가계부채 제약하의 통화정책: 2주체 거시모형(TANK)에서의 정량적 분석(Monetary Policy in a Two-Agent Economy with Debt-Constrained Households)

Abstract

Korean Abstract: 본 연구는 가계 일부가 부채 누적으로 신용시장에서 일정 한도 이상으로는 차입이 어려워 기간간 소비의 평활화(smoothing)에 제약을 받는 상황이 통화정책에 미치는 영향을 금융시장의 불완전성(incomplete financial markets)이 내재된 2주체 소규모 새케인지언 구조모형(Two Agents New Keynesian Model)을 통해 분석하고 있다.

생산비용 상승이라는 경제상황 변화가 있을 때 신용시장에서 차입한도제약을 받는 차입가계와 제약을 받지 않는 저축가계가 소비 및 노동공급에 대해 보이는 비대칭적 반응은 결국 두 가계간 통화정책 전달경로의 확장으로 이어진다. 물가갭과 생산갭을 동시에 고려하여 정책금리를 결정하는 신축적 물가목표 정책의 사회후생 수준은 차입한도제약가계 비중은 물론 모든 경제 상황을 종합적으로 고려하여 정책금리를 결정하는 Ramsey 유형의 최적정책과는 비슷하고 순순하게 물가목표 달성만을 추구하는 엄격한 물가목표 정책의 사회후생 수준보다는 높았다. 이는 가계 일부가 차입한도제약을 받는 상황에서도 신축적 물가목표 정책이 여전히 유효함을 시사한다. 또한 생산비용 상승에 대하여 신축적 물가목표 정책과 최적정책 하에서 소비와 노동공급은 엄격한 물가목표 정책보다는 완만히 조정되는 것으로 나타났다.

English Abstract: This paper examines monetary policy quantitatively in a two-agent and small-scale New-Keynesian economy with debt-constrained households who cannot smooth their consumption intertemporally and frictionlessly since highly indebted households are not allowed to borrow above a certain debt ceiling in incomplete financial markets without additional risk premiums due to information asymmetry between savers and borrowers.

We find that, in the event of cost shocks, the asymmetric responses of borrowing households without and saving households with dividend incomes lead to different labor supplies and consumptions over heterogeneous households, and eventually to an extension of monetary policy transmission channels. The income effect and low elasticity of labor supply play key roles for such asymmetric responses over heterogeneous households. We also find that the social welfare in flexible inflation targeting (FIT) monetary policy, in which both the inflation gap and output gap are considered in an integrated way for policy-making, is similar to that of Ramsey optimal monetary policy (ROP), in which the shares of debt-constrained households as well as all economic states including both the inflation gap and output gap are considered comprehensively for policy-making, and greater than that of simple inflation targeting (SIT) monetary policy, in which only the inflation gap is considered mechanically for policy-making. Such social welfare implies that FIT policy may still work well even in an economy with a sizable number of debt-constrained households. Further, the responses of cost shocks to consumption and labor supply are dying out more slowly in FIT and ROP policies than in SIT policy.

Note: Downloadable document is in Korean.

Keywords: Borrower, Saver, Monetary Policy, Two-Agent New Keynesian (TANK) Model

JEL Classification: E21, E52, E62