Abstract

This paper analyzes the relationships between monetary policy and income inequality in Korea. We calculate Gini coefficient for various income range using data from the Household Income and Expenditure Survey and then estimate a block-exogeneity VAR representing Korean and US economies to examine the effects of monetary policies on income inequality. The results show that following a one-standard deviation contractionary (expansionary) monetary policy shock, market income Gini coefficient increases (decreases) significantly after one year, reaching its peak to 0.0014 (0.14%p) while GDP and CPI decrease (increase) significantly by 0.48% and 0.15%, respectively. The contributions of monetary policy shocks to income inequality are found to be small as shown by forecast error variance and historical decompositions. In addition, earnings heterogeneity channel is most important among various channels through which monetary policy affects income inequality. Finally, a counterfactual analysis implies that if Bank of Korea held the call rate constant at 5.13% from 2008:Q3 and thereafter, the average of market income Gini coefficient would be higher by 0.009 (0.9%p) during 2008:Q4–2015:Q1 under the assumption of static expectations.

摘要

本文分析了韩国货币政策与收入不平等之间的关系。我们使用来自家庭收入和支出调查的数据计算各种收入范围的基尼系数，然后估计代表韩国和美国经济体的块外生变量 VAR，以检查货币政策对收入不平等的影响。结果表明，经过一个标准差的紧缩性（扩张性）货币政策冲击，一年后市场收入基尼系数显着上升（下降），达到峰值0.0014（0.14%p），而GDP和CPI显着下降（上升）分别为 0.48% 和 0.15%。如预测误差方差和历史分解所示，货币政策冲击对收入不平等的贡献很小。此外，在货币政策影响收入不平等的各种渠道中，收入异质性渠道最为重要。最后，反事实分析表明，如果韩国银行从 2008 年第 3 季度起将拆借利率保持在 5.13% 不变，那么 2008 年第 4 季度至 2015 年期间市场收入基尼系数的平均值将提高 0.009（0.9%p）： Q1 在静态预期的假设下。