은행업 주가지수의 동태분석을 통한 은행위기 가능성 추정
Estimation on the possibility of banking crisis through dynamic analysis on the price index of banking stocks
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초록
본 연구는 은행업종의 주가지수 시계열 자료를 계량경제모형분석을 통해 은행위기시점을 의미하는 베타의 구조변화구간을 파악했다. 또한, 은행위기발생에 기여하는 제 요인 및 해당 영향력을 가설변수 검증을 통해 확인했다. 분석결과는 다음과 같다. 첫째, 은행위기발생기간은 2006.7월∼2006.8월이었다. 둘째, 장단기 금리차 확대, 대출증가율 증가, 예대마진 확대시 은행위기발생 가능성이 매우 낮은 편이었으며, 특히 가계대출 감소가 은행위기발생에 상당부분 기여하는 것으로 분석되었다.
Abstract
We can grasp bank crisis time, point that occurs a structural break of beta of the price index of banking stocks through econometrics models. In addition, we confirm the hypothetical variables which contributed to such a outbreak of bank crisis, and find out the influence of the variables through quantitative analysis. The results are as below. Firstly, bank crisis outbreak period is from July 2006 to August 2006. Secondly, it is in the state of expansion of spread between long-term and short-term rate, increasing of loan and net interest margin that the possibility of outbreak of bank crisis goes down. Especially, it was analyzed that the increase of individual loan has a considerable influence on outbreak of bank crisis.
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