项目来源

韩国国家研究基金(NRF)

项目主持人

곽노선

项目受资助机构

서강대학교

立项年度

2022

立项时间

未公开

项目编号

2022S1A5A2A01046533

项目级别

国家级

研究期限

未知 / 未知

受资助金额

25996000.00韩元

学科

사회과학

学科代码

未公开

基金类别

학술·인문사회사업-SD-Research-기초연구지원인문사회

통화정책 전달경로 ; 금리 경로 ; 자산가격 경로 ; 대출 경로 ; 준부분회귀계수 ; 통화정책 반응함수 ; 통화정책 비대칭성 ; 통화정책 효과의 비대칭성 ; 최적통화정책 ; Monetary Policy ; Monetary Policy Reaction Function ; Asymmetric Monetary Policy ; Asymmetric Effects of Monetary Policy ; Optimal Monetary Policy

参与者

未公开

参与机构

未公开

项目标书摘要：Research Summary:The research is conducted on the following two topics.At least two research papers have been produced on the following two specific topics:“Relative Effectiveness of Monetary Policy Transmission Channels in Korea Using Bayesian VAR Models”and“Asymmetry of the monetary policy response function,asymmetric effects of monetary policy,and optimal monetary policy”,and additional papers will be produced in the future.The first study analyzes the relative effectiveness of the traditional monetary policy transmission channels:the interest rate channel,the asset price channel,and the lending(credit)channel.We estimate a Bayesian VAR model that includes all three channels to identify the monetary policy transmission channels of an increase in the policy rate to aggregate output and consumer prices,and then estimate and compare the effects of monetary shocks on output and inflation when each channel is blocked to assess the effectiveness of each channel.The results show that the three channels occur simultaneously and are difficult to separate.However,after extracting the historical decomposition of each variable explained by monetary policy shocks,we compared the relative importance of monetary policy transmission channels using semipartial regression coefficients between variables.We find that the lending channel is relatively important for changes in aggregate output and the asset price channel for changes in inflation.In addition,when comparing the monetary policy transmission channels by dividing the period before and after the global financial crisis using semipartial regression coefficients,it is found that the lending channel is the most important for GDP both before and after the global financial crisis,while for CPI,the lending channel is more important before the global financial crisis and the asset price channel is more important after the global financial crisis.The second research topic empirically examines the existence of asymmetries in monetary policy decision-making and discusses the optimal monetary policy by linking monetary policy effects to asymmetries.In terms of the specific research,we will focus on two main aspects.We examine whether the coefficients of inflationary pressures or the output gap in the monetary policy interest rate determination function are different in expansionary and recessionary periods,and whether the coefficients of inflationary pressures or the output gap in the interest rate determination function are different when inflationary pressures are positive or negative.The coefficients were estimated by dividing the gross output gap extracted using methods such as the Hodrick-Prescott filter by sign and estimating the coefficients for each positive and negative case to determine asymmetry,and by dividing the period into boom and bust periods according to the business cycle dates published by the NBER and others.The results showed asymmetry in monetary policy decision-making,i.e.,the coefficient indicating expansionary monetary policy in recessionary periods is larger than the coefficient indicating contractionary monetary policy in expansionary periods.The asymmetry of monetary policy is somewhat weaker for the inflation regime.In addition,we use a threshold VAR phase-switching model to select the thresholds that determine the boom and bust phases of economic fluctuations in the model and estimate the response function for each phase,or we estimate a quantile regression model to obtain the conditional probability distribution of the coefficient of the monetary policy response depending on whether the economy is currently in a boom or bust phase.Based on these empirical results,we identify asymmetries in the effects of monetary policy shocks and provide theoretical justifications for optimal monetary policy.

Application Abstract: Research Summary:The research is conducted on the following two topics.At least two research papers have been produced on the following two specific topics:“Relative Effectiveness of Monetary Policy Transmission Channels in Korea Using Bayesian VAR Models”and“Asymmetry of the monetary policy response function,asymmetric effects of monetary policy,and optimal monetary policy”,and additional papers will be produced in the future.The first study analyzes the relative effectiveness of the traditional monetary policy transmission channels:the interest rate channel,the asset price channel,and the lending(credit)channel.We estimate a Bayesian VAR model that includes all three channels to identify the monetary policy transmission channels of an increase in the policy rate to aggregate output and consumer prices,and then estimate and compare the effects of monetary shocks on output and inflation when each channel is blocked to assess the effectiveness of each channel.The results show that the three channels occur simultaneously and are difficult to separate.However,after extracting the historical decomposition of each variable explained by monetary policy shocks,we compared the relative importance of monetary policy transmission channels using semipartial regression coefficients between variables.We find that the lending channel is relatively important for changes in aggregate output and the asset price channel for changes in inflation.In addition,when comparing the monetary policy transmission channels by dividing the period before and after the global financial crisis using semipartial regression coefficients,it is found that the lending channel is the most important for GDP both before and after the global financial crisis,while for CPI,the lending channel is more important before the global financial crisis and the asset price channel is more important after the global financial crisis.The second research topic empirically examines the existence of asymmetries in monetary policy decision-making and discusses the optimal monetary policy by linking monetary policy effects to asymmetries.In terms of the specific research,we will focus on two main aspects.We examine whether the coefficients of inflationary pressures or the output gap in the monetary policy interest rate determination function are different in expansionary and recessionary periods,and whether the coefficients of inflationary pressures or the output gap in the interest rate determination function are different when inflationary pressures are positive or negative.The coefficients were estimated by dividing the gross output gap extracted using methods such as the Hodrick-Prescott filter by sign and estimating the coefficients for each positive and negative case to determine asymmetry,and by dividing the period into boom and bust periods according to the business cycle dates published by the NBER and others.The results showed asymmetry in monetary policy decision-making,i.e.,the coefficient indicating expansionary monetary policy in recessionary periods is larger than the coefficient indicating contractionary monetary policy in expansionary periods.The asymmetry of monetary policy is somewhat weaker for the inflation regime.In addition,we use a threshold VAR phase-switching model to select the thresholds that determine the boom and bust phases of economic fluctuations in the model and estimate the response function for each phase,or we estimate a quantile regression model to obtain the conditional probability distribution of the coefficient of the monetary policy response depending on whether the economy is currently in a boom or bust phase.Based on these empirical results,we identify asymmetries in the effects of monetary policy shocks and provide theoretical justifications for optimal monetary policy.