글로벌 금융위기 전후 국내 외환스왑시장의 상호연계성 및 경기순응성 분석: 네트워크 지표분석을 중심으로
Analysis of Inter-connectedness and Pro-cyclicality of Korean FX Swap Market before/after Global Financial Crisis: Focusing on Analysis of Network Index
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본고는 글로벌 금융위기시 국내 외환스왑시장의 급격한 불안정성 증폭원인을 거래물량 측면에서 분석하고자 2005∼2012년 중 외환스왑거래 잔액기준으로 네트워크 지표를 산출하여 상호연계성과 경기순응성을 분석하였다. 분석결과, 글로벌 유동성이 양호한 시기에 외환스왑시장의 네트워크 구조가 누적적으로 집적화되면서 상호연계성이 높아지다가 글로벌 금융위기로 대외 유동성 충격이 발생하자 급격히 취약해진 것으로 나타났다. 특히 스왑뱅크별 외환스왑시장 네트워크에 대한 파급 영향력 수준을 나타내는 지표(SwapRank)를 새롭게 도입하여 분석한 결과, 글로벌 금융위기시 스왑뱅크들의 파급 영향력이 크게 확대된 가운데 상위 스왑뱅크들의 외환스왑공급(sell&buy, 현물환 공급/선물환 수요) 감소폭이 더욱 커지면서 불안정성이 연쇄적으로 증폭된 것으로 나타났다. 아울러 글로벌 금융위기로부터 안정화 되었던 시기인 2012.12월말 외환스왑시장 네트워크 기준으로 글로벌 금융위기 수준의 대외충격이 재발할 경우를 상정한 시뮬레이션 결과, 글로벌 금융위기 수준의 불안정성이 재발할 가능성이 존재하는 것으로 분석되었다.
Abstract
This paper analyzes the inter-connectedness and pro-cyclicality by calculating the network index among the swap banks during the period of 2005 ~2012, in order to grasp the cause of the suddenly surging instability in the FX swap market during the global financial crisis in Korea. As a result of the analysis, the network structure of the FX swap market was accumulatively intensified when the liquidity was in good condition, so that the inter-connectedness became stronger. But it was rapidly weakened due to the external shock caused by the global financial crisis. In particular, as a result of analysing by newly adopting SwapRank, which indicates the level of impact on the FX swap market network by individual swap bank, the influence of swap banks increased considerably during the global financial crisis, futhermore the top rankers of SwapRank decreased swap supply (sell&buy) even more, and consequently the instability in the FX swap market amplified wide-spreadingly. In addition, the simulation that assumes that external shocks at the level of the global financial crisis may recur on the network structure of the FX swap market at the end of December 2012, shows that the FX swap market instability at the global financial crisis level is likely to occur.
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