가계대출과 시스템적 리스크: 신용정보의 유용성 (Household Loans and Systemic Risk: Usefulness of Credit Information)

26 Pages Posted: 27 Mar 2015

See all articles by Junesuh Yi

Junesuh Yi

Dongguk University

Hosung Jung

The Bank of Korea; Bank of Korea - Economic Research Institute

Date Written: December 17, 2013

Abstract

Korean Abstract: 본 연구는 가계대출에 대한 다양한 신용정보(가계대출, 다중채무, 신용등급 등)와 시스템적 리스크의 관련성을 검증했다. 분석결과 가계대출 규모는 시스템적 리스크에 선행하는 것으로 나타났다. 특히 은행 가계대출 규모보다는 비은행 가계대출 규모가, 담보대출 규모보다는 신용대출 규모가 시스템적 리스크에 미치는 영향이 더 큰 것으로 나타났다. 또한 다중채무자나 비은행 금융기관의 중상위 신용등급 고객의 대출정보가 시스템적 리스크와 관련이 있는 것으로 나타났다.

본 연구는 개인 신용평가사(Credit Bereau, 이하 CB)가 보유한 개인신용 정보를 이용하여 시스템적 리스크와 가계대출과 관련한 다양한 개인신용 정보와의 관계를 밝혔다는 점에서 의의가 있다. 본 연구결과는 금융시장의 불안정을 나타내는 조기경보시스템 및 시스템적 리스크 측정수단 개발, 또는 거시건전성 정책 수립에 참고자료로 활용될 수 있다.

English Abstract: This paper examines the relation between household’s loan information – such as household loans, multiple loan amount and consumer credit ratings ‒ and systemic risk. We find that an increase in household loans is a leading indicator of systemic risk. In particular, systemic risk is related more to household loans from non-banks than to those from banks, and more to unsecured loans than to secured loans. This paper also shows that systemic risk is associated with the credit information pertaining to multiple-loan borrowers as well as non-bank borrowers holding medium-to-high credit.

This study is distinctive in that the above relationship is verified based on the vast amount of data provided by credit bureaus (CBs). Our findings could provide some important policy implications for the design of an early warning system, indicating financial market vulnerability, for measures of systemic risk, and for macro-prudential policy.

Note: Downloadable document is in Korean.

Keywords: Consumer credit information, systemic risk, macro-prudential policy, probability of financial distress, Credit Bureau

JEL Classification: D14, E51, G28

Suggested Citation

Yi, Junesuh and Jung, Hosung, 가계대출과 시스템적 리스크: 신용정보의 유용성 (Household Loans and Systemic Risk: Usefulness of Credit Information) (December 17, 2013). Bank of Korea WP 2013-28, Available at SSRN: https://ssrn.com/abstract=2580593 or http://dx.doi.org/10.2139/ssrn.2580593

Junesuh Yi (Contact Author)

Dongguk University ( email )

Seoul
Korea, Republic of (South Korea)
82-2260-8589 (Phone)

Hosung Jung

The Bank of Korea ( email )

39, Namdaemun-ro, Jung-gu
Seoul, 04531
Korea, Republic of (South Korea)

Bank of Korea - Economic Research Institute ( email )

110, 3-Ga, Namdaemunno, Jung-Gu
Seoul 100-794
Korea, Republic of (South Korea)

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