거시경제변수와 대출부도의 시간변화에 따른 상관관계 연구 = A Study on Time-varying Correlation Between Macroeconomc Variables and Loan Default

다국어 초록 (Multilingual Abstract)

The financial authorities have raised concerns about the procyclicality effect due to the implementation of Basel Ⅱ. A large body of literature evidenced that the volume and credit risk of loan was closely related to the business cycle. That is, the default rate of loan increases during recessions and decreases during expansions. On the other hand, it is likely that lending financial institutions to firms expand during the upturns of business cycles and contracts during the downturns. Some researchers argue that high default rates during recessions are just realizations of the credit risk that is built up during expansions. The purpose of this article is to examine empirically dynamic links between macroeconomic development accompanied by strong credit growth and loan default. Methods used to accomplish such aim are cross-correlation and time-varying correlation GARCH model. In particular, we utilized a default data set of loan guaranteed by Korea Credit Guarantee Fund from 1977 to 2008. The main results of empirical analysis can be summarized as follows: First, empirical result confirms that banks tend to increase in lending activity during economic expansion and decrease during contraction. This is largely attributable to the fresh loans than the roll-over loans. Second, we find that loan growth in good times is followed by high loan default in about a year`s time. This finding supports the hypothesis that high default rate during economic slowdown results from credit risk built up during expansions. Third, there is a contemporaneous correlation between loan default and financial market indicators, such as interest rate and foreign exchange rate. Finally, we could also find out that a time-varying negative correlation between GDP growth rate and loan default rate is strengthened when volatility of GDP growth rate is largely high and the correlation between loan growth rate and loan default rate is unusually strongly negative during higher volatility of loan growth. From these findings, it may be safe to say that systematic risk factors are of more use to assess corporate credit risk than idiosyncratic risk factors when predicting adverse macroeconomic condition.

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