East Asian Economic Review

  • 제22권4호
  • /
  • Pages.507-529
  • /
  • 2018
  • /
  • 2508-1640(pISSN)
  • /
  • 2508-1667(eISSN)
대외경제정책연구원 (Korea Institute for International Economic Policy)
권호 표지
DOI QR코드

DOI QR Code

The Effect of Quantitative Easing on Inflation in Korea

  • 투고 : 2018.07.18
  • 심사 : 2018.08.24
  • 발행 : 2018.12.30
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

This paper evaluates the whole impact of quantitative easing on inflation in Korea implemented by the central banks in four major advanced economies, the U.S., Euro Area, U.K. and Japan. According to the analysis employing a VAR-X model with the security holdings of those central banks an exogenous variable, quantitative easing is estimated to exert downward pressures on inflation in Korea. Considering the impulse responses of Korean macroeconomic variables to a quantitative easing shock, the spillover effect is transmitted through exchange rate channel while trade channel turns out to be ineffective. In an additional analysis assessing the impact of each quantitative easing program of the central banks, only those of the Fed and European Central Bank are estimated to be significant. The empirical results prove to be robust even if using long-term interest rates as an alternative indicator of quantitative easing.

키워드

참고문헌

  1. Anaya, P., Hachula, M. and C. J. Offermanns. 2017. "Spillovers of U.S. Unconventional Monetary Policy to Emerging Markets: The Role of Capital Flows," Journal of International Money and Finance, vol. 73, Part B, pp. 275-295. https://doi.org/10.1016/j.jimonfin.2017.02.008
  2. Bank of Korea (BOK). 2015. "Transmission Effect of Base Rate Reductions on Banks' Loan and Deposit Interest Rates," Monetary Policy Report, April, pp. 68-70.
  3. Bauer, M. D. and C. J. Neely. 2014. "International Channels of the Fed's Unconventional Monetary Policy, " Journal of International Money and Finance, vol. 44, pp. 24-46. https://doi.org/10.1016/j.jimonfin.2013.12.007
  4. Bhattarai, S., Chatterjee, A. and W. Y. Park. 2015. Effects of U.S. Quantitative Easing on Emerging Market Economies. FRB of Dallas Globalization and Monetary Policy Institute. Working Paper, no. 255.
  5. Bonis, B., Ihrig, J. and M. Wei. 2017. The Effect of the Federal Reserve's Securities Holdings on Long-term Interest Rates. FEDS Notes. Washington: Board of Governors of the Federal Reserve System. April 20, 2017.
  6. Bowman, D., Londono, J. M. and H. Sapriza. 2015. "U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies," Journal of International Money and Finance, vol. 55, pp. 27-59. https://doi.org/10.1016/j.jimonfin.2015.02.016
  7. Chang, B.-K. 2009. "Sock and Real Estate Market Effects on Household Consumption," Journal of Industrial Economics and Business, vol. 22, no. 3, pp. 1111-1132. (in Korean)
  8. Chen, Q., Filardo, A., He, D. and F. Zhu. 2016. "Financial Crisis, U.S. Unconventional Monetary Policy and International Spillovers," Journal of International Money and Finance, vol. 67, pp. 62-81. https://doi.org/10.1016/j.jimonfin.2015.06.011
  9. Christensen, J. H. E. and G. D. Rudebusch. 2012. "The Response of Interest Rates to U.S. and U.K. Quantitative Easing," Economic Journal, vol. 122, no. 564, pp. F385-F414. https://doi.org/10.1111/j.1468-0297.2012.02554.x
  10. Cushman, D. O. and T. Zha. 1997. "Identifying Monetary Policy in a Small Open Economy under Flexible Exchange Rates," Journal of Monetary Economics, vol. 39, no. 3, pp. 433-448. https://doi.org/10.1016/S0304-3932(97)00029-9
  11. Eichenbaum, M. and C. L. Evans. 1995. "Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates," Quarterly Journal of Economics, vol. 110, no. 4, pp. 975-1009. https://doi.org/10.2307/2946646
  12. Fratzscher, M., Duca, M. L. and R. Straub. 2016. "On the International Spillovers of U.S. Quantitative Easing," Economic Journal, vol. 128, no. 3, pp. 330-377.
  13. Gagnon, J., Raskin, M., Remache, J. and B. Sack. 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, vol. 7, no. 1, pp. 3-43.
  14. Gambacorta, L., Hofmann, B. and G. Peersman. 2014. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis," Journal of Money, Credit and Banking, vol. 46, no. 4, pp. 615-642. https://doi.org/10.1111/jmcb.12119
  15. Gong, C., Son, C. and S. Choi. 2014. "Influence of Changes in Won/Dollar Exchange Rate on Consumer Prices," BOK Inflation Report, July, pp. 14-16. (in Korean)
  16. Joyce, M. A. S., Lasaosa, A., Stevens, I. and M. Tong. 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, vol. 7, no. 3, pp. 113-161.
  17. Kim, A.-Y. 2006. "Pass-Through of Exchange Rate Changes to Domestic Inflations in Korea," Journal of Korea Research Society for Customs, vol. 7, no. 1, pp. 213-237. (in Korean)
  18. Kim, K. 2012. Pass-Through of Foreign Prices to Domestic Prices. BOK Economic Review, Discussion Paper Series, no. 2012-14. (in Korean)
  19. Kim, S.-W. and M. Choi. 2007. "Stock Return's Effect on Different Income Cohorts' Consumption: Evidence from Nonlinear Estimation in Korea," Journal of Money and Finance, vol. 12, no. 2, pp. 145-174. (in Korean)
  20. Korniyenko, Y. and E. Loukoianova. 2015. The Impact of Unconventional Monetary Policy Measured by the Systemic Four on Global Liquidity and Monetary Conditions. IMF Working Paper, no. WP/15/287.
  21. Lavigne, R., Subrata, S. and G. Vasishtha. 2014. "Spillover Effects of Quantitative Easing on Emerging-Market Economies," Bank of Canada Review, vol. 2014, Autumn, pp. 23-33.
  22. Miyajima, K., Mohanty, M. S. and J. Yetman. 2014. Spillovers of U.S. Unconventional Monetary Policy to Asia: the Role of Long-term Interest Rates. BIS Working Papers, no. 478.
  23. Nam, M.-H. and M. Go. 2017. Formation of Inflation Expectations: Characteristics and Implications. BOK Monthly Bulletin, vol. 71, no. 12, pp. 16-34. (in Korean)
  24. Takats, E. and A. Vela. 2014. International Monetary Policy Transmission. BIS Papers, no. 78.
  25. Tillmann, P. 2016. "Unconventional Monetary Policy and the Spillovers to Emerging Markets," Journal of International Money and Finance, vol. 66, pp. 136-156. https://doi.org/10.1016/j.jimonfin.2015.12.010