중앙은행 커뮤니케이션의 시장금리에 대한 영향

In the case of Korea, the Bank of Korea changed its monetary policy operation method from the money volume to the interest rate after the full amendment of the Bank of Korea Act at the end of 1997. In addition, the policy signaling function of decision statements, such as expansion of the content of monetary policy statements, has been steadily strengthened. In addition, with the introduction of the price stabilization target system, communication efforts are being reinforced through various channels, such as reinforcing responsibility for explaining the operation situation. In this paper, we analyzed whether central bank communication has a real impact on market interest rates. Central bank communication is meant to encompass a series of communication with individual economic actors and markets in the course of monetary policy operation. However, we measured communication by limiting it to the domestic economic situation and prospects shown in the statements released by the Bank of Korea immediately after monetary policy decision. In general, we set the analysis period after the Bank of Korea started operating its interest-oriented management target in earnest. Looking at the analysis results, communication effects were found only on short-term interest rates such as call rate, CD and CP rates, and 1-year maturity rate. In addition, we classified the timing into a period when the policy interest rate target rose, a constant period, and a decreased period and then conducted an empirical analysis. As a result of the analysis, only short-term interest rates showed a significant response to communication variables, and mid- to long-term interest rates did not. Central bank communication can have an effect on the future short-term interest rate pathway, future economic conditions and inflation forecasts, and ultimately long-term interest rates. Therefore, the above results mean that the role of central bank communication in Korea is still insufficient. On the other hand, an empirical analysis was conducted by categorizing whether the policy interest rate target rises or falls. As a result of the analysis, when the interest rate target was lowered, even the 10-year maturity interest rate was affected. However, when the interest rate target was raised, the market interest rate did not show a significant reaction to the communication variable. This implies that the possibility of realization of a change signal to an interest rate hike was not greatly assessed in the market because policy interest rate had been mainly adjusted toward the direction of the cut.