The Role of Macroeconomic Variables on the Loss Ratio of Public Credit Guarantee in Korea
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Despite of the conflicting debates over the government intervention in credit markets, public credit guarantee programs have become more popular over the past decades. However, empirical findings show that government has an important role to play in funding and management, but less so in use of risk-based pricing, risk assessment and management mechanism. In this backgrounds, this study analyzes the macroeconomic reasons for the ratio of non-performing loans to public credit guarantee funds using an econometric model estimated with time series data from 1999Q1 to 2008Q2. To this end, unit root test, co-integration test and error-correction model are employed. Empirical results show that the loan loss ratio of public credit guarantee funds has a significant short-and long-run relationship with the macroeconomic variables including oil price, GDP growth rate, and interest rate, etc. These results can be used as quantitative information for risk management of public credit guarantee funds in Korea.
Abstract
Despite of the conflicting debates over the government intervention in credit markets, public credit guarantee programs have become more popular over the past decades. However, empirical findings show that government has an important role to play in funding and management, but less so in use of risk-based pricing, risk assessment and management mechanism. In this backgrounds, this study analyzes the macroeconomic reasons for the ratio of non-performing loans to public credit guarantee funds using an econometric model estimated with time series data from 1999Q1 to 2008Q2. To this end, unit root test, co-integration test and error-correction model are employed. Empirical results show that the loan loss ratio of public credit guarantee funds has a significant short-and long-run relationship with the macroeconomic variables including oil price, GDP growth rate, and interest rate, etc. These results can be used as quantitative information for risk management of public credit guarantee funds in Korea.
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