재정위기 이후 국가신용등급 결정요인 분석에 관한 연구
An Analysis on the Determinant factor of Sovereign Credit Ratings after the European Debt Crisis
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본 연구는 2005∼16년 간 63개국을 대상으로, 패널모형을 이용하여 3대 국제신용평가회사(무디스, S&P, 피치)의 국가신용등급 결정요인을 분석하였다. 금융위기와 재정위기 이후 3대 신용평가사의 평가항목에서 재정건전성 등의 비중이 커지고 있어 재정위기 전후를 중심으로 국가신용등급 결정요인을 분석한 것에 차별화를 두었다. 아울러 국가신용등급 결정요인 질적 변수는 기존 연구에서 제시한 변수 외에 법과 통화제도, 개방도를 보여주는 경제자유지수를 포함하였다. 실증분석 결과에서는 기존 연구와 마찬가지로, 1인당 국민소득, 소비자물가 상승률, 국가부채 등이 국가신용등급에 중요한 결정요소인 가운데 재정위기 이후 평가기관의 등급 결정요소에서 성장률과 질적인 평가 기준으로서 경제자유지수의 유의도가 높아졌다. 이는 무역, 투자 등의 개방도 확대를 통한 기술 등 국제경쟁력 제고가 국가신용등급에 중요한 요소임을 시사하고 있다.
Abstract
This paper analyses the determinants of sovereign credit ratings of 63 countries from year 2005 to 2016. I conduct an analysis of the determinants of sovereign ratings assigned by three major agencies by using panel model. Since the financial and European sovereign debt crisis, the major global credit rating agencies have implemented significant changes to their methodologies for assessing sovereign credit risk. Therefore, the main focus of this paper is on verifying determinants of sovereign credit ratings before and after debt crisis. And this study examines macroeconomic variables and extended by index of economic freedom as qualitative factors. The results are consistent with previous studies that some macroeconomics variables are determinants of rating. This study has added new findings and indicates that economic growth rate and the index of economic freedom of country is important factor in sovereign credit rating after European sovereign debt crisis.
참고문헌 (26)
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