임계값 자기회귀 모형을 통한 물가안정목표제의 국내 물가 안정화 효과 분석

• 영문명: The Effect of Inflation Targeting Policy on Price Stability in South Korea, Utilizing Threshold Autoregressive Model
• 발행기관: 한국무역연구원
• 저자명: 임은선(Eun-Son Lim)
• 간행물 정보: 『무역연구』제17권 제4호, 277~293쪽, 전체 17쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2021.08.30

영문 초록

Purpose - The purpose of Inflation Targeting (hereafter IT) Policy is price stability. To see whether IT policy has positive effects on price stability in South Korea, whether or not inflation rates are less persistent after an IT policy is explored. Design/Methodology/Approach - To estimate inflation persistence for the inflation rates within and deviated from the target range of 2% ~ 4% during the period of the post-IT policy, respectively, a Threshold Autoregressive (TAR) Model with aggregate CPI and disaggregate CPIs for 20 items is utilized. In addition, I investigate whether inflation persistence is different depending on whether the inflation rates undershoot or overshoot toward the target range. Findings - It was found that inflation persistence was reduced after an IT policy. However, there was no difference in inflation persistence depending on whether inflation rates are within and deviated from the target range of 2% ~ 4% and also whether they overshoot or undershoot toward the target range. I also found that the same results from the robustness test, which set the target range of 2.5% ~3.5%. Research Implications - The findings suggest that an IT policy has a positive effect on price stability in South Korea regardless of overshooting or undershooting toward the target ranges, which means that even if there is an economic shock in South Korea, its influence on the inflation rates would be temporary.

목차

Ⅰ. 서론

Ⅱ. 국내 물가안정목표제의 현황

Ⅲ. 선행연구

Ⅳ. 자료수집 및 실증분석 모형

Ⅴ. 실증분석 결과

Ⅵ. 결론

References

키워드

Inflation Persistence Inflation Targeting Threshold Autoregressive (TAR) Model