한국 금융기관의 위기대응력에 대한 연구 = A Study on the Learning Effect of the Korean Financial Institutions from the Experience of Financial Crisis

다국어 초록 (Multilingual Abstract)

This paper analyzes whether Korean financial institutions raised the confrontational ability to crisis or maintained their risk culture (or business model) after experiencing crisis. We investigate which is the more relevant for Korean financial institutions between risk culture hypothesis versus learning hypothesis. Analyses in this paper are related to those presented in Fahlenbrach et al. (Fahlenbrach, Prilmeier, and Stulz, 2012, hereafter FPS). We set the 1997 crisis as a preceding crisis and the 2008 crisis as a posterior crisis.
Firstly, 2008 crisis return (holding period return of financial institutions’ common stock) is negatively associated with 1997 crisis return. This negative association is outstanding among financial institutions excluding 6 firms in the category of ‘other financial industry’ which is far from the nature of financial business. This is the evidence supporting the learning hypothesis. Korean financial institutions had not maintained their unique risk culture or business model.
Secondly, we examine the financial ratios to check how Korean financial institutions changed. Generally activity, profitability, and stability were improved. The results show that financial institutions with decreased borrowing to asset ratio had improved return performance during the 2008 crisis. We also find the decreasing pattern of this ratio just before the 2008 crisis for financial institutions who worse performed in 1997 and the increasing pattern for those who better performed during the preceding crisis. This finding leads us to conclude that relatively bad performers during the preceding crisis, through learning effect, tried to decrease borrowing to asset ratio to raise the confrontational ability to crisis.
The results in this paper indicate that Korean financial institutions learned from the preceding crisis (1997 crisis) experience and then tried to minimize the effects from coming negative shocks (2008 crisis). The learning hypothesis is more appropriate than the risk culture hypothesis for Korean case.
We guess the reasons of the different result from that of FPS which supports risk culture hypothesis are as follows: (1) weak Korean financial institutions’ risk culture from short history compared to that of US financial institutions; (2) different strength of financial regulation: strong financial regulation in Korea after the preceding crisis but financial deregulation in US; and (3) different strength of the crises: relatively weak shock after greater shock in Korea but greater shock after relatively weak shock in US.
Ignorance of effective controlling for survivorship bias, even though it seems not to be serious, is the limitation of this study and remains as a future assignment. We expect that practical guidelines for build-up of confrontational ability to crisis are provided by the more detailed research on learning contents of Korean financial institutions from the crisis experience.

국문 초록 (Abstract)

본 연구는 한국 금융기관들이 위기경험 후 학습을 통하여 위기대응력을 제고시켰는지 또는 위기 경험에도 불구하고 위험문화(또는 사업모델)를 유지하였는지에 대하여 살펴보았다. 1997년과 2008년의 금융 위기를 각각 선행위기와 후행위기로 하여 Fahlenbrach et al.(2012)이 제시한 학습효과가설(learning hypothesis)과 위험문화가설(risk culture hypothesis)을 중심으로 검증하였다. 첫째, 후행위기인 2008년 금융위기 기간의 금융기관 주식수익률을 선행위기인 1997년 금융위기의 주식수익률로 회귀분석을 시행하였다. 그 결과 2008년 위기기간 금융기관 주식수익률은 1997년 위기기간 금융기관 주식수익률과 음(-)의 상관관계를 보였으며, 이는 한국 금융기관들이 자신만의 독특한 위험문화를 유지하기 보다는 차기 금융위기에 대응할 수 있도록 학습하였음을 의미한다. 둘째, 개별 재무비율 변화가 수익률 개선에 어떠한 영향을 미쳤는지 살펴보기 위하여 재무비율 변화(2008～1997)를 설명변수로 위기수익률 차이(2008～1997)를 종속변수로 하여 회귀분석을 실시한 한 결과, 차입금의존도가 하락한 금융기관들의 실적이 유의적으로 개선되었음을 확인하였다. 또한, 선행위기 시에 상대적으로 수익률이 양호했던 금융기관들의 차입금의존도는 후행위기 직전 상승하는 양상을 보이고 있으나 선행위기 시에 상대적으로 수익률이 저조했던 금융기관들의 차입금의존도는 하락하는 양상을 보이고 있어, 선행위기 시 실적이 저조했던 금융기관들이, 학습효과로 인하여, 위기대응 목적으로 차입금의존도 하락을 위해 노력했음을 확인할 수 있다.

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