이자율 상승 충격이 가계부채 경로를 통해 실물경제에 미치는 영향에 대한 연구

Purpose - Domestic household debt, which has continued to increase since the global financial crisis, exceeds 100% of GDP. Accordingly, this study conducted an empirical analysis assuming that the shock of an interest rate increase can significantly restrict the real economy through the household debt channel. Design/methodology/approach - This study established a six-variable(M1, CPI(Consumer Price Index), interest rate(household loan), household credits outstanding, IIP(Index of All Industry Production), RSI(Retail Sales Index)) SVAR model based on economic theory to compare and analyze how much the shock of an interest rate increase restricts the real economy through the household debt channel. Findings - The estimated results show that a 1% increase in interest rates will reduce consumption by up to 3.3% after 8 months and gross domestic production by up to 2.0% after 7 months through the household debt channel, which will reduce consumption by 0.7%p and total production by 0.5%p more than when not through the household debt channel. This is because domestic household debt has exceeded the international threshold compared to GDP, and structurally, the proportion of floating interest rates is high, so it is judged that when interest rates rise, the burden of principal and interest increases, restricting real income and reducing the real economy such as consumption and total production. Research implications or Originality - Many studies on household debt and the real economy have analyzed micro-panel data. However, in this study, “counterfactural analysis” was used, which is a method of restricting the B matrix in the SVAR model. This study differs from other studies in that it dynamically confirmed how much household debt constrains the real economy.