한국의 통화정책 파급과정에서 주택담보대출 신용경로 및 환율경로 : 소규모개방경제에 관한 확률적 동태일반균형모형을 통한 분석

This paper uses a small open economy dynamic stochastic general equilibrium (DSGE) model to study the roles of household credit channel and exchange rate channel in the transmission of monetary policy in Korea. DSGE model by Aoki, Proudman, and Vliege(2004), which applied financial accelerator approach to household sector and investigated the U.K. monetary policy transmission, is extended to a small open economy setting. Small open economy model is set up so that it highlights the fact that the major portion of imports into Korea is intermediate goods imports. Parameters of the model are calibrated based on existing studies on the Korean economy. According to the simulated impulse response functions based on calibrated parameter values, following can be argued. (1) In Korea, household credit channel significantly accelerates the impacts of monetary policy shocks or productivity shocks on output, employment, house price, and housing investment. (2) In economies like Korea which rely heavily on intermediate goods imports, reduction in policy interest rate, accompanied by depreciation of the local currency, tends to increase, rather than decrease, net exports.