질적 VAR 모형을 이용한이자율 예측 및 통화정책의 평가

초록

This paper studies the implications of discrete changes in target interest rate by the Bank of Korea with respect to the predictability of interest rate and other macro variables (such as industrial production and CPI inflation) and the evaluation of monetary policy implementation, using qualitative VAR (Qual VAR), which incorporates the dynamics of discrete and/or qualitative variables in the usual VAR framework and models monetary policy stance associated with the changes in target interest rates as an unobserved variable.　It is shown that, although it is rather elusive to identify with ordinary VARs, the actual discrete changes in target interest rate are often hard to predict, as they tend to exhibit disruptive and unexpected movements. Thus, while Qual VAR is better in terms of output and inflation forecasting,it turns out worse than ordinary VAR for interest rate forecasting. However, Qual VAR is superior over the period of target interest rate drops-in particular, over three month horizon and longer (six month- and twelve month horizons). In addition, Qual VAR shows noticeable perfor-mance in qualitative forecast, i.e, category forecast and direction forecast. Finally, unlike the case with ordinary VAR, the forecasts of interest rate changes by Qual VAR seem to lead the actual changes, indicating the possibility of inconsistent and untimely and/or lagged implementation of monetary policy. The overall results are by and large due to the following observations. First, while the adjustments of target interest rates are gradual during the estimation period (1999:6–2005:12), Qual VARs with this feature are rather inflexible and thus not successful in predicting the unprecedented sharp and large drops in target rates triggered by the global financial crisis during the forecast sample (2006:1–2010:12). Instead, the ordinary VARs,being relatively more flexible and adaptive to quickly developing macro-economic conditions, are more predictive in this case. Second, while the changes in target interest rates in Qual VARs are estimated more sensitive to the changes of industrial production (than ordinary VARs) and at the same time not tightly linked to inflation rates,the actual changes in target interest rate turn out not closely associated with the real economic activities during the forecast sample. This leads to somewhat lagged pattern in actual changes of target rate around the business cycle turning points than predicted by the Qual VARs. Third, having predicted the movements in the target rates in advance and their gradual adjustment process, Qual VARs however outperform the ordinary VARs over medium-term forecast horizons, in particular for the cases of target interest rate drop

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