통화량의 인플레이션에 대한 정보전달체계에 관한 연구

This paper examines the inter-relationship from the changes of core currency, M1 and M2 to the inflation index in Korea during the sample period covering from January, 1965 to February, 2018. To test the information transmission, we estimated the time-varying GARCH(1,1)-M model. The major empirical results are as follows; First, according to the Philips-Perron test, except for the CPI level variable, the rest of level and log differenced variables are stable. Second, there are co-integration relations among the five level variables such as the core currency, M1, M2. consumer price index("CPI") and manufacturer price index("MPI"). Third, according to the GARCH(1,1)-M test, we find that there is not a conditional mean spillover from the changes of core currency to CPI but there are a conditional meal spillover from M1 and M2 to the CPI. However there is a conditional mean spillover effect from the changes of core currency, M1 and M2 to CPI with a statistically significant level. Fourth, we also find that there is a conditional volatility spillover from the changes of core currency, M1 and M2 to the CPI but not to the MPI. As we expected, there are a positive relationship between core currency, M2 and the two inflation index but there is a negative relationship between the M1 and the two inflation index. From these empirical results we infer that the three money supply index have a influence on the CPI and MPI and among the three money supply index M2 is more dominant than M1 and core currency. We hope these results would be a little bit helpful for capital market investors and monetary policy maker to set up investment and risk management strategies in Korea.