미국 금리정책 영향과 한국 금리정책의 독립성에 관한 연구: 정책 금리와 장기금리에 대한 영향을 중심으로

A Study on the Impact of U.S. Interest Rate Policy and the Independence of Korean Interest Rate Policy

Purpose - This study empirically analyzes the impact of US FRB monetary policy changes on Korea's base and market interest rates using monthly data from September 2012 to January 2024. It also examines the degree of independence of the Bank of Korea (BOK)'s monetary policy operations. Design/Methodology/Approach - The analysis utilizes transfer entropy to assess causal relationships between US and Korean interest rates, and estimates an EGARCH model of the BOK's base rate determination equation, incorporating various macroeconomic variables. Findings - The findings reveal that while US interest rates significantly impact Korean interest rates, this influence has gradually diminished over time. Notably, even during periods of rapid US interest rate hikes, the BOK has maintained its monetary policy independence and stability by prioritizing domestic economic conditions. Research Implications - The study suggests that the BOK has strengthened its ability to buffer external shocks and possesses the capacity to operate independent monetary policy tailored to domestic economic conditions. This is particularly evident in the finding that domestic factors, rather than the US federal funds rate, play a more crucial role in determining the base rate.