국제금리에 대한 중앙은행의 대응과 거시경제 변동성

This paper analyses the effects on the macroeconomic volatility of the central bank's response to foreign interest rate movements when the central bank takes foreign interest rate into account in a policy reaction function of the Taylor rule type. The key findings derived from the small open economy new Keynesian DSGE model are as follows. First, if a central bank reacts to exchange rate or foreign interest movements, as well as the domestic indicators such as inflation and output, in setting the policy rate, output volatility increases, whereas inflation and interest rate volatility decrease marginally. Second, it is not desirable to respond too aggressively to the foreign interest rate movements in addition to the exchange rate. This is because the benefit, i.e., reduction of macroeconomic volatility, is very small compared to the large increase in macroeconomic volatility due to the aggressive response. In particular, inflation volatility could dramatically increase and this would be unpleasant to the inflation-targeting central bank. Third, however, it is desirable to respond to the foreign interest rate movements when the volatility of foreign interest rate increase, for, in this case, central bank can enhance the macroeconomic stability through the response.