금융위기 조기경보모형에서 텍스트 데이터의 유용성에 관한 연구

박의환,김동헌 예금보험공사 2020 金融安定硏究 Vol.21 No.2

As recently the text mining methodology for the usefulness of the big data has been developed, its’ application in the economic analysis has been growing. This study considers the Google Trends Data which reflects the internet search information in order to examine the usefulness of the text data and applies the data to the financial early warning system which needs the timely information and imminent forecasting. The estimation results show that the Google Trends Data appears to be useful for the prediction of the financial crisis both in the parametric and non-parametric approach. This study suggests that we try to develop more text mining methods and expand their applications to various economic analysis. 최근 빅데이터 활용을 위한 텍스트 마이닝 기법이 개발됨에 따라 경제분석에서도 비정형 텍스트 데이터 활용이 확대되고 있다. 본 연구에서는 텍스트 데이터의 유용성을 살펴보기 위해 인터넷 검색 정보를 반영하는 구글 트렌드 데이터를 고려하고 정보의 적시성과 예측력을 필요로 하는 금융위기 조기경보모형에서 텍스트 데이터의 유용성을 분석하였다. 실증분석 결과, 구글 트렌드 데이터는 비모수적 모형이나 모수적 모형에서 모두 금융위기를 예측하는데 유용한 것으로 나타났다. 본 연구 결과는 다양한 텍스트 데이터를 개발하고 경제분석에 활용하는 모형들을 더욱 확대시킬 것을 시사하고 있다.

금융부문별 조기경보 모형에 관한 연구

박의환,김동헌,김균 한국계량경제학회 2017 계량경제학보 Vol.28 No.3

This study tries to build the financial early warning system (EWS) of the individual financial sector such as banks, securities and savings-loans banks by applying the non-parametric signal approach and to establish a new composite EWS. The empirical results show that the financial sector’s EWSs appeared to identify the financial sector’s crisis timely and the new composite EWS seemed to be very similar with the existing EWS. This study suggests that the financial sector EWS is useful for conducting the microprudential policy based on the financial sector’s characteristics and relating to the implementation of the macroprudential policy for financial stability. 본 연구는 비모수적 조기경보모형 방법론을 응용하여 금융부문을 은행, 증권, 저축은행 부문으로 나누어 금융 부문별로 조기경보모형을 도출하고 이를 통합하여 통합조기경보모형을 구축하였다. 실증분석 결과, 금융부문별 조기경보모형은 각 부문의 위기를 조기에 적절히 식별할 수 있음을 보여주었으며 이를 통합한 통합조기경보모형도 금융전반의 종합조기경보모형과 매우 유사한 것으로 나타났다. 본 연구의 부문별 조기경보모형은 금융 부문의 특성에 맞추어 미시적 건전성 정책을 집행하고 금융안정을 위한 거시건전성 정책 집행과 연계시키는데 유용한 시사점을 주고 있다.

주택가격과 소득불평등 간 관계에 대한 동태적 분석

박의환,김동헌 한국경제의 분석패널 2022 韓國經濟의 分析 Vol.28 No.1

As the COVID-19 pandemic has resulted in deep impact on Korea economy and society and the phenomenon of K-type polarization has emerged as an serious issue, ones shed light on the relationship between the housing price and income inequality again. This paper re-examines the relationship based on the dynamics and interaction. As the result of the empirical study on the Korean data, we find that the increase in the housing price at Seoul Metropolitan area worsens income inequality, whreas the deepening in income inequalty appears to result in the increase in the housing price but uncertain. In the variance decomposition analysis, the housing price among main variables which have been suggested to affect income inequality, is the most contributing variable to the variance of the forecasting error of the income inequality. In the analysis on the channel of how the housing price has an impact on income inequality, ones conjecture the following channel: the expansion of the credit supply → the increase in the housing price → the increase in the raito of rent income relative to total income for the upper income group → the worsening in income inequality. The estimation reuslt is suggestive but is not clear. Moreover, our empirical result implies that the “superstar cities mechanism” which was suggested in the exisiting literature, appears to be opperative at the Seoul metropolitan area and thus the limited housing supply and the none close substitutes to superstar cities appear to be one of main factors for rising house prices. This study suggests that the policy for limiting the credit supply seems to be effective for controlling the housing price and the increase in the housing supply and the development in the close subsititutes to superstar cities would be good for stabilizing the housing price. COVID-19 팬데믹이 경제ㆍ사회에 큰 충격을 불러일으키면서 ‘K-자형 양극화’ 현상이 주요한 이슈로 부각되고 있는 가운데 부동산 가격의 급등과 사회 양극화 간 관계가 새로운 조명을 받고 있다. 본 연구는 소득불평등과 주택가격 간 관계를 동태성과 상호연계성을 고려하여 새롭게 분석하였다. 소득불평등의 악화는 주택가격의 상승을 불러일으키지만 그 영향은 불확실한 반면, 서울을 중심으로 한 주택가격의 상승은 소득불평등을 악화시키는 것으로 나타났다. 또한 소득불평등에 영향을 미치는 변수들 중 주택가격 변동은 소득불평등 변수의 예측오차 분산분해분석에서도 가장 높은 설명력을 보였다. 주택가격변동이 소득불평등에 영향을 미치는 경로분석에서 금융발전에 따른 신용공급의 확대는 주택가격의 상승을 불러일으키고 주택가격의 상승은 소득상위 계층의 임대소득 비율을 증가시키며 임대소득 비율의 상승은 소득불평등을 악화시키는 경로가 존재할 수 있으나 실증분석 결과는 명확하지 않았다. 또한 추정 결과는 기존 연구에서 제시된 “슈퍼스타 메카니즘”이 서울 대도시에도 적용되어 주택공급 제한과 대체도시 개발 부재가 주택가격 상승을 초래하는 요인이 될 수 있음을 보여주고 있다. 본 연구는 주택가격상승을 억제하기 위해 신용공급을 제한하는 정책은 실효성이 있으며 소득상승에 따른 주택가격의 급등을 막기 위해 주택공급의 확대 및 선호지역에 버금가는 대체도시 개발이 주택안정화를 위한 의미 있는 정책임을 시사하고 있다.

화약발파(火藥發破) : 교양강좌(敎養講座) ; 화약류취지책임자(火藥類取扱責任者)의 임무(任務) : 서울시경(市警) 보안과(保安課) 경감(警監)

朴義煥 대한화약발파공학회 1974 화약발파 Vol.2 No.1

상수도 정책 방향

박의환,Park, Ui-Hwan 한국상하수도협회 1990 水道 Vol.51 No.-

Polypyrrole electrode Modified With Copper Bis(4-vinyl-4'-methyl-2,2'-bipyridine) Bis(perchlorate)

박의환 慶山大學校 1993 論文集 Vol.11 No.1

1. SEM micrographs of polypyrrole films Fig.3a and Fig.3b are SEM micrographs of the polypyrrole films grown on NBR-treated platinum electrode and on bare platinum electrode respectively. Inspection by SEM revealed that a polypyrrole film grown directly on platinum substrate showed a rather compact structure. In contrast, a polypyrrole film formed with the aid of NBR prepolymer had rough, porous, and somewhat linearly well-oriented structure. This well-oriented and porous structure is expected to be a favorable situation for the implantation of another conducting polymer. Fig.4 show an SEM micrograph of a polymer (host) film deposited in the presence of NBR and with perchlorate anion as doping agent that was further treated by electropolymerization of copper bis(4-vinyl-4'-methyl-2,2'-bipyridine) bis(hexafluorophosophate) (guest). The image is intended to allow distinction of the latter since it forms the larger granules that are clearly distinguishable in the micrograph. The quantities of host and guest polymer deposited were 0.65 and 0.39 coulombs cm-²and this ratio, which is too high for other purposes, was used only to make identification of each polymer location easier. 2. Cyclic voltamrnogram of various films Fig.5 is a cyclic voltammogram of the elctropolymerization of polypyrrole on NBR-teated platinum electrode. But this voltammogram was produced from the potential scan at range of -1.0-0.9 V instead of the constant potential to see the process of the growth of film during eletrolymerization. The oxidation peak potential (Epa) of the first cycle is 0.07 V and the reduction peak potential (Epc) is -0.21 V, but those of 30th cycle are 0.06 V and -0.19 V respectively. The differences between each peak potentials are 0.01 V and 0.02 V. This means that the oxidation peak potential was increased and the reduction peak potential was decreased slightly with cycles. This can be thought as that the internal resistance has increased as the length of polymer elongated and the small differences reveal a good reversibility. Fig.6 is a cyclic voltammetric profile of film by the implanting electropolymerization of copper bis(4-vinyl-4'-methyl-2,2'-bipyridine) bis(perch1orate) at a polypyrrole electrode, which was pretreated with NBR and prepared with hexafluorophosphate as dopant anion, in acetonitrile solution containing 0.1 M TBAP. The sweep range was 0∼-1.5 V and scan rate was 100 m/Vs. Every two peaks for oxidation and reduction are -0.250 V and -0.437 V, -0.375 V and -0.50 V respectively. From the successive experiments" the formers of each pair are confirmed for the hexafuorophosphate ion and the latter for perchlorate ion. Fig.7 presents cyclic voltammograms for polypyrrole doped with hexafluorophosphate ion (dashed line) and for the polymer doped with poiy copper bis(4-vinyl-4'-methyl-2,2'- bipyridine) bis(perch1orate) (solid line). As can be seen, the peak potentials for polypyrrole alone are 0.05 V and 0.35 V. For the polypyrrole implanted with the guest polymer the values for the polypyrrole host are 0.205 V and -0.325 V and for the guest they are 1.10 V and 0.56 V. These last two values correspond to oxidation and reduction precess, respectively. It is clear from these voltammetric responses that when the guest polymer is implanted, the redox profile of the electrode is greatly improved so that the capacity of charge storage can be greatly increased. The optimal quantity of electropolymerized polypyrrole was investigated in previous paper9) and the result was about 0.64 coulombs cm-²for the maximum conductivity. Table 1 presents resulting conductivities and doping levels of polypyrrole f i l m doped with poly copper bis(4-vinyl-4'-methyl-2,2'-bipyridine) bis(perch1orate) with various mixing ratio and they are plotted at Fig.8. And the doping levels were determined from Hall experiment and the coulometric integration of reduction wave in cyclic voltammogram. The resulting plot is Fig.9. From these results it can be concluded that the incorporation of poly copper bis(4-vinyl-4'-methyl-2,2'-bipyridine) bis(perchrorate) within the range of 10 -12 % into polypyrrole films significantly enhances the electrochemical properties of the resulting material.

The Role of Global Liquidity in Global Yield Dynamics

박의환(Euihwan Park),김동헌(Dong Heon Kim) 서울대학교 경제연구소 2023 Seoul journal of economics Vol.36 No.2

With the emergence of global liquidity as an important factor in the global financial market since the global financial crisis in 2008, the global financial market has shown interest in the effect of global liquidity on global yield dynamics. This paper examines the role of global liquidity in global yield dynamics based on the macro-finance model. Estimation results show that the global liquidity plays a more important role in explaining the global level factor than global inflation, but such macro factors do not seem to explain the global slope factor. We interpret that global liquidity not only has information on global commodity inflation but also on global asset price inflation and future expected inflation and thus has more explanatory power than global inflation.

소상공인 신용보증의 리스크 분석 - 신용등급별 경기변동의 영향을 중심으로 -

박의환 ( Euihwan Park ),김홍기 ( Hongkee Kim ),전계형 ( Gyeahyung Jeon ) 한국재정정책학회 2022 財政政策論集 Vol.24 No.2

본 연구는 지역신용보증재단에서 제공한 신용보증 건들을 신용등급별로 분석하여 경기변동에 대한 신용등급별 리스크 이질성 정도를 분석하고자 한다. 이를 위해 ARDL-ECM 모형을 활용하여, 지역신용보증재단의 전체 대위변제율과 경제성장률 간 관계를 분석하고, 이를 바탕으로 CPV(Credit Portfolio View) 모형을 활용하여 보증 차주의 신용등급별 전이행렬을 계산하였다. 이를 바탕으로 경제성장률 1%p 증가 혹은 감소 시 신용등급별 대위 변제율의 변동 정도를 모의실험을 통해 계산하였고, 추가로 2022년부터 2024년까지 보증차주의 신용등급별 대위변제율을 예측하였다. CPV 모형이 제시하는 신용등급별 대위변제율은 신용등급이 낮을수록 경기변동에 민감하게 반응하는 것으로 확인되었으며, 특히 저신용 등급에 해당하는 7∼10등급에서 경기변동에 민감하게 반응하였다. 또한 2022∼2024년 예측 결과, 대위변제율이 전반적으로 2023년까지 상승하다가 2024년에 조금 하락하는 것으로 나타났고, 상대적으로 신용등급이 낮을수록 대위변제율 상승폭이 크게 나타났다. 이상의 결과는 2022∼2023년에 신용보증재단의 신용위험 증가에 대한 대비가 필요하며, 특히 저신용 보증차주에 대한 신용위험의 관리가 필요함을 시사한다. This study analyzes the credit guarantee data of the Local Credit Guarantee Foundation to analyze the degree of heterogeneity of each credit rating in the effect of economic growth rate on credit risk. The authors use the ARDL-ECM model to analyze the relationship between the overall subrogation rate of the local credit guarantee foundation and the economic growth rate, and based on this, the Credit Portfolio View(CPV) model is used to calculate the transition matrix for each credit rating of the guaranteed borrowers. Based on this, the degree of change in the subrogation rate by credit rating was calculated through a simulation when the economic growth rate increased or decreased by 1%p, and in addition, the subrogation rate for each credit rating of guaranteed borrowers was predicted from 2022 to 2024. It was confirmed that the subrogation rate for each credit rating responds more sensitively to economic growth rate as the credit rating is lower, in particular, the 7-10, which correspond to low credit ratings, responded sensitively. In addition, as a result of the forecast for 2022-2024, the subrogation rate generally rises until 2023, and then declines slightly in 2024. The above results suggest that it is necessary to prepare for the increase in credit risk of the Local Credit Guarantee Foundation from 2022 to 2023, and in particular, it is necessary to manage credit risk for borrowers with low credit guarantees.

Electropolymerizatin of Poly - Ruthenium Tris ( 4-vinyl-4;-methly2-2'-bipyridine ) Bis ( Perchlorate ) on Polypyrrle Electrode )

박의환(Eui Hwan Park),김호식(Ho Sik Kim) 대구가톨릭대학교 자연과학연구소 1993 基礎科學硏究論集 Vol.7 No.-

금융불안이 소득불평등에 미치는 영향 분석

박의환(Euihwan Park),김동헌(Dong Heon Kim) 고려대학교 미래성장연구원 2023 미래성장연구 Vol.9 No.1

최근 금융불안정과 소득불평등 간 관계에 대한 연구가 부각되고 있으나 국내 연구는 부족한 상황이다. 이에 본 연구는 소득불평등과 금융불안정성 간 관계를 분석하였다. 금융불안정성은 금융안정지수(FSI) 및 금융취약지수(FVI)를 이용하고 소득불평등은 소득5분위배율을 실증분석에 활용하였다. 실증분석 결과, 금융안정지수의 악화는 소득불평등을 악화시키나 금융취약지수의 상승은 소득불평등에 즉각적인 영향을 미치지 못하는 것으로 나타났다. 이러한 연구결과는 역인과관계에 따른 내생성 이슈를 고려하는 추정에서도 동일하였다. 그러나 시차를 포함한 모형에서 FSI와 FVI가 모두 소득불평등을 악화시키는 것으로 나타났다. FSI는 현재의 금융불안 상황을 반영하는 반면, FVI는 중·장기적 관점에서 미래 금융불안 상황을 반영하기 때문인 것으로 판단된다. 본 연구결과는 금융안정성을 강화시키는 거시건전성 정책 및 금융안정화 정책이 소득불평등을 개선시킬 수 있음을 시사하고 있다. Although recently the research on the relationship between financial instability and income inequality got deep interest, there is little study. This paper analyses the relationship between financial instability and income inequality. The Financial Stability Index (FSI) and the Financial Vulnerability Index (FVI) are used as the measure of financial instability and the income quintile share ratio is used to measure income inequality. As the result of empirical studies, the deterioration in FCI results in an increase in income inequality whreas the worsening in FVI appears not to have an impact on income inequality contemporaneously. This result is similar in the case of the GMM estimation which considers endoneous issues due to reverse causality. In the robust analysis where sufficient lags are incorporated into the FSI and the FVI, both variables appear to increase income ineqauity. We interpret that this result is because the FSI reflects current financial instability while the FVI takes into future inancial instability in terms of mid- and long-term. This result implies that the macro-prudential policy or the policy for financial stability can be useful for improving income inequality