우리나라 기간 스프레드의 경기예측력 증가 원인

Since the end of the 1980s, a huge literature has documented the long-short nominal term spread’s predictive power for future output growth, still such finding is to be regarded as a stylized fact in search of a theory. Currently, there are two main explanations why the nominal term spread may contain information on future output growth, one dealing with the workings of monetary policy and the other with the interaction between inter-temporal consumption smoothing and inflation’s persistence as determined by the underlying monetary regime. This study aims to examine whether the predictability of the nominal term spread has changed before and after the global financial crisis and to analyse the causes of these changes. To this end, first we regress the annualized cumulative percentage change in the monthly Industrial Production Index on the nominal term spread before and after the global financial crisis by adopting the econometric method of Estrella and Hardouvelis (1991). second, we regress changes in call rate compared to the previous month on the monthly Industrial Production Index’s annualized growth rate for past k months. third, we estimate the monetary policy’s stance before and after the global financial crisis by adopting Clarida, Gali and Gertler (1998)’s GMM method. fourth, we estimate inflation persistence before and after the global financial crisis by adopting Andrews and Chen (1994)’s median unbiased estimator. The main results are summarized as follows. First, the predictive power of the nominal term spread has increased since the 2008 global financial crisis compared to that before the crisis. Second, the central bank considered more trending changes in economic activity in deciding the benchmark interest rate after the crisis, compared to that before the crisis. Third, since the global financial crisis, monetary policy has been observed with emphasis on economic stability rather than response to inflation. Finally, the persistence of inflation in Korea, which occurred from January 2001 to December 2016, was generally observed below 0.22. This seems to be lower than 1, which means unit root process. To sum up the results, the increase in the predictability of the nominal term spread for future economic activity since the global financial crisis is believed to be due to the central bank`s aggressive monetary policy with emphasis on economic stability rather than price stability.