동아시아 통화 및 환율정책에 관한 연구: 개방경제 DSGE 모형을 이용한 베이지안 추정

학위논문 (박사)-- 서울대학교 대학원 : 사회과학대학 경제학부, 2018. 8. 김소영.This dissertation consists of two chapters. Chapter I analyzes the mone- tary policy conducted by the central bank of Korea in relation to the 2008–2009 global financial crisis focusing on the reaction of the policy interest rate to nominal exchange rate movements. In chapter II, I additionally experiment the role of central banks foreign exchange intervention (FX-Intervention) policy considering two more countries in East Asia1. Estimation and Assessment of the Monetary Policy in Korea Before and After the Global Financial Crisis . . . . . . . . . . . . . 1 1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 Simple Small Open Economy Model . . . . . . . . . . . . . . . 5 1.3 Bayesian Approach . . . . . . . . . . . . . . . . . . . . . . . . 9 1.4 Data and Prior Distributions . . . . . . . . . . . . . . . . . . . . 11 1.5 Estimation of the Korean Monetary Policy . . . . . . . . . . . . 16 1.5.1 Models best supported by the data . . . . . . . . . . . . 16 1.5.2 Different features of the two periods policy rules . . . . 20 1.6 Assessment of the Change . . . . . . . . . . . . . . . . . . . . . 25 1.6.1 Impulse Response Functions . . . . . . . . . . . . . . . 26 1.6.2 Stochastic Simulation . . . . . . . . . . . . . . . . . . . 28 1.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 A Korean Monetary Policy Before and After the Crisis . . 34 B Impulse Response Functions in Pre- and Post Crisis . . . 36 C Robustness . . . . . . . . . . . . . . . . . . . . . . . . 37 2. Estimation and Assessment of Monetary and Exchange Rate Policies in East Asia . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 2.2 Small Open Economy New Keynesian Model . . . . . . . . . . . 49 2.2.1 Households . . . . . . . . . . . . . . . . . . . . . . . . 49 2.2.2 Domestic producers . . . . . . . . . . . . . . . . . . . . 54 2.2.3 Retailers . . . . . . . . . . . . . . . . . . . . . . . . . . 56 2.2.4 Market clearing . . . . . . . . . . . . . . . . . . . . . . 59 2.2.5 Central bank . . . . . . . . . . . . . . . . . . . . . . . 59 2.2.6 Domestic net foreign asset position . . . . . . . . . . . 61 2.2.7 Exogenous shock and the rest of the world . . . . . . . . 61 2.3 Methodology and Data . . . . . . . . . . . . . . . . . . . . . . . 62 2.3.1 Bayesian approach . . . . . . . . . . . . . . . . . . . . 62 2.3.2 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63 2.3.3 Priors . . . . . . . . . . . . . . . . . . . . . . . . . . . 64 2.4 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67 2.4.1 Estimated posterior distributions . . . . . . . . . . . . . 67 2.4.2 Macroeconomic effects of the FX-intervention . . . . . 73 2.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82 A Estimation results under alternative prior for χcb . . . . . 82 B Bayesian IRFs under the benchmark prior . . . . . . . . 86 C Bayesian IRFs under the alternative prior . . . . . . . . 89 D Theoretical moments . . . . . . . . . . . . . . . . . . . 92 Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95 국문초록 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101Docto