Inference and Dynamic Analyses of Non-stationarity of Real Interest Rate (in Korean)

This paper conducts the inference and dynamic analyses on the nonstationary trend of real interest rate considering limitedness of current approaches; i.e., 'ex post real interest rate's endogeneity with inflation', 'cointegretaion does not necessarily mean the stationarity of real interest rate'. For this, we follow Kim(2014)'s approach who introduced a concept of I(1) stochastic bubble trend in an I(1) asset price that is different from conventional I(d, d>1) rational bubble. According to the empirical analyses using Korean data for the terms of before and after Asian financial crises, we can not find I(1) real interest rate trend for the term of before Asian financial crisis, while we can find I(1) real interest rate trend or the term of after Asian financial crises with 5% significance level. To evaluate how monetary policy affects to the real interest rate trend, we conducted a generalized impulse response analyses within a VAR model of call rate (or real industrial production), real interest rate and inflation trend. From this work, we found that the decrease of call rate may invoke the decrease of real interest rate trend and, in turn, the increase of real industrial production. Finally, the nominal interest rate does not significantly respond to the inflation impulse while it is significantly affected by the real interest rate impulse.