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금융시장 마찰이 존재하는 소규모 개방경제모형을 이용한 대안적 통화정책 분석(Alternative monetary policy rules in a small open economy with financial frictions) : 한국의 경우(The case of Korea)

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  • 금융시장 마찰이 존재하는 소규모 개방경제모형을 이용한 대안적 통화정책 분석(Alternative monetary policy rules in a small open economy with financial frictions)
  • Jung, Yongseung정용승
  • 대외경제정책연구원(Korea Institute for International Economy Policy)


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Title 금융시장 마찰이 존재하는 소규모 개방경제모형을 이용한 대안적 통화정책 분석(Alternative monetary policy rules in a small open economy with financial frictions)
Similar Titles
Sub Title

한국의 경우(The case of Korea)

Material Type Articles
Author(English)

Jung, Yongseung

Author(Korean)

정용승

Publisher

[서울(Seoul)]:대외경제정책연구원(Korea Institute for International Economy Policy)

Edition 43
Date 2011-09
Journal Title; Vol./Issue 대외경제연구(Journal of East Asian Economic Integration):vol. 15(no. 3)(Fall 2011)
Subject Country South Korea(Asia and Pacific)
Language Korean
File Type Link
Subject Economy < Macroeconomics
Holding 대외경제정책연구원(Korea Institute for International Econom

Abstract

This paper first shows an empirical result of VAR that Korean economy has experienced a severe economic contraction to an exogenous country spread shock. To analyze the effect of alternative monetary policy on the economy, the paper sets up a multi-sector small open economy new Keynesian (NK hereafter) model with financial frictions due to asymmetric information between firms and financial intermediaries along the line of Bernanke et al. (1999). It shows that the small economy with financial frictions is more vulnerable to the exogenous shocks such as the foreign exchange rate shock under the fixed exchange rate regime than under the flexible exchange regime. It also shows that the interest rate rule that responds to financial market conditions is better than any other interest rate rules only if it does not react to the exchange rate fluctuations. Moreover, an interest rate rule that responds to the exchange rate fluctuations, i.e. the monetary policy under the managed floating exchange rate regime is inferior to the monetary policy rules that do not respond to the exchange rate fluctuations. Finally, it shows that the monetary authority needs to stabilize a narrow price index such as domestic price index rather than a general price index such as consumer price index under the financial friction circumstances.