실물경제와 금융시장 간 관계에 대한 연구

Abstract

첫 번째 연구는 최근 저금리 등으로 인한 가계부채 증가세가 확대됨에 따라 가계부채가 국내 경제에 미치는 영향에 대한 관심이 높아지고 있다. 이에 본 연구는 생애주기-항상소득가설 등에 근거한 소비함수를 상정하여 단기적으로 가계부채가 소비에 미치는 영향을 실증분석 하였으며, 가계부채가 외생적 충격으로 인해 일정범위 이상으로 확대될 경우 소비에 부정적인 영향을 미칠 수 있음을 상정하여 가계부채의 변동성 변수를 소비함수에 추가하여 분석 하였다. 이와 더불어 가계부채가 중장기적으로 소비와 성장률에 어떤 영향을 미치는지 SVAR모형을 통해 실증분석 해보았다. 우선 실질 민간소비 증감률을 종속변수로, 실질 총소득 증감률과 실질 회사채 수익률, 실질 가계신용 증감률, 이자상환부담 증감률을 독립변수로 설정한 소비함수를 추정한 결과, 추정기간 중 가계부채 증가가 소비에 긍정적인 효과를 미친 것을 확인하였으며, 독립변수에 가계부채 변동성 변수를 추가한 모형의 추정결과를 통해 가계부채 증감률의 변동성 증가가 소비에 부정적인 영향을 미친 것을 확인하였다. 다음으로 이자율, 통화량, 총생산, 물가, 소비, 가계부채, 부동산가격 등 7변수로 구성된 SVAR모형을 추정한 결과, 가계부채 상승 충격은 소비와 성장률, 부동산가격을 상승시키는 것으로 나타났다. 이는 과거 가계부채 수준이 부채상환에 큰 부담이 없어 국내 소비와 성장률에 긍정적인 영향을 미친데 따른 것으로 보인다. 또한 가계부채가 자산시장 경로를 통해 부의 효과가 있었는지를 측정해본 결과, 가계부채는 자산시장 경로를 통해 소비와 성장률을 더욱 확대시킨 것으로 나타났다. 두 번째 연구는 외환위기를 기점으로 가계저축률이 급격히 하락한 것과는 대조적으로 우체국예금은 시장점유율이 크게 확대되었다는 점에 착안하여 우체국예금이 안전자산으로서 강한 성격을 가지고 있는지 실증분석 해보았다. 또한 대부자금설 및 유동성선호설 등에 근거한 실물경제 변수와 금융시장 변수를 VAR모형으로 설정하여 이자율과 저축, 안전자산과 투자자산, 실물경제와 금융시장 등의 관계를 실증분석 하였다. 우선 더미 변수를 활용한 OLS모형을 통해 우체국예금의 안전자산으로서의 성격을 분석한 결과, 우체국예금은 실물시장에 부정적인 충격이 발생할 경우 증가하는 모습을 보인 반면, 실물시장에 긍정적인 충격이 발생할 경우 감소하는 모습을 보임에 따라 안전자산으로서의 성격이 매우 강함을 확인하였다. 이는 같은 방법론을 통해 다른 시중은행들을 추정한 결과 일관되지 않은 결과가 나타났다는 점을 감안하면 우체국예금이 안전자산으로서의 성격이 매우 강함을 증명하는 결과라 할 수 있다. 다음으로 실물경제 변수와 금융시장 변수로 구성된 VAR모형을 추정한 결과, 이자율 상승 충격이 우체국예금 수신고를 상승시킴에 따라 경제이론에 근거한 대부자금설이 성립함을 확인하였다. 또한 내생변수인 종합주가지수 상승은 우체국예금 수신고를 하락시키는 것으로 나타남에 따라 두 변수가 금융시장에서 안전자산과 투자자산의 대체관계가 있음을 확인하였다. | Recently, attention of people is increasing about the impact of household debt on the domestic economy in accordance with the expansion of household debt growth due to low interest rates. Through this study I try to make the empirical analysis of the impact on the consumption of household debt in the short-term assuming a consumption function based on Life cycle - permanent income hypothesis, the volatility variable of household debt were analyzed in addition to the consumption function if household debt growth is to expand beyond a certain range assuming that can have a negative effect on consumption. In addition, I has tried empirical analysis of household debt through the SVAR model which affect the consumption and growth in the medium to long term. The first, as a result of estimating the consumption function to set the real consumption of common people growth as the dependent variable and gross income rate, real return of corporate bond, rate of real household debt and the rate of burden of interest repayment as an independent variable, I found the fact that household debt increase of assumed duration to give a positive effect on consumption, and I was also found that increased volatility of household debt give a negative impact on consumption over the estimated results of the model by adding a volatility variable of household debt in the independent variable. Next, the result of estimating SVAR model consisting of seven variables, such as interest rate, money supply, Gross Domestic Product(GDP), price, consumption, household debt, and housing price, the shock of rising household debt is shown to increase the consumption , growth rates and real estate prices. It seems that the level of household debt in the past do not have a large debt repayment burden and give the positive impact on domestic consumption and growth. Also, I try to measure the result of household debt whether there is the wealth effect through the asset market path, the result shows that household debt is expanding consumption and growth further through the asset market path. The second study is an empirical analysis tried over the OLS model using dummy variables to confirm the characteristics for the postal savings as a risk free asset. I was also trying to empirical analysis on the endogenous relationship between real economic variables and financial market variables by setting the real economy and financial market variables into variable VAR model based on the loanable funds and liquidity preference theory. Analysis results showed that when the negative impact on the real economy occurs postal savings increased, therefore, I was confirmed that the characteristics of the strong risk free assets. Next, estimate the impact of rising interest rates VAR model results has confirmed that the loanable funds theory also holds in accordance with the Postal Savings rising. In addition, as the endogenous KOSPI rise effects declining of the Postal Savings, I was confirmed that the substitution relationship between risk free assets and investment assets in financial markets.; Recently, attention of people is increasing about the impact of household debt on the domestic economy in accordance with the expansion of household debt growth due to low interest rates. Through this study I try to make the empirical analysis of the impact on the consumption of household debt in the short-term assuming a consumption function based on Life cycle - permanent income hypothesis, the volatility variable of household debt were analyzed in addition to the consumption function if household debt growth is to expand beyond a certain range assuming that can have a negative effect on consumption. In addition, I has tried empirical analysis of household debt through the SVAR model which affect the consumption and growth in the medium to long term. The first, as a result of estimating the consumption function to set the real consumption of common people growth as the dependent variable and gross income rate, real return of corporate bond, rate of real household debt and the rate of burden of interest repayment as an independent variable, I found the fact that household debt increase of assumed duration to give a positive effect on consumption, and I was also found that increased volatility of household debt give a negative impact on consumption over the estimated results of the model by adding a volatility variable of household debt in the independent variable. Next, the result of estimating SVAR model consisting of seven variables, such as interest rate, money supply, Gross Domestic Product(GDP), price, consumption, household debt, and housing price, the shock of rising household debt is shown to increase the consumption , growth rates and real estate prices. It seems that the level of household debt in the past do not have a large debt repayment burden and give the positive impact on domestic consumption and growth. Also, I try to measure the result of household debt whether there is the wealth effect through the asset market path, the result shows that household debt is expanding consumption and growth further through the asset market path. The second study is an empirical analysis tried over the OLS model using dummy variables to confirm the characteristics for the postal savings as a risk free asset. I was also trying to empirical analysis on the endogenous relationship between real economic variables and financial market variables by setting the real economy and financial market variables into variable VAR model based on the loanable funds and liquidity preference theory. Analysis results showed that when the negative impact on the real economy occurs postal savings increased, therefore, I was confirmed that the characteristics of the strong risk free assets. Next, estimate the impact of rising interest rates VAR model results has confirmed that the loanable funds theory also holds in accordance with the Postal Savings rising. In addition, as the endogenous KOSPI rise effects declining of the Postal Savings, I was confirmed that the substitution relationship between risk free assets and investment assets in financial markets.