금융시장 충격 전염 이론에 관한 서베이
Recent Theories Regarding Financial Contagion
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참고문헌
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초록
본고에서는 금융시장에서 충격(shock)의 전염현상(contagion)에 관하여 이론적 설명을시도한 연구를 소개하고 그 시사점을 살펴보도록 한다. 충격의 전염 및 증폭 메커니즘으로 포트폴리오의 재조정, 투자자의 운용·차입 등의 제약, 위험회피도의 변동, 정보의 비대칭성 및 불완전성, 금융기관간의 채권·채무의 연계, 투자자의 정보수집 및 처리능력의한계와 투자자 행동의 동질화 현상 등에 주목한 이론모형에 관하여 소개하는 한편 이를통해 최근 빈발하는 금융시장에서의 전염현상의 전염 메커니즘과 이에 대응한 효율적정책대안에 관한 시사점을 모색하였다.
Abstract
This paper introduces studies that have attempted to make theoretical explanations on financial market shocks and contagion effects and explores their implications. As mechanisms of shock contagion and amplification, we introduce theory models focusing on portfolio readjustment; the limitation on investors’ management and borrowing; changes in risk evading level, asymmetry and imperfection of information; debtor and creditor relations among banks; limited ability of investors in terms of collection and process of information; and homogenization of investor behavior. With these models, we try to identify mechanisms in the contagion of financial market shocks in recent times and explore their implications on policy alternatives.
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