통화정책이 품목별 인플레이션에 미치는 영향에 대한 분석

This study aims to explain the response of the price index of each sector from a number of macro variables. To this end, a vector auto-regression (FAVAR) model with a factor addition was introduced to reduce the autonomy of variable selection arising from a large number of information, and time-variability was considered in the regression model to estimate dynamics in an unobserved regression coefficient. As a result of estimating the total inflation, the impact of inflation in Korea due to the impact of monetary policy did not show the price puzzle phenomenon, unlike the model using the small-scale VAR, and the macro theories showed the results that match the prediction. As a result of applying to inflation by sector, the effect of monetary policy by period has been almost the same since 2010, and the shock response of individual prices has been negatively affected by the rate hike impact in almost all sectors at the price level. However, although the degree was different as the time lag was shown, it was found that there was a significant difference in cross-sectional area, but the difference between the periods in 2010 and 2018 did not show much difference in the impact response by period. The shock response of consumption by rising interest rates is essential, but it certainly has a negative impact on food and non-alcoholic beverages, alcohol and tobacco, clothing and footwear, entertainment and culture, with a wide range of options, but on impact in sectors such as telecommunications, healthcare and education After recovering quickly, spending increased. In the classification by consumption behavior, durable goods, semi-durable goods, non-durable goods, and service goods all responded negatively in price response, whereas non-durable goods and service goods responded positively in consumption.