간행물

한국금융연구원> 금융연구

금융연구 update

Journal of Money & Finance

  • : 한국금융연구원
  • : 사회과학분야  >  경제학
  • : KCI등재
  • :
  • : 연속간행물
  • : 계간
  • : 1225-9489
  • :
  • :

수록정보
24권4호(2010) |수록논문 수 : 4
간행물 제목
24권4호(2010년) 수록논문
권호별 수록 논문
| | | |

KCI등재

1금융규제와 유동성위험간 관계 분석

저자 : 강종구 ( Jong Ku Kang )

발행기관 : 한국금융연구원 간행물 : 금융연구 24권 4호 발행 연도 : 2010 페이지 : pp. 1-48 (48 pages)

다운로드

(기관인증 필요)

초록보기

본고는 거시건전성 측면에서 유동성위험 관리가 중요하고 최근 새로운 금융규제 도입에 관한 국제적 논의가 활발하게 이루어지고 있음을 감안하여 금융규제 형태별로 유동성위험에 끼치는 영향에 관해 분석하였다. Pyle-Hart-Jaffee의 모형을 기반으로 한 이론모형을 설정하여 금융규제가 유동성위험에 끼치는 영향에 관해 분석한 주요 결과를 보면 BIS자기자본비율 규제의 강화, 기본자본비율의 상승, 비예금성부채에 대한 은행세 부과 등은 은행의 위험추구행위를 억제하면서 유동성위험을 낮추는 효과가 있는 것으로 분석되었다. 한편 레버리지비율 규제의 강화, 은행지원자금 조성을 위해 순이익에 대한 은행분담금 부과 등은 자본적정성을 높이고 은행위기시 파산위험을 줄이는 긍정적 효과가 있지만 은행의 위험추구 유인을 강화시킴에 따라 유동성위험을 상승시키는 부작용을 초래할 가능성이 있는 것으로 나타났다. 그러나 은행에 대한 시장규율과 감독당국의 감시정도가 높은 경우 해당 금융규제 도입시 은행의 유동성위험이 높아지지 않을 가능성도 있다.


After the global financial crisis, it is widely recognized that liquidity risk management is indispensible for macro economic stability. Northern Rock (UK) and Bear Stearns (US) could not avoid bankruptcy due to liquidity risk problem even though their capital adequacy and asset soundness did not pose serious threat to the banks` stability. Contagion of systemic risk among banks is contributed mainly by lack of adequate liquidity risk management. Bank`s liquidity risk needs to be measured considering both the asset and the liability structure. This paper, given that liquidity risk rises when non deposit liability increases and safe asset decreases, employs the ratio of (non deposit liability-safe asset) to total funding as an index measuring liquidity risk. Since the global financial crisis, the introduction of new financial regulation has been under discussion. In the light of this, the necessity of analysing the relationship between financial regulation and liquidity risk has grown. This paper mentions factors affecting liquidity risk and analyses the relationship between financial regulation and liquidity risk by setting up a model and conducting simulation. The trend of the liquidity risk index can be identified using the ratio of (non deposit liability-safe asset) to total funding. The liquidity risk of the commercial banks in Korea had risen from 2000 to the time before the financial crisis, and it had risen especially rapidly during the period from 2007 to the third quarter of 2008. Meanwhile, the movement of the ratio of loan to deposit and the ratio of non deposit liability to total fund is similar to that of the liquidity risk index. The result of analyzing correlation shows that banks with higher liquidity risk index before the financial crisis tend to have received greater financial support from the government and the central bank after the financial crisis, which implies that the liquidity risk index can be useful in measuring bank`s exposure to liquidity risk. The results obtained from setting up a model and conducting simulation are as follows : rise of the safe debt funding cost, decrease in the risky debt funding cost, decrease in the safe asset return and rise of the risky asset return contribute to increase in liquidity risk through expansion of the risky debt and reduction of the safe asset. As the expectation for the financial market being stable grows, banks hold the safe asset less and the risky asset more, which increases liquidity risk. When banks become more risk-averse, banks hold the safe asset more, which leads to decrease in liquidity risk. Simulation results show that strengthening BIS capital ratio regulation can bring about decrease in the ratio of (risky debt-safe asset) to total funding through reduction in the risky asset and expansion of the safe asset. Raising required core capital ratio restrains banks` risk taking by increasing stockholders` responsibility for bank losses, and consequently, decrease liquidity risk. Strengthening leverage ratio regulation may be a factor in liquidity risk increase as it leads banks to reduce mostly the safe asset that has lower return than the risky asset. Imposing bank tax on non deposit liability can reduce the amount of non deposit and decrease liquidity risk, while imposing tax on bank profit does not have a significant effect. And, imposing levy on bank profit can increase liquidity risk as banks expect more support when in trouble and bank moral hazard problem becomes more severe. Meanwhile, imposing levy on non deposit liability does have little effect on liquidity risk. Introducing the loan to deposit ratio regulation can be a factor which decreases liquidity risk. It is expected that most regulations currently under discussion can restrain banks` risk taking activity and decrease liquidity risk, contributing to macro economic stability. However, there is a possibility that some of them can increase liquidity risk.

KCI등재

2국제금융시장 충격이 국내금융시장 변동성에 미치는 영향

저자 : 이근영 ( Keun Yeong Lee )

발행기관 : 한국금융연구원 간행물 : 금융연구 24권 4호 발행 연도 : 2010 페이지 : pp. 49-85 (37 pages)

다운로드

(기관인증 필요)

초록보기

본 연구에서는 기존 모형들을 확장해 미국금리, 다우존스지수, 엔/달러환율 등의 해외변수를 외생적으로 가정한 후 이들 해외뉴스충격이 국내금리, KOSPI, 원/달러환율 변동성에 어떤 영향을 미쳤는가를 분석하였다. 분석결과 해외변수를 고려하는 경우 국내금리, KOSPI, 원/달러환율 등의 국내뉴스충격은 다른 국내금융변수의 변동성에 거의 영향을 미치지 못하는 반면미국금리, 다우존스지수, 엔/달러환율 등의 해외뉴스충격은 국내금융변수의 변동성을 상대적으로 크게 증대시킨다, 또한 해외뉴스충격의 경우에도 금리에 대한 충격보다는 주식시장이나 외환시장에 대한 충격이 보다 더 큰 국내금융시장의 변동성을 가져온다.


This study analyzes the impact of international financial shocks on the volatility of domestic financial markets. It simultaneously investigates casual relations between domestic and foreign financial markets such as equity, foreign exchange, and money or bond markets. It combines and extends the models of Lastrapes (2005, 2006) and Rigobon and Sack (2003). It is assumed that foreign variables such as U.S. interest rates, Dow Jones Index, and yen/dollar exchange rates are block exogenous, following Lastrapes (2005, 2006). Lastrapes (2005, 2006) used Cholesly factorization to recognize parameters in structural VAR models. But this method cannot reflect contemporaneous relations in financial markets well, because it unilaterally restricts causal relations between financial variables. Therefore, the paper estimates contemporaneous parameters in structural VAR models under the assumption that conditional variance-covariance matrix is time varying like in Rigobon and Sack (2003). In addition, it is also assumed that foreign variables in conditional variance-covariance matrix are block exogenous in order to reduce the number of excessive parameters which should be estimated. The whole sample period is from January 4, 1999 to April 21, 2009 and the sample size is 2539. Two day`s average return data are considered to avoid time lag between Korea and U.S. The empirical results show that news shocks in domestic stock, foreign exchange, and money or bond markets cannot significantly influence volatility of the other domestic financial variables, when foreign financial variables are considered together. On the other hand, news shocks to foreign variables such as U.S. interest rates, Dow Jones Index, and yen/dollar exchange rates have relatively large impact on volatility of domestic financial variables. Particularly, shocks to Dow Jones Index and yen/dollar exchange rates have stronger impact on volatility of domestic financial markets than shocks to U.S. Treasury bill and federal funds rates. Volatility of domestic money and bond markets is powerfully influenced by shocks to U.S. federal funds rates rather than Treasury bill rates. Shocks to federal funds rates also have much stronger effect on volatility of call rates than volatility of corporate bond yield rates. Volatility of corporate bond yield rates is more affected by shocks to Dow Jones Index than shocks to yen/dollar exchange rates. On the other hand, volatility of call rates is more strongly influenced by shocks to yen/dollar exchange rates than shocks to Dow Jones Index. The empirical results suggest that the domestic monetary policy is closely associated with the foreign exchange policy because a balance of current accounts is very important in a small open economy.

KCI등재

3한국 모기지시장의 채무불이행 및 조기상환 분석

저자 : 방두완 ( Doo Won Bang ) , 박세운 ( Sae Woon Park ) , 박연우 ( Yun Woo Park )

발행기관 : 한국금융연구원 간행물 : 금융연구 24권 4호 발행 연도 : 2010 페이지 : pp. 87-118 (32 pages)

다운로드

(기관인증 필요)

초록보기

본 연구의 목적은 한국 모기지시장의 채무불이행 및 조기상환의 결정요인과 경과기간에 따른 채무불이행과 조기상환 행태를 분석하여 통계적 모형을 추정하고 그것의 지역적 차이를 비교하는 것이다. 신용등급이 낮을수록, 현시점 LTV(MLTV)가 높을수록, DTI가 높을수록 채무불이행율은 증가하고 서울 부산의 경우 주택가격 상승률이 높을수록 채무불이행율은 감소하는 것으로 나타났다. 자영업자일 경우 채무불이행율은 더 높았다. 2004년부터 2007년까지의 분석대상기간 중 부산 아파트 가격은 하락한 반면 서울 아파트가격이 급등하여 부산의 채무불이행율이 서울보다 높을 것으로 예상하였으나 오히려 서울이 더 높게 나타났다. 분석기간 동안 전국의 채무불이행율은 0.78%, 서울은 1.40%, 부산은 1.10%로 나타났다. 조기상환율은 계약금리 대비 시장금리가 하락할 때 전 지역에서 증가하였고, MLTV가 증가할수록 대출잔액이 증가할수록 증가하는 것으로 분석되었다. 분석기간 동안 전국의 조기상환율은 20.06%, 서울 20.55%, 부산 17.73%로 나타났다. 또한 Kaplan-Meier product limit 방법으로 추정한 조건부 채무불이행율(CDR)과 조건부 조기상환율(CPR)에 미국 모기지시장과 같이 경과기간에 따른 성숙효과가 존재하였으며 추정 CDR은 전국과 서울은 50~100% SDA, 부산은 50~150% SDA, 추정 CPR은 전국과 서울이 150~250% PSA, 부산이 100~200% PSA인 것으로 분석되었다.


The purpose of this study is to investigate the default and the prepayment behaviors in the Korean mortgage markets. In particular, we examine the factors that play major roles in determining default and prepayment, investigate the seasoning effect in the default and the prepayment, and explore whether there is any difference between Seoul (hot housing market) and Pusan (cold housing market). We use 145,782 mortgage loans, which KHFC (Korea Housing Finance Corporation) securitized from January 2004 to December 2007. Of these there are 21,069 mortgage loans originated in Seoul and 12,503 mortgage loans in Pusan. The KHFC mortgages in the sample have the maximum maturity of 20 years and the maximum LTV of 70%. The average LTV of the overall sample is 60.3%; the average LTV is 57.8% in Seoul while the average LTV is 60.9% in Pusan. The initial loan amount is KRW 74 million in the overall sample, KRW 111 million in Seoul and KRW 66 million in Pusan. The prepayment penalties of KHFC mortgages are 2% if prepayment occurs within 1 year, 1.5% within 3 years and 1% within 5 years. We use 90 days arrears as the proxy for loan default consistent with the Basel II. Contrary to our expectation that the default rate in the regional market as such Pusan would be higher than that in Seoul, which experienced a sharp price run-up during the study period, we find that the default rate in Seoul is higher and the difference is statistically significant. During the study period of 2004~2007 the cumulative default rate is 0.78% in the overall markets, 1.40% Seoul and 1,10% in Pusan. We find that the default is higher, lower the credit rating, lower the past house price increase, higher the mark-to-market loan-to-value ratio (MLTV), and higher the DTI. The self-employed borrowers show a lower default rate. These findings are consistent with economic theories and findings reported in other markets. We find little difference in the factors that influence the mortgage default between Seoul and Pusan. The prepayment rate rises as the mortgage rate drops below the contract mortgage rate. It rises right after the 12 months and 36 months of loan age to coincide with the reduction in the prepayment penalty. The prepayment rate is higher, higher the MLTV and higher the mortgage balance. We find little difference in the factors that influence the mortgage prepayment between Seoul and Pusan. During the study period, the prepayment rate is 20.06% in the overall markets, 20.55% in Seoul and 17.73% in Pusan. From the CDR(conditional default rate) and the CPR(conditional prepayment rate) we estimate using the Kaplan-Meier product limit method, we find that the seasoning effect exists in the Korean mortgage markets as in the US mortgage markets. Therefore, using the US benchmark default model (SDA) and the US benchmark prepayment model (PSA) the estimated CDR is approximately 50~100% SDA in the overall markets and in Seoul and 50~150% SDA in Pusan while the estimated CPR is approximately 150~250% PSA in the overall markets and Seoul and 100~200% PSA. The estimated CDR and CPR statistical models, which express the CDR and CPR as a function of the age of the mortgage loan respectively, provide a valuable benchmark for practitioners. Financial institutions carrying a significant amount of mortgage loan assets would find the estimated default model useful for the credit risk management while the estimated prepayment model provides useful information for the duration management of the mortgage loan assets and the MBS that are based on these assets.

KCI등재

4불완전한 금융시장이 고려된 DSGE모형하에서의 통화정책에 대한 연구

저자 : 정용승 ( Yong Seung Jung )

발행기관 : 한국금융연구원 간행물 : 금융연구 24권 4호 발행 연도 : 2010 페이지 : pp. 119-154 (36 pages)

다운로드

(기관인증 필요)

초록보기

본고에서는 Bernanke et al.(1999)의 방법론에 따라 금융기관과 기업간에 비대칭적 정보가 존재하는 금융시장 마찰을 전형적인 새 케인지안 모형의 가격 및 임금 경직성과 외생적 소비습관에 도입하여 외부충격이 경제에 미치는 효과를 살펴보았다. 이러한 과정에서 통화정책당국의 이자율 조정방식이 경제에 미치는 효과도 아울러 분석하였다. 본고의 시사점은 다음과 같이 요약된다. 첫째, 재화와 노동시장뿐만 아니라, 금융시장에서도 마찰이 존재하는 경우 기업의 순 자산 포지션과 이에 따른 위험 프리미엄이 주요 변수의 변동에 결정적인 영향을 준다. 둘째, 이러한 경제환경하에서 통화정책당국이 인플레이션과 실물경기를 모두 고려하여 이자율을 결정할 경우가 통화정책당국이 인플레이션만을 고려하거나 인플레이션과 금융시장의 상황을 고려한 경우보다 실물충격이 발생할 경우 주요 변수들의 반응이 보다 완만하게 하였다. 그러나 소비자들의 기호변화에 따른 수요충격의 경우 오히려 통화정책당국이 실물경기를 고려하지 않는 정책이 위험 프리미엄을 줄이는 등 바람직하였기 때문에 단순하면서도 시행가능한 통화정책중 어떤 형태가 바람직한지는 경제에 가해지는 충격의 속성과 크기에 따라 다르다고 할 수 있다. 셋째, 통화정책당국이 인플레이션 이외에 금융시장의 상황, 즉 위험 프리미엄의 변화를 고려하는지의 유무와는 무관하게 주요 변수들의 반응은 큰 차이가 없다. 이러한 결과는 금융시장의 위험정도가 어느 정도 인플레이션 변화에 반영되어 있음을 시사한다고 할 수 있다.


The recent financial crises have generated interest in the design of monetary policy rules not only for the developed economies, but also for the emerging economies. Under the financial turmoil, many policy makers think that there exits a trade-off between the inflation and the macroeconomic goal of financial market stability and brings into question the desirable form of the monetary policy. To address these questions, one needs to set up a theoretical model that takes explicitly the market failures. Considering the empirical fact that the real, nominal, and financial frictions are important in understanding the effects of monetary policy in both developed and emerging economies, it is natural to incorporate these rigidities and explore the behavior of the macroeconomic variables such as production, external risk premium, and net worth in the economy. For this purpose, this paper sets up a new Keynesian model with external habit in consumption and financial frictions due to asymmetric information between financial intermediaries and entrepreneurs along the line of Bernanke et al.(1999). Then it explores the effects of alternative interest rate rules on the economy when the economy is vulnerable to the various kinds of shocks. Based on this model, the paper also quantifies the effect of monetary policy on the welfare and compares the welfare cost of alternative monetary policy rules. In the circumstances of external habit in consumption, agents are determined to catch up with the Joneses without considering the effects of such behavior on aggregate demand, they unconsciously overheat the economy in expansionary phases and cool it down excessively in contractionary phases. This kind of external habit formation which generates unnecessary fluctuations in the economy over the business cycle calls for government stabilization policy. Under the circumstance of financial frictions, the entrepreneur`s net worth and the external risk premium as well as price markup are critical in transmission of monetary policy and the design of desirable interest rate rules. The paper shows that the economy with financial frictions is more vulnerable to the exogenous than the economy without financial frictions. The paper also shows that the external finance premium as well as entrepreneurs net worth play pivotal roles over business cycles. If the economy is hit by demand shocks such as preference shocks, it is desirable for the monetary authority to implement an interest rate rule that responds to financial market conditions as well as the inflation gap to stabilize the economy. The type of a simple, implementable, and optimal monetary policy depends on both the type of shocks and the persistence of shocks that hit the economy. Finally, it shows that the interest rate rule reacting to financial market and inflation gap is best, while the interest rate rule responding to the financial market and output gap is worst among the considered simple interest rules under the financial friction circumstances.

1

내가 찾은 최근 검색어

최근 열람 자료

맞춤 논문

보관함

내 보관함
공유한 보관함

1:1문의

닫기