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국민대학교 경상대학

경제연구소 经济研究所

KIER Working Paper

Aggregate and Disaggregate Trend Inflation: Case of Korea

요약

The main contribution of this paper is its construction of a network of financial institutions from the level of consumer credit. We assume that each consumer takes loans from multiple institutions, so that those institutions share risk from the same consumers regardless of the quality or type of loan. Then we construct a financial network comprised of those institutions and compute a

contagion index based on their interconnections using a weight of probability of default for the individual borrowers. Using Korea Consumer Credit Panel (KCCP) we investigate a network of
financial institutions in Korea. We found a strong connection between banking institutions and credit card firms due to the convenience of making small loans with credit cards. However, when we
give a weighted probability of default to the linkages among institutions, the connections between banking institution and savings banks, non-credit card finance corporations and merchant bank
are stronger than others, while banking institutions hold a central position and are exposed to the largest amount of loans individually. The contagion index hit a peak in 2013Q1 and then fell rapidly,
before fluctuating at a relatively low level from 2016 to 2017Q2. Our results enable authorities to monitor systemic risk from the level of consumer credit, while accounting for specific types of
consumers and their probability of default.

핵심용어 : Inflation, core inflation, trend inflation, unobserved component stochastic volatility with outlier model

JEL 주제분류 : E31