earticle

영어

This study attempts to improve long-term forecasting method for real interest rate in Korea by utilizing domestic macro-economic variables and international interest rate as well. The conventional method derives long-term forecasts of real interest rates from the relation between marginal product of capital which is mainly determined by domestic macro-economic variables such as population growth, saving rate and total factor productivity growth. We find out the forecasting performance can be improved by using growth of employment and income per worker rather than the marginal product of capital among the domestic macro-economic variables, which implies the potential measurement error of capital stock estimation. More important finding is that international interest rate also gives statistically significant influence on domestic real interest rate. Therefore we can get the best forecasting outcome by combining the information from employment, income per worker and international interest rate. A more complicating to combine these domestic and international variables using the degree of openness of capital market as a kind of weight is also considered, but contributes only marginally to forecasting performance. Another finding is that we can get additional gains in the forecasting performance of the model by employing an error correction model to consider short-term dynamics. The conventional forecasting method has suggested that the real interest rates in Korea would decline somewhat fast over the next thirty years as a result of accelerating population aging. In contrast, the forecasting method of this study implies that the declining speed of real interest can be limited in spite of decelerating economic growth due to population aging if international interest rate remains at a certain level.

한국어

본 연구에서는 장기재정추계나 장기투자계획에서 중요하게 고려되는 실질이자율의 장기전망 정확도를 높이기 위한 방법을 실증적으로 검토하였다. 폐쇄경제 및 개방경제 이론모형에서 도출된 경제변수들을 이용하여 회귀분석한 결과, 폐쇄경제를 상정하는 경우에도 자본의 한계 생산성을 이용하는 기존의 방법보다는 일인당 소득 증가율 및 취업자 증가율 등의 변수를 이 용하는 방법이 좀 더 적합한 것으로 나타났다. 또한 개방경제 모형에서 제기하듯이 국제금리도 국내 실질이자율에 유의한 영향을 미친다는 점을 확인하였다. 폐쇄경제와 개방경제 모형을 결합하는 경우 실질 이자율 추정의 적합도가 상당히 개선되며, 안정상태의 장기균형관계만 이용하는 것보다는 단기 동학도 고려하는 오차수정모형을 사용하면 추정 성과가 추가적으로 개선되는 것으로 나타났다.