중립금리는 실물경제가 안정된 상태에서의 균형금리를 의미하며, 실질 시장금리와 중립금리 간의 격차는 민간부문에 대한 은행대출을 늘리거나 경기변동을 유발함으로써 결과적으로 인플레이션에 영향을 미치게 된다. 선진국 중앙은행 및 학계에서는 칼만필터와 동태적확률 일반균형(DSGE) 모형 등을 활용하여 중립금리를 추정하고 있으며 이를 통해 통화정책기조를 평가하는 한편 미래의 물가상승압력 및 장기적인 시장금리의 방향성을 예측하는 데도 활용하고 있다. 우리나라의 경우 IMF가 2010년 정부와의 연례협의 보고서를 통해 중립금리에 대한 내용을 언급하면서 이에 대한 관심이 크게 높아졌지만, 아직까지 우리나라의 중립금리를 추정한 학계의 연구결과는 없는 실정이다. 이에 따라 본고에서는 선진국 중앙은행 및 국제기구 등에서 주로 활용되고 있는 Laubach and Williams(2003)의 방법론을 준용하여 칼만필터 방식을 통해 우리나라의 중립금리를 추정해 보았다. 추정결과 장기적 관점에서 잠재성장률의 하락추세에 따라 중립금리 수준도 점차 낮아지고 있는 것으로 나타났다. 아울러 실질정책금리와 중립금리 추정치 간의 격차를 이용하여 2000년대 우리나라 통화정책의 완화 정도를 평가해 본 결과, 한국은행은 국내외 금융·경제상황에 따라 통화정책을 완화적 혹은 긴축적 기조로 운영해 온 것으로 나타났다. 특히 글로벌 금융위기 이후 통화정책의 완화기조가 상당기간 지속된 것으로 나타났는데, 이는 한국은행이 글로벌 금융위기 이후 주요 선진국 경제에 잠재된 불확실성과 이에 따른 우리나라의 저성장 지속 가능성에 대한 우려 등을 적극 감안한 것으로 해석할 수 있겠다. 본 연구는 선진국 중앙은행의 사례를 참고하여 우리나라의 중립금리 추정을 시도했다는 점에서 큰 의의를 지닌다고 할 수 있겠다. 그러나 Laubach and Williams(2003) 등 기존 문헌에서도 언급한 바와 같이 중립금리는 추정치의 불확실성이 매우 크다는 점에 유념할 필요가 있으며, 경제이론 및 모형에 따라서도 중립금리 추정치의 수준이 매우 상이하게 나타날 수 있다는 점에도 유의해야 할 것이다.

Wicksell defined the natural rate in his book published at 1898 like this. "There is a certain rate of interest on loans which is neutral in respect to commodity prices and tends neither to raise nor to lower them." From the recent point of view, Wicksell`s definition of the natural rate can be interpreted as the real interest rate consistent with output converging to potential, where potential is the level of output consistent with stable inflation. In many countries involving Korea, short-term interest rate has become the primary monetary policy instrument. Under this monetary policy regime, natural rate can provide a criteria for evaluating the stance of monetary policy and represent a medium-run real rate anchor for monetary policy (Laubach and Williams. 2003). If the real policy rate is above (below) the natural rate, we can evaluate the monetary policy stance as contractionary (stimulative). Therefore, if the real policy rate remain at the level of natural rate, there may be no pressure to boost or shrink economy from the monetary policy stance. Above this, the gap between real policy rate and the natural rate can be used as an indicator for future inflation (Neiss and Nelson, 2003). In order to estimating the natural rate, various methods are used. First, simple average of long-term real policy rate is mainly used by financial market participants. This method is very easy to get the natural rate, but the level of natural rate may be differ according to the sample period (Ferguson, 2004). Second, Kalman filter method is broadly used by many central banks and international organizations. This method can consider economic factors of determining the natural rate and time varying character of the natural rate. However, estimates of a time-varying natural rate by Kalman filter method may be very imprecise (Laubach and Williams, 2003). Finally, estimates of the natural rate from DSEG model (Smet and Wouters, 2007) and TIPS (Bomfim, 2001) are also used. In this paper, I use the model developed by Laubach and Williams (2003) to estimate the natural rate in Korea. This model is composed of IS equation, Phillips curve equation, Natural rate equation and so on. Especially, the natural rate is deeply related to the trend growth rate owing to the theoretical linkage between these two variables. And the trend growth rate and the natural rate are designed to have time-varying character because economic theory implies that the natural rate varies over time in response to shift in preference and technology (Laubach and Williams, 2003). Because the level of potential output, its trend growth rate and the natural rate are all unobservable, the Kalman filter method is applied to jointly estimate these variables. The data for estimating this model is quarterly basis and estimation period is from 1991:1 to 2012:4. I find that the natural rate shows significant variation in Korea. Variation in the trend growth rate is an important determination of change in the natural rate, as predicted by economic theory and described by related literatures like Laubach and Williams (2003). According to the decline of the potential GDP growth rate in Korea, the natural rate has been also steadily declined over the past twenty years. Judging the monetary policy stance from the gap between real policy rate and the estimates of natural rate since 2000, the stance of policy appears stimulative during the year of 2001, 2004, 2009. Especially, the expansionary policy stance after global financial crisis appears much stronger for a long time. On the other hand, the policy stance from the end of 2006 to the first half of 2008 appears contractionary to prevent high inflation. Judging from the gap between real policy rate and the natural rate, the Bank of Korea has conducted monetary policy considering global and domestic economic conditions sufficiently to stabilize the business cycle and inflation.