신흥시장의 외환위기와 채권자의 도덕적 해이

국문 초록 (Abstract)

채권자의 도덕적 해이(creditor moral hazard)는 국제통화기금(IMF)과 같은 국제금융기구의 대규모 구제금융이 선진국 채권은행들의 인센티브를 왜곡, 신흥시장에서 과도한 대출을 지속하게 함으로써 신흥시장에 외환위기가 반복되는 원인의 하나가 된다고 주장하는 가설이다. 이 논문은 최근 수 십 년간 가장 많은 외환위기를 겪은 대표적 나라의 하나인 아르헨티나의 91년 이후 주요 위기 사례들을 활용, 채권자의 도덕적 해이 가설을 검증한다. 사건연구기법을 통해 우리는 아르헨티나에 대출이 있는 미국 상업은행들이 95년에서 2001년 사이에 아르헨티나에 구제금융이 단행될 때마다 매우 높은 비정상주가수익을 거두었음을 확인했다. 미국 상업은행들이 이 기간 동안 아르헨티나에 대한 대출을 계속 확대했다는 자료를 함께 고려할 때, 이는 95년 초에 대규모로 시행된 멕시코 구제금융을 계기로 아르헨티나 시장과 관련한 미국 채권은행들의 도덕적 해이가 증가했으며, 2001년 아르헨티나의 대규모 국가부도사태를 계기로 이 같은 도덕적 해이가 감소했음을 시사한다. 이 같은 결과는 채권자의 도덕적 해이 가설을 지지하는 중요한 증거로 볼 수 있다.

다국어 초록 (Multilingual Abstract)

This study tests for the creditor moral hazard hypothesis using Argentine financial crises since 1991 as examples. With a financial event study method, we find significant abnormal stock returns to the U.S. creditor banks that have Argentine exposure with related to the international crisis lending to Argentina from 1995 to 2001. With the fact that the U.S. creditor banks have increased their lending to Argentina during this period, this evidence implies that the Mexican bailout in 1995 distorted creditor incentives, encouraging them to take more risk in emerging markets lending, and the default in Argentina in 2001 reduced those incentives. This study provides strong support for the creditor moral hazard hypothesis.

목차 (Table of Contents)

• 요약
• Ⅰ. 서론
• Ⅱ. 문헌 연구 및 가설
• 2.1 채권자의 도덕적 해이에 대한 논쟁
• 2.2 채권자의 도덕적 해이 가설에 대한 경험적 연구
• 2.3 아르헨티나의 외환위기와 채권자의 도덕적 해이
• 2.4 가설
• Ⅲ. 연구방법론과 자료
• 3.1 방법론
• 3.2 자료
• Ⅳ. 실증 결과
• 4.1 단순시장모델을 활용한 분석 결과
• 4.2 포트폴리오 모델을 활용한 분석 결과
• 4.3 실증결과에 대한 토론
• Ⅴ. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

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