國開發硏究 / Ⅰ. 2),.,,.., (nontradable goods). (tradable goods),.., (quantitatively).,,.,, Galí and Monacelli(2005),. 2) DSGE(Dynamic Stochastic General Equilibrium), Faia and Monacelli(2008), De Paoli(2009) (2008).

5 소규모개방경제하에서의교역조건충격과통화정책 5,,.,.,.,,.. 3), 2.. 4).,. (solution) (approximation).,.,. 3) Rotemberg and Woodford(1999) Galí(2008). 4).

6 6 韓國開發硏究 / Ⅰ Ⅱ. 이론모형 1. 이론모형의주요특징,,.,.,,. Galí and Monacelli(2005),.,,.,..,, (observational equivalence),.,. 5),, 5) KDI.

7 소규모개방경제하에서의교역조건충격과통화정책 7., (dynamics),,. 6) (Domestic Inflation Targeting),.,.., Calvo(1983),, (incomplete asset market)., (uncontingent bond).,. 7) 2. 이론모형의구성가. 가계부문, (notations). s t t (state), s t t (history of states) s t ={s 0, s 1,,s t}., π(s t ).. 6) (open macroeconomics) Stockman and Tesar(1995) Burstein et al.(2005). 7) (sector-specific),. Woodford(2003).

8 8 韓國開發硏究 / Ⅰ,.,., (uncontingent). 8). (K(s t-1 )) (C(s t )), (N(s t )), (I(s t )) (B F (s t )) (life-time utility). max β, γ γ n.,., 9). P(s t ) S(s t ), W(s t ) Z(s t ). Q * (s t ) 1, (1+i * (s t )) Q * (s t )=1/(1+i * (s t )) 8), (incomplete asset market), Schmitt- Grohé and Uribe(2002) Letendre(2000), (unique steady state). (approximation) (numerical method),, Schmitt-Grohé and Uribe(2002),. 9),.

9 소규모개방경제하에서의교역조건충격과통화정책 9., Π(s t ), δ, η K..,. q K (s t ) Tobin q,, q K (s t ){1+η K (I(s t )/K(s t-1 )-δ)}., T N, T N. Y(s t ), Y T(s t ) Y N(s t ) T N. T, N, T N T N. T N (P(s t )), P T (s t ) P N (s t ) T N., χ T N, b T N.

10 10 韓國開發硏究 / Ⅰ 나. 최종재 N 생산부문 N, (differentiated goods), i [0,1]. N. ε N N, P N(i:s t )(i [0,1]), N., Y N (i:s t )(i[0,1]) N P N(s t ). Γ(s t,s t+τ ) (stochastic discounting factor),. 11) for 10), Calvo(1983)., N. 1-φ N, Calvo. 10) N i, t,. t φ N,. max

11 소규모개방경제하에서의교역조건충격과통화정책 11 [Figure 1] Structure of Theoretical Model Final Consumption & Investment Final Good : Final Good : Intermediate Good Domestic Intermediate Good Domestic Intermediate Good Capital Labor Capital Labor Perfectly Competitive Market 11),.

12 12 韓國開發硏究 / Ⅰ P I N(i,j:s t+τ ) Y I N(i,j:s t+τ ) i j., i, i, i. θ i j. i (optimal reset price) P # N(i:s t ) i j. for P I N(i:s t+τ ) i,. 다. 최종재 T 생산부문 T N, l[0,1]. T.

13 소규모개방경제하에서의교역조건충격과통화정책 13 T P T (l:s t )(l[0,1]), T, Y T(l:s t )(l[0,1]) T P T (s t ). for, T N., φ T T. max P H * (s t ) P F * (s t ),., l, l, l. T. Y H (l:s t ) Y F (l:s t ) l, ρ, a. l P T # (l:s t ) l.

14 14 韓國開發硏究 / Ⅰ 생산부문 라. 최종재 N 을위한중간재 N, N. N. N j., j,. max j, A N (s t ), N N (j:s t ), K N (j:s t ) N j. φ NM j, α.

15 소규모개방경제하에서의교역조건충격과통화정책 15 j, N i[0,1],. j. MC n N(s t ), N. 12) 마. 최종재 T 를위한중간재생산부문 T, 12) N (),,.

16 16 韓國開發硏究 / Ⅰ.,, (price-taker),,, A T (s t ) T.. 13), T N,., P * H (s t ),, S(s t )P * H (s t ).. T,, Y H(s t ) Y * H (s t ), N T (s t ) K T (s t ). 3. 모형의균형, 실행가능한통화정책및사회후생 가. 모형의균형 2 max., 13).

17 소규모개방경제하에서의교역조건충격과통화정책 17 (implementable), (metric).,..,,.,, (uncovered interest rate parity)., 1+i(s t ) 1+i * (s t ). 14),,,. 나. 실행가능한통화정책, Ramsey,,,. Ramsey,,. 14),.

18 18 韓國開發硏究 / Ⅰ Galí and Monacelli(2005) (CPI Inflation Targeting: CIT), (Domestic Inflation Targeting: DIT), (Exchange Rate Peg).,,.,. (P D (s t )) (ω).,.,,, 1. 15). 다. 사회후생및모형의 2 차근사, Galí and Monacelli(2005).., (metric). Schmitt-Grohé and Uribe(2007) (life-time utility),. 15) Galí and Monacelli(2005) (interest rate smoothing).

19 소규모개방경제하에서의교역조건충격과통화정책 19 s 0, W C (s 0 ) (conditional welfare). 16) (unconditioinal welfare),., Kim and Kim(2003), 1 (first-order linear approximation). Schmitt- Grohé and Uribe(2004) 2 (second-order approximation). 17), 2,. (optimal reset price) 2., N (infinite sum), 2. 16), s 0 (non-stochastic steady state). 17), 1, 2 (second moment), 2 LQ(linear-quadratic). Woodford(2003).

20 20 韓國開發硏究 / Ⅰ, (recursive), 2, Ⅲ. 주요통화정책의사회후생비교 1. 모수의설정., (parameter),.,.,,,

21 소규모개방경제하에서의교역조건충격과통화정책 21.,,. Stockman and Tesar(1995) 0.44, T Chari et al.(2002) 1.5., T 6, (markup rate) 20%. N 10, 10%.,,. (reference),.,, 40~ 60%. 18),,., 60%., T N b T a GDP GDP 60% 30%.,, 18) Burstein et al.(2005, 2007), Mendoza and Uribe(2000) Goldberg and Campa(2006).

22 22 韓國開發硏究 / Ⅰ <Table 1> Benchmark Parameters Preference intertemporal elasticity of consumption2 2 elasticity of labor supply1 1 Technology labor share2/3 2/3 Aggregator depreciation rate elasticity of substitution between domestic and imported intermediate goods for tradable goods elasticity of substitution among intermediate goods for nontradable goods elasticity of substitution between final goods N and T elasticity of substitution among differentiated final goods T elasticity of substitution among differentiated final goods N Others frequency of price change: prob. of not reoptimizing price time discount factor1% 0.99 sensitivity of policy interest rate to inflation 1.5 Note: 1) a and b are calibrated such that the ratios of tradable goods T and imports to GDP are 60% and 30% respectively at the steady state. 2) η K is calibrated such that the ratio of the standard deviation of investment to that of GDP is around 3. 2/3. 19) ψ π Galí and Monacelli(2005) 1.5.,, VAR(1). 20) log log log log 19),,. Burstein et al.(2005) Lee(2009). 20) (2009).

23 소규모개방경제하에서의교역조건충격과통화정책 ) 2. 기준모수설정하에서의통화정책간사회후생비교 <Table 2> 1,. <Table 2> CPIT, DIT I DIT II. FIX., <Table 2> , (% deviation), ), Schmitt- Grohé and Uribe(2004) 2. 23), ,., , 0.1%. 21) 0,. 22), (level). 23) Schmitt-Grohé and Uribe(2004, 2007).

24 24 韓國開發硏究 / Ⅰ <Table 2> Simulation Result with Benchmark Parameters CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (0.49) (0.80) (0.78) (0.57) Standard Deviation Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP.,,,. <Table 2>

25 소규모개방경제하에서의교역조건충격과통화정책 25.,, (volatility).,, 1.53%, 0.96% 0.76%.,,. 24),.,., Galí and Monacelli(2005) (intertemporal elasticity of substitution) (elasticity of substitution between domestically produced goods and imported goods) 1,, (optimal monetary policy) (closed economy).. 24) Ramsey Galí and Monacelli(2005) (2008).

26 26 韓國開發硏究 / Ⅰ., ( ). Galí and Monacelli(2005), De Paoli(2009), Faia and Monacelli(2008) (2008) Galí and Monacelli(2005) Galí and Monacelli(2005) (inflation gap).,., GDP.,.,, <Table 3>.,., ,, ,.,.,

27 소규모개방경제하에서의교역조건충격과통화정책 27 <Table 3> Simulation Results with Export/Import Price Shocks Only A. Export Price Shocks Only CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (0.47) (0.83) Standard Deviation (0.73) (0.42) Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP., , ,, <Table 3>,

28 28 韓國開發硏究 / Ⅰ <Table 3> Continued B. Import Price Shocks Only CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (0.33) (0.09) (0.09) (0.34) Standard Deviation Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP..,, ,

29 소규모개방경제하에서의교역조건충격과통화정책 29,,. (internal transmission mechanism).,, (real marginal cost).,.,.,.. N. (factor-neutral). 25),,. 25), 1,.

30 30 韓國開發硏究 / Ⅰ,,.,., T T.., 1%, (impulse response function). [Figure 2] 1%. [Figure 2],,., [Figure 2] [Figure 3]., [Figure 3]. [Figure 3], (CPIT) (FIX), 0.1%. <Table 2>. <Table 2>, 1.8%, 1.90% 2.00%,.,, Galí(2008)

31 소규모개방경제하에서의교역조건충격과통화정책 [Figure 2] Impulse Response Functions of Real Marginal Cost to an 1% Export Price Shock CPIT DITⅠ DITⅡ FIX [Figure 3] Differences of Impulse Response Functions of Real Marginal Cost to an 1% Export Price Shock FIX CPIT DITⅠ (New Keynesian).,.,., (nonsynchronized)

32 32 韓國開發硏究 / Ⅰ.,.,,.,,,. 26),,. 27),,,.,. [Figure 4] 1%,. [Figure 4],,,.,,. 26) Galí(2008). 27), Ramsey,.,.

33 소규모개방경제하에서의교역조건충격과통화정책 33 [Figure 4] Impulse Response Functions of Real Marginal Cost to an 1% Import Price Shock CPIT DITⅠ DITⅡ FIX,.,,.,.. 3. 결과의민감성검증.,.,,

34 34 韓國開發硏究 / Ⅰ.,,.,, 2. <Table 4> <Table 4>, ( 0.75) ( 0.50),.,,,., ( 0.95). <Table 4>,,., <Table 5>. (variance), <Table 5>,.,., , 0.5 ( )

35 소규모개방경제하에서의교역조건충격과통화정책 35 <Table 4> Sensitivity Analysis: Persistence of Shock A. AR(1) Coefficient of Price Shocks = 0.5 CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (0.16) (0.26) Standard Deviation (0.24) (0.28) Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP., ), 28).

36 36 韓國開發硏究 / Ⅰ <Table 4> Continued B. AR(1) Coefficient of Price Shocks = 0.95 CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (4.27) (6.21) Standard Deviation (6.49) (3.01) Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP... <Table 6>, GDP

37 소규모개방경제하에서의교역조건충격과통화정책 37 <Table 5> Sensitivity Analysis: Volatility of Shock A. Variance of Price Shocks = CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (0.40) (0.65) Standard Deviation (0.64) (0.46) Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP.,., GDP,,.

38 38 韓國開發硏究 / Ⅰ <Table 5> Continued B. Variance of Price Shocks = CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (0.65) (0.86) (0.98) (0.63) Standard Deviation Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP.

39 소규모개방경제하에서의교역조건충격과통화정책 39 <Table 6> Sensitivity Analysis: Degree of Openness A. Tradable Goods/GDP = 0.5 CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (0.39) (0.58) (0.55) (0.47) Standard Deviation Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP.

40 40 韓國開發硏究 / Ⅰ <Table 6> Continued B. Tradable Goods/GDP = 0.7 CPIT DIT I DIT II FIX Social Welfare Level Conditional Unconditional (0.60) (0.88) (1.11) (0.56) Standard Deviation Consumption Labor (Corr. coefficient between consumption and labor) Real Marginal Cost Trade Balance Real Exchange Rate CPI Inflation Domestic Goods Price Inf Nontradable Goods Price Inf Correlation Coefficient with GDP Consumption Labor Investment Trade Balance Note: 1) The statistics on the table are computed as average of 100 simulations of 100 quarters. 2) The numbers in parentheses in the row of unconditional social welfare level are standard errors of the variable. 3) All variables except for conditional social welfare and unconditional social welfare are defined as % deviations from their steady state level and the trade balance is defined as a ratio to GDP.

41 소규모개방경제하에서의교역조건충격과통화정책 41 Ⅳ. 결론..,,.,,,.,.,.,,.,,.,., Ramsey,.

42 42 韓國開發硏究 / Ⅰ Ramsey,.

43 소규모개방경제하에서의교역조건충격과통화정책 43 참고문헌,, ,, 2009.,,, 12 2, 2008, pp.151~179. Burstein, A., M. Eichenbaum, and S. Rebelo, Large Devaluations and the Real Exchange Rate, Journal of Political Economy, Vol. 113, No. 4, 2005, pp.742~784. Burstein, A., M. Eichenbaum, and S. Rebelo, Modeling Exchange Rate Passthrough after Large Devaluations, Journal of Monetary Economics, Vol. 54, 2007, pp.364~368. Calvo, G. A., Staggered Prices in a Utility-maximizing Framework, Journal of Monetary Economics, Vol. 12, 1983, pp.383~398. Chari, V. V., P. J. Kehoe, and E. R. Mcgrattan, Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates? Review of Economic Studies, Vol. 69, 2002, pp.533~563. Correia, I., J. C. Neves, and S. Rebelo, Business Cycles in a Small Open Economy, European Economic Review, Vol. 39, 1995, pp.1089~1113. De Paoli, B., Monetary Policy and Welfare in a Small Open Economy, Journal of International Economics, Vol. 77, 2009, pp.11~22. Faia, E. and T. Monacelli, Optimal Monetary Policy in a Small Open Economy with Home Bias, Journal of Money, Credit and Banking, Vol. 40, No. 4, Galí, J., Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, Galí, J. and T. Monacelli, Monetary Policy and Exchange Volatility in a Small Open Economy, Review of Economic Studies, Vol. 72, 2005, pp.707~734. Goldberg, L. S. and J. M. Campa, Distributional Margins, Imported Inputs, and the Sensitivity of the CPI to Exchange Rates, NBER Working Paper #12121, Kim, J. and S. H. Kim, Spurious Welfare Reversals in International Business Cycle Models, Journal of International Economics, Vol. 60, 2003, pp.471~500. Kose, M. A., Explaining Business Cycles in Small Open Economies How Much Do World Prices Matter? Journal of International Economics, Vol. 56, 2002, pp.299~327. Lee, H., Dynamics of Relative Price of Nontradable Goods and Heterogeneity in Price Stickiness, Working Paper, KDI, Letendre, Marc-Andre, Linear Approximation Methods and International Real Business Cycles with

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Vol.32 No.3 / ISSN x 韓國開發硏究 KDI Journal of Economic Policy 2011 Terms of Trade Shocks and Nontradable Goods Price Inflation Targeting Under a

Vol.32 No.3 / ISSN x 韓國開發硏究 KDI Journal of Economic Policy 2011 Terms of Trade Shocks and Nontradable Goods Price Inflation Targeting Under a Vol.32 No.3 / ISSN 1738656x 韓國開發硏究 KDI Journal of Economic Policy 2011 Terms of Trade Shocks and Nontradable Goods Price Inflation Targeting Under a Small Open Economy... Lee, Hangyu 개인 CB 자료를이용한우리나라가계의부채상환위험분석