한국 금융기관의 위기대응력에 대한 연구
A Study on the Learning Effect of the Korean Financial Institutions from the Experience of Financial Crisis
0
조회
0
다운로드
4
인용
0
참고문헌
키워드
초록
본 연구는 한국 금융기관들이 위기경험 후 학습을 통하여 위기대응력을 제고시켰는지 또는 위기 경험에도 불구하고 위험문화(또는 사업모델)를 유지하였는지에 대하여 살펴보았다. 1997년과 2008년의 금융 위기를 각각 선행위기와 후행위기로 하여 Fahlenbrach et al.(2012)이 제시한 학습효과가설(learning hypothesis)과 위험문화가설(risk culture hypothesis)을 중심으로 검증하였다. 첫째, 후행위기인 2008년 금융위기 기간의 금융기관 주식수익률을 선행위기인 1997년 금융위기의 주식수익률로 회귀분석을 시행하였다. 그 결과 2008년 위기기간 금융기관 주식수익률은 1997년 위기기간 금융기관 주식수익률과 음(-)의 상관관계를 보였으며, 이는 한국 금융기관들이 자신만의 독특한 위험문화를 유지하기 보다는 차기 금융위기에 대응할 수 있도록 학습하였음을 의미한다. 둘째, 개별 재무비율 변화가 수익률 개선에 어떠한 영향을 미쳤는지 살펴보기 위하여 재무비율 변화(2008～1997)를 설명변수로 위기수익률 차이(2008～1997)를 종속변수로 하여 회귀분석을 실시한 한 결과, 차입금의존도가 하락한 금융기관들의 실적이 유의적으로 개선되었음을 확인하였다. 또한, 선행위기 시에 상대적으로 수익률이 양호했던 금융기관들의 차입금의존도는 후행위기 직전 상승하는 양상을 보이고 있으나 선행위기 시에 상대적으로 수익률이 저조했던 금융기관들의 차입금의존도는 하락하는 양상을 보이고 있어, 선행위기 시 실적이 저조했던 금융기관들이, 학습효과로 인하여, 위기대응 목적으로 차입금의존도 하락을 위해 노력했음을 확인할 수 있다.
Abstract
This paper analyzes whether Korean financial institutions raised the confrontational ability to crisis or maintained their risk culture (or business model) after experiencing crisis. We investigate which is the more relevant for Korean financial institutions between risk culture hypothesis versus learning hypothesis. Analyses in this paper are related to those presented in Fahlenbrach et al. (Fahlenbrach, Prilmeier, and Stulz, 2012, hereafter FPS). We set the 1997 crisis as a preceding crisis and the 2008 crisis as a posterior crisis. Firstly, 2008 crisis return (holding period return of financial institutions’ common stock) is negatively associated with 1997 crisis return. This negative association is outstanding among financial institutions excluding 6 firms in the category of ‘other financial industry’ which is far from the nature of financial business. This is the evidence supporting the learning hypothesis. Korean financial institutions had not maintained their unique risk culture or business model. Secondly, we examine the financial ratios to check how Korean financial institutions changed. Generally activity, profitability, and stability were improved. The results show that financial institutions with decreased borrowing to asset ratio had improved return performance during the 2008 crisis. We also find the decreasing pattern of this ratio just before the 2008 crisis for financial institutions who worse performed in 1997 and the increasing pattern for those who better performed during the preceding crisis. This finding leads us to conclude that relatively bad performers during the preceding crisis, through learning effect, tried to decrease borrowing to asset ratio to raise the confrontational ability to crisis. The results in this paper indicate that Korean financial institutions learned from the preceding crisis (1997 crisis) experience and then tried to minimize the effects from coming negative shocks (2008 crisis). The learning hypothesis is more appropriate than the risk culture hypothesis for Korean case. We guess the reasons of the different result from that of FPS which supports risk culture hypothesis are as follows: (1) weak Korean financial institutions’ risk culture from short history compared to that of US financial institutions; (2) different strength of financial regulation: strong financial regulation in Korea after the preceding crisis but financial deregulation in US; and (3) different strength of the crises: relatively weak shock after greater shock in Korea but greater shock after relatively weak shock in US. Ignorance of effective controlling for survivorship bias, even though it seems not to be serious, is the limitation of this study and remains as a future assignment. We expect that practical guidelines for build-up of confrontational ability to crisis are provided by the more detailed research on learning contents of Korean financial institutions from the crisis experience.
참고문헌 (26)
- 김경수, "글로벌 금융위기 전후의 아시아 주식시장 동조화 분석", 기업경영연구, 18(2), pp.217~238 (2011), 한국기업경영학회
- 김권식, "금융위기와 신흥국 채권스프레드의 과잉반응", 기업경영연구, 17(2), pp.241~254 (2010), 한국기업경영학회
- 문규현, "금융위기를 전후한 미국과 중국자본시장간의 정보전달메커니즘", 기업경영연구, 17(3), pp.23~34 (2010), 한국기업경영학회
- 백재승, "경제위기와 기업가치: 외환위기와 글로벌 금융위기 비교 분석", 대한경영학회지, 23(3), pp.1243~1265 (2010), 대한경영학회
- 양철원, "유동성 고갈 기간 개별주식 유동성의 결정요인: 한국 주식시장에 대한 실증 분석", 한국증권학회지, 40(4), pp.673~712 (2011), 한국증권학회
- 조성욱, "부실기업에 대한 금융기관의 대출 결정 요인", Asia-Pacific Journal of Financial Studies, 34(1), pp.63~94 (2005), 한국증권학회
- Measuring Systemic Risk, "Acharaya, V. V.", New York University, ~ (2010)
- Adrian, T., "Money, Liquidity and Monetary Policy", American Economic Review, 99(2), pp.600~605 (2009)
- Adrian, T., "Liquidity and Leverage", Journal of Financial Intermediation, 19(3), pp.418~437 (2010)
- Bae, K. -H., "The Value of Durable Bank Relationships : Evidence from Korean Banking Shocks", Journal of Financial Economics, 64(2), pp.181~214 (2002)
- Baek, J. -S., "Corporate Governance and Firm Value : Evidence from Korean Financial Crisis", Journal of Financial Economics, 71(2), pp.265~313 (2004)
- Beltratti, A., "Why Did Some Banks Perform Better during the Credit Crisis? : A Cross-Country Study of the Impact of Governance and Regulation", Journal of Financial Economics, 105(1), pp.1~17 (2012)
- Borensztein, E., "Financial Crisis and Credit Crunch in Korea : Evidence from Firm-Level Data", Journal of Monetary Economics, 49(4), pp.858~875 (2002)
- Brunnermeier, M. K., "Deciphering the Liquidity and Credit Crunch 2007-2008", Journal of Economic Perspective, 23(1), pp.77~100 (2009)
- Choe, H., "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997", Journal of Financial Economics, 54(2), pp.227~264 (1999)
- Duygan-bump, B., "How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility", Journal of Finance, 68(2), pp.715~737 (2012)
- Fahlenbrach, R., "This Time Is the Same : Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis", Journal of Finance, 67(6), pp.2139~2185 (2012)
- Gorton, G., "Slapped by the Invisible Hand" (2010), Oxford University Press
- Ghysels, E., "The Asian Financial Crisis : The Role of Derivative Securities Trading and Foreign Investors in Korea", Journal of International Money and Finance, 24(4), pp.607~630 (2005)
- Hameed, A., "Stock Market Declines and Liquidity", Journal of Finance, 65(1), pp.257~293 (2010)
- Jotikasthira, C., "Asset Fire Sales and Purchases and the International Transmission of Funding Shocks", Journal of Finance, 67(6), pp.2015~2050 (2012)
- Krugman, P. R., "The Return of Depression Economics and the Crisis of 2008" (2009), Norton
- Informed and Uninformed Investment in Housing: The Downside of Diversification, "Loutskina, R.", Boston College, ~ (2011)
- Song, K., "Long-Term Effects of a Financial Crisis : Evidence from Cash Holdings of East Asian Firms", Journal of financial and Quantitative Analysis, 47(3), pp.617~641 (2012)
- Longstaff, F. A., "The Sub-Prime Credit Crisis and Contagion in Financial Markets", Journal of Financial Economics, 97(3), pp.436~450 (2010)
- Schnabl, P., "The International Transmission of Bank Liquidity Shocks : Evidence from an Emerging Market", Journal of Finance, 67(3), pp.897~932 (2012)