정책 환경 불확실성을 반영한 확장 Taylor 준칙의 추정 및 평가

초록

This study extends the Taylor rule with the uncertainty index, based on the Bank of Korea's 『Monetary Policy Report』. When considering the role of uncertainty in determining the policy interest rate, the extended Taylor rule is expected to reduce the information asymmetry between the central bank and the public. The goodness of fit of the extended Taylor rule for the period of 2004 to 2021 improved significantly. We also estimated the extended Taylor rule for high and low uncertainty regimes. The estimated coefficient of the uncertainty for the low uncertainty regime was larger than that of the high uncertainty regime, which explains the situation in which the low interest rate trend has continued since the global financial crisis.

키워드