EU 국가리스크 평가방법론의 적정성에 관한 담론
Discourse on Appropriateness of Country Risk Assessment Methodology for EU
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초록
글로벌 금융위기(2008~2009) 이후 EU 경제권은 유로존 재정위기(2010~2012), 특히 코로나의 세계적 확산으로 인한 코로나 위기(2020~2021)로 경제적 격변의 상태에 있다. 우리나라의 주요 경제교류 대상지역인 EU 경제권에 대한 리스크 관리대책이 요구되는 상황인데, 국가리스크 평가의 적정성 측면에서 EU 경제권의 거시경제현황을 검토할 필요성이 제기된다. 국가리스크(country risk) 및 채무불이행(sovereign default) 평가에 관한 주요 선행연구에서는 (1인당)경제성장률, 소비자물가상승률, 재정수지/GDP, 통화가치 하락(환율 상승), 실질(실효)환율, 경상수지/GDP, 외환보유액/GDP, 외환보유액/(단기)외채, 총외채잔액/GDP, 공적채무/GDP 등이 중점 거시경제지표로 분류된다. 그러나 EU 회원국 중 OECD, S&P 및 Moody's의 평가등급 간 현저한 차이를 나타내고 있는 국가에 대하여 리스크 평가(등급)의 적정성을 고려할 필요가 있다. 2008~2020년 기간, EU-6개국(스페인, 슬로바키아, 아일랜드, 이탈리아, 폴란드, 헝가리)을 대상으로 한 패널분석 결과, 정부채권 평가등급(채무불이행 대리변수)에 대해서는 공적채무/GDP, 경제성장률(경제위기 대리변수)에 대해서는 재정수지/GDP, 실질실효환율 및 공적채무/GDP에 관한 거시경제지표가 각각 통계적으로 유의적인 중점 평가요소(국가리스크 평가관점)로 나타났다. 국가리스크 평가방법론의 관점에서 평가등급의 단계별 분류보다는 채무불이행 또는 경제위기 가능성을 사전적으로 예고할 수 있는 임계치(crisis threshold)를 기준으로 한 국가리스크 평가방법론이 현실적으로 보다 적합하다. 특히 EU는 유로존 가입의 필요조건과 재정준칙(Fiscal Compact)을 통해 재정수지 적자 및 과다한 공적채무를 관리하는 상황에서, 패널분석의 사례연구를 통한 평가방법론의 적정성에 관한 연구가 국가리스크 관리 및 경제위기 대책 등에 활용되기를 기대한다.
Abstract
European economy has been in such a fluctuation due to the Global Financial Crisis, the Eurozone Fiscal Crisis and the Corona Crisis since 2008 to date. It is necessary to review macroeconomic fundamentals of European economy in the perspectives of appropriateness of country risk assessment, because it is important for country risk management policy. In respect of precedent literature for country risk and sovereign default, such variables as real GDP growth rate (per capita), inflation, budget deficit to GDP, depreciation, real effective exchange rate, current account deficit to GDP, foreign reserves to GDP, total external debt to GDP and pubic debt to GDP have been classified into major indicators. In the meantime, it can be considered to the appropriateness of country risk assessment for the countries which have enormous discrepancy in the credit ratings between those by the OECD and the average ratings by S&P and Moody's. As a result of panel data analysis for EU-6 (Spain, Slovakia, Ireland, Italy, Poland and Hungary) during 2008-2020, public debt to GDP against the average ratings of S&P and Moody's (proxy variable of sovereign default), and budget deficit to GDP, real effective exchange rate and public debt to GDP against the real GDP growth (proxy variable of economic crisis) have statistically represented significant. In the perspectives of country risk assessment methodology, a method of risk alert based on crisis threshold to predict probability of economic crisis and sovereign default is more feasibly reasonable than that of risk classification by notches of the existing credit risk agencies. Summing up, the research for country risk assessment methodology through case study of the panel data analysis in this paper can be expected to useful for the risk management and policy against economic crises, with taking into account reference values for the budget deficit and excessive public debt through the Maastricht Convergence Criteria and the Fiscal Compact within the EU.
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