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시스템리스크 관리를 위한 금융감독기구와 한국은행 간 거시건전성정책 협력

Macro-prudential Policy Coordination between the Financial Supervisory Institutions and Bank of Korea in terms of Systemic Risk Management

김진호
한국경제의 분석패널 (Panel for Korean Economic Analysis)|2013.12|한국경제의 분석 (Journal of Korean Economic Analysis)|제19권 제3호|pp. 1-98

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키워드

금융감독거시건전성Systemic Risk중앙은행Central Bank시스템리스크Financial SupervisionMacro-prudential
주제분류경제학

초록

본 연구는 시스템리스크 측정을 위한 계량방법론에 관한 기존연구들을 요약하고, 이 때 필요한 데이터들을 정리했다. 그리고 금융감독기구와 한국은행이 시스템리스크 측정에 사용할 수 있으면서 현재 보유중인 데이터 목록과 사용 중인 계량분석 방법들을 살펴본 결과, 데이터의 양과 질, 시스템리스크 측정기법 면에서 한국은행이 다소 우월한 위치에 있음을 알 수 있었다. 하지만 금융감독기구의 미시적 정보 활용을 위해서는 두 기관 간 적극적 협력체제 구축 또는 별도의 기관 신설을 통한 데이터 및 분석방법의 공유가 필요하다고 판단한다. 또한, 시스템리스크 관리를 위한 거시건전성 정책수단들을 금융감독기구와 한국은행의 권한과 책임별로 구분하여 정리하고, 더불어 2007년 글로벌 위기 이후 거시건전성정책 관련 선진국들의 금융개혁 상황을 정리했다. 기존 연구들을 검토한 결과로서 본 연구는 거시건전성정책 관련 금융감독기구와 한국은행 업무를 한 곳에 집중시키는 ‘통합안’은 효율성 개선보다는 ‘정책 쏠림리스크’를 유발할 가능성이 크다고 판단하여 반대하며, ‘분산안’을 택하면서 상대적으로 강력한 권한을 가진 한국은행에 중점적 권한을 부여하되 금융감독기구와 긴밀하고 유기적인 협력체계를 구축하게 함이 바람직하다고 판단한다. 다만, 한국은행은 통화가치 안정에 추가하여 금융안정(또는 거시건전성관리)을 새로운 임무로 부여받음에 따라 거시건전성정책과 통화정책 간 상충 및 중앙은행 독립성 침해 가능성에 대비해야 하며, 이 과정에서 한국은행은 금융감독기구를 포괄하는 범 행정부와 새로운 견제와 균형관계를 수립해야만 하는 과제를 떠안게 되었음을 주장한다.

Abstract

This paper surveys the existing econometric methodologies to measure the systemic risk, and also explores their application in the Financial Supervisory Institutions and Bank of Korea. The data availability issue is also surveyed. The cooperation to measure the systemic risk between two institution is strengthened, since we could not find the single best methodology and also the data is not sufficiently provided in any institution. We also survey the macro-prudential policies that the Financial Supervisory Institutions and Bank of Korea conduct, and the current status of their policy coordination. Based upon the existing literature survey, we recommend that the control tower for the policy coordination between two institution should be established, rather than building the new institution for the systemic risk management. Finally, this paper point out two additional issues that Bank of Korea should resolve when it pursues the new goal(the financial stability), combined with its original goal(price stabilization): (1) the trade-off between the monetary policy and the macro-prudential policy, and (2) the independency of the central bank.

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