우리나라 재정정책 효과의 비대칭성 분석 (Measuring the Nonlinear Impacts of Government Spending on Output in Kore)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 28권 / 2호 / 45 ~ 74페이지
· 저자명 : 손민규, 이정욱

초록

본 연구는 비선형모형인 Threshold VAR를 활용하여 우리나라 재정지출 효과의 비대칭성을분석하였다. 분석 결과 우리나라의 경우 정부소비를 재정지출 변수로 이용하여 평가한 재정지출확대의 성장효과는 GDP 갭률이 특정 임계치를 상회하는 호경기 보다 임계치를 하회하는 불경기에더 큰 것으로 나타났다. 또한 경기국면별 재정승수의 차이로 환산한 재정정책 효과의 비대칭성의크기도 선행연구에서 도출된 여타 국가의 결과에 비해 작지 않은 것으로 나타났다. 아울러충격부호별로는 경기국면과 관계없이 재정지출 축소 충격이 GDP에 미치는 효과가 동일한 규모의재정지출 확대 충격보다 더 큰 것으로 나타났다.

영어초록

The outbreak of the financial crisis in 2008 and the subsequent global recession have drawn much attention from both academia and policymakers to the role of the discretionary fiscal policy, triggering a huge amount of research efforts to quantify the policy effects. In particular, some of the literatures have recently examined the presence of asymmetries in the fiscal policy effects over the state of the economy. In a similar context, this paper investigates the nonlinear impacts of government spending on output for the first time in Korea using threshold vector autoregression model (TVAR) which allows parameters to switch according to whether a threshold variable crosses an estimated threshold. We begin by constructing the TVAR which includes quarterly data of the real government consumption, real GDP and real interest rate as endogenous variables and GDP gap which is widely perceived to be a measure of slackness in the economy as a threshold variable with the sample period of 1980Q1~2013Q3. With this model, we estimate the threshold of GDP gap which defines two different regimes of the economy and based on this threshold, we conduct the nonlinear impulse response analysis via bootstrapping simulations in order to capture the differing impacts of the government spending shocks by each regime and by the sign of the shocks as well. There are strong empirical evidence in favor of asymmetric effects of the fiscal policy in Korea. To be more specific, we find that the government spending shocks have a larger impact on output during the regime in which GDP gap is below the estimated threshold than during the regime above the threshold. Moreover, the degree of asymmetry which is measured by the difference of the spending multipliers in each regime turns out to be larger in Korea than those of other advanced economies from the previous studies. Our empirical results also show that the negative spending shocks have a larger impact on output than the positive shocks regardless of which regime the economy lies in at the beginning. As a policy implication for Korea, our results imply that the government spending increase can play a pivotal role in boosting the economy especially when it suffers from a severe lack of aggregate demand, much differently from when the output is above its potential level. It should also be noted that a large scale of the government spending cut aimed at enhancing fiscal soundness could have a dampening impact on the economy far larger than anticipated through the conventional linear models. Even though this paper provides robust evidence of the nonlinear growth effects of the government spending in Korea, further researches should be undertaken upon where these nonlinearities originate from, other than the real interest rate which does not show a significant difference in its responses to the shocks over the state of the economy.

참고자료

· 없음