명목임금 하방경직성과 통화정책 효과의 비대칭성

This paper shows that downward nominal wage rigidity can be a reason of asymmetric effects of monetary policy using a two sector DSGE model consisted of consumption sector and housing sector. We estimate the degree of downward nominal wage rigidity with other parameters, using simulated method of moments. We find that the parameter for downward nominal wage rigidity is statistically significant and the impulse responses of consumption and housing investment are asymmetric to the monetary policy shocks. When nominal wage is downward rigid, the magnitude of responses of consumption and investment to positive monetary policy shock is much larger than that to negative shock. This is due to, when monetary policy is tightened, the real wage doesn’t decrease very much so the labor supply decrease a lot compared to symmetric wage rigidity. In addition, the asymmetric response of housing investment is much larger than consumption. It is because the change of relative price is small with positive monetary shock. Small change of relative price induces the consumption to vary small magnitude. Consequently, a significant decrease of total labor supply and a small change of labor in consumption sector with positive shock results in a large decrease of labor in housing sector.