동유럽에 대한 국가위험도 정량평가 방법론
A Methodology of the Country Risk Assessment for the Eastern Europe
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국제적인 국가신용도 평가기관은 아직도 평가대상국의 지역구분에 관계없이 일률적인 평가요소를 적용함에 따라 평가대상국의 특수성이 반영되기 어려운 사례가 발생하며, 결국 국가위험도 평가의 적합성 측면에서도 의문이 제기되고 있다. 본고에서는 국가위험도 정량평가요소와 평가등급간의 상관분석(패널) 결과, 지역별로 통계적 유의성과 상관계수가 다르게 산출되고 있어 국가위험도 정량평가모델은 지역별로 다르게 구축될 필요가 있는 것으로 나타났다. 동유럽 국가위험도 정량평가모델 구축을 위해 선형회귀분석을 실시한 결과, 1인당 GDP, 1인당 경제성장률, 총투자율, 단기금리, 상품교역비율, 외환보유액과 같은 6개 거시경제지표가 동유럽 국가위험도 평가의 대표적인 설명변수로 선정되었다. 동유럽 국가위험도 정량평가모델 검증을 위한 정량평가요소의 실증분석을 시도한 결과, 동 정량평가요소 해당지표가 국가위험도 평가 및 정량평가의 효율성 제고에 유효한 것으로 추정된다. 즉, 본 제안모델은 세계 최초로 국가별 특수성을 중점적으로 고려한 평가방법론을 제시하고 있다는 점에서 그 의미가 크다고 할 수 있다.
Abstract
While the European Union (EU) member countries have exposed a wide range of level of economic development, the EU has been in the process of its enlargement with including even Eastern European and Mediterranean countries into a single unity. However, we cannot help considering the sovereignty of individual countries and the difference among countries, so that country risk of the EU cannot be evaluated as a unit of country. To begin with, 49 available economic indicators (explanatory variable) and 114 country risk ratings (dependent variable) have been selected for panel analysis. In regard to the quantitative analysis for the Eastern Europe have been sampled into the linear regression method using by ordinary least squares (OLS) to estimate principal parameters. The sampling indicators in terms of correlation coefficient, statistical significance, multi-linearity and relation of economic connotation have been considered step by step through the linear regression method. As a result of the linear regression method, the determinant explanatory factors of country risk rating for the Eastern Europe have been represented as per capita GDP, foreign reserves, total domestic investment ratio, per capita real GDP growth rate, merchandise exports-imports ratio and short-term interest rate of the country. The qualitative country risk model for the Eastern Europe has to be proved through cross-section analysis among countries and time-series by a country with 1998-2007 data. Raison d’être of the proposed the country risk ratings for the Eastern Europe has to be diagnosed as well through further correlation analysis with weighted average of the prevailing country risk ratings of OECD, S&P and Moody’s. In terms of the correlation analysis, the proposed country risk ratings for the Eastern Europe have indicated very high correlation with the weighted average of the prevailing country risk ratings.
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