채무위기와 유동성 지원 제도의 효과
The Effectiveness of Liquidity Provision during Debt Crises: Evidence from Korean Firm-Level Data
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특정 기업의 채무위기가 해당 기업의 펀더멘탈 악화로 인하여 비롯된 것이라면 해당 기업의 펀더멘탈의 개선을 통해서만 위기를 해소할 수 있을 것이다. 그러나 위기가 펀더멘탈악화가 아니라 외부충격에 따른 일시적인 유동성 부족에서 비롯된 것이라면 외부로부터 유동성을 공급하는 조치가 효과적이라는 점을 기존 이론을 통해 살펴 보았다. 아울러 이러한이론분석에 기반하여 과거 1997년 외환위기 이후 대우그룹 해체와 IT버블 붕괴 등에 따른신용위험 급등에 의해 초래된 유동성 위기 상황에 대응해 정부가 시행한 회사채신속인수제도가 해당 수혜기업의 향후 경영성과에 미친 효과에 관하여 실증분석을 시도하였다. 이를통하여 당시 신용경색이 펀더멘털의 근본적인 취약성이 아니라 외부충격에 따른 일시적인유동성 부족에서 비롯되었을 가능성이 높다는 점을 입증하였다. 아울러 도구변수를 통해선택편이를 제거할 경우 동 제도에 따른 경영성과의 개선효과는 크지 않으나 도덕적 해이, 낙인효과 등에 따른 부정적 효과도 크지 않다는 사실을 도출하였다
Abstract
A crisis facing a firm, which is triggered by deterioration of the firm’s fundamentals can be addressed only by improving its fundamentals. On the contrary, the crisis which is driven by a temporary illiquidity stemming from external shocks can be more effectively resolved by liquidity provision. This paper analyzes Korea’s debt-crisis episodes after the 1997 Asian financial crisis to understand the government’s role of liquidity provision during the crisis period. Specifically, based on theoretical and empirical analyses with regard to the Korean government’s liquidity provision policy in early 2000s, we find that there have been cases where a firm which had a sufficient long-run ability to fulfill its obligation has fallen into a temporary illiquid situation. Moreover, there have been cases where the magnitude of a crisis was greater than the degree that could be explained by deteriorating fundamentals. We thus argue that it is necessary to provide liquidity backstop to firms as an emergency measure in a crisis.
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