칼만필터를 이용한 우리나라의 중립금리 추정

Wicksell defined the natural rate in his book published at 1898 likethis. “There is a certain rate of interest on loans which is neutral in respectto commodity prices and tends neither to raise nor to lower them.”Fromthe recent point of view, Wicksell’s definition of the natural rate can beinterpreted as the real interest rate consistent with output converging topotential, where potential is the level of output consistent with stableinflation. In many countries involving Korea, short-term interest rate has be-come the primary monetary policy instrument. Under this monetary policyregime, natural rate can provide a criteria for evaluating the stance of mo-netary policy and represent a medium-run real rate anchor for monetarypolicy (Laubach and Williams. 2003). If the real policy rate is above (below)the natural rate, we can evaluate the monetary policy stance as contrac-tionary (stimulative). Therefore, if the real policy rate remain at the levelof natural rate, there may be no pressure to boost or shrink economy fromthe monetary policy stance. Above this, the gap between real policy rateand the natural rate can be used as an indicator for future inflation (Neissand Nelson, 2003). In order to estimating the natural rate, various methods are used.First, simple average of long-term real policy rate is mainly used byfinancial market participants. This method is very easy to get the naturalrate, but the level of natural rate may be differ according to the sampleperiod (Ferguson, 2004). Second, Kalman filter method is broadly used bymany central banks and international organizations. This method can con-sider economic factors of determining the natural rate and time varyingcharacter of the natural rate. However, estimates of a time-varying naturalrate by Kalman filter method may be very imprecise (Laubach and Williams,2003). Finally, estimates of the natural rate from DSEG model (Smet andWouters, 2007) and TIPS (Bomfim, 2001) are also used. In this paper, I use the model developed by Laubach and Williams(2003) to estimate the natural rate in Korea. This model is composed ofIS equation, Phillips curve equation, Natural rate equation and so on. Especially, the natural rate is deeply related to the trend growth rate owingto the theoretical linkage between these two variables. And the trend growthrate and the natural rate are designed to have time-varying character becauseeconomic theory implies that the natural rate varies over time in responseto shift in preference and technology (Laubach and Williams, 2003). Becausethe level of potential output, its trend growth rate and the natural rateare all unobservable, the Kalman filter method is applied to jointly estimatethese variables. The data for estimating this model is quarterly basis andestimation period is from 1991:1 to 2012:4. I find that the natural rate shows significant variation in Korea. Variation in the trend growth rate is an important determination of changein the natural rate, as predicted by economic theory and described by relatedliteratures like Laubach and Williams (2003). According to the decline ofthe potential GDP growth rate in Korea, the natural rate has been alsosteadily declined over the past twenty years. Judging the monetary policystance from the gap between real policy rate and the estimates of naturalrate since 2000, the stance of policy appears stimulative during the yearof 2001, 2004, 2009. Especially, the expansionary policy stance after globalfinancial crisis appears much stronger for a long time. On the other hand,the policy stance from the end of 2006 to the first half of 2008 appearscontractionary to prevent high inflation. Judging from the gap betweenreal policy rate and the natural rate, the Bank of Korea has conductedmonetary policy considering global and domestic economic conditions suffi-ciently to stabilize the business cycle and inflation.