PVARX 모형을 활용한 거시건전성 정책과 통화정책의 상호작용 분석 — OECD와 EURO ZONE을 대상으로 —

초록

This study empirically analyzes the effects of macroprudential and monetary policies on key macroeconomic variables, as well as the interactions between the two policies. To this end, a Panel Vector Autoregression model with exogenous variables (PVARX) was employed using data from OECD countries and the Eurozone-19. The PVARX model includes the macroprudential policy index, industrial production index, consumer price index, producer price index, call rate, and household credit as endogenous variables, while the U.S. federal funds rate and the New York Stock Exchange volatility index (VIX) are treated as exogenous variables. For the Eurozone-19, since a common macroprudential policy index is not available, a new aggregate index was constructed by applying GDP-weighted averages of member countries’ macroprudential policy indices. The estimation results indicate that both contractionary macroprudential and monetary policy shocks exert negative effects on major macroeconomic variables such as output and household credit. Macroprudential policy tends to tighten in response to positive shocks to output and prices. This suggests that during economic expansions, when credit growth risks intensify, regulatory tools such as the countercyclical capital buffer (CCyB) are reinforced, and when inflation rises, liquidity-absorbing measures such as the reserve requirement (RR) are strengthened. Monetary policy responds to inflationary shocks by raising policy rates, implying that it has been primarily oriented toward price stability. Moreover, interest rates rise in response to macroprudential policy shocks, indicating that monetary policy generally acts in coordination with macroprudential policy among the countries analyzed.

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