대공황시기 경기변동과 은행위기：신용요인의 영향을 중심으로
Banking Crises and Business Fluctuations during the Great Depression
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초록
본 연구는 대공황시기 경기변동에 있어 은행위기에 따른 신용요인의 영향을 실증적으로 재검토하기 위한 것이다. 본 고가 Anari-Kolari-Mason(2005) 등 선행연구의 문제점을 보완하는 일환으로 제시하는 새로운 실증모형은 Blanchard-Quah(1989)의 방법에 기초하여 식별된 구조형 벡터자기회귀모형으로서, 추정 결과에 기초하여 이 시기 경기변동을 모형설정 상 독립된 것으로 정의된 다양한 구조적 충격의 영향의 합으로 분해하였다. 분석결과, 은행위기에 수반된 순수한 신용충격의 경기순환에 대한 기여도는 모형 설정 및 대리변수의 선택에 의존하고 있어 일관되지 않으며, 그 정량적 중요성 역시 뚜렷하지 않은 것으로 나타났다. 이는 대공황시기 대규모 신용사건으로서의 은행위기의 거시경제적 영향이 실제로는 제한적이었을 가능성을 시사하는 것으로서, 이 시기 미국 은행위기의 지역적 성격을 강조하는 미시사 연구 결과에 부합한다.
Abstract
This study attempts to re-examine the quantitative importance of the banking panics in the business fluctuations during the Great Depression, complementing some of the methodological weaknesses in the existing literature. The study constructed structural VAR model identified based on long-run restrictions, and decomposed business fluctuations into contributions of structural innovations via historical decomposition. The results show that the effects of the banking crises were not found to be robust, especially depending on the choices of identifying restrictions, the proxy variables for the banking crises, and the sample periods. This empirical finding seems to be consistent with existing micro-history studies on banking crises.
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