금융상황지수와 금융스트레스지수의 모색과 유용성 (Financial Conditions Indexes and Financial Stress Indexes for Korea)

25 Pages Posted: 16 Aug 2017 Last revised: 10 Jan 2019

See all articles by Sangyong Joo

Sangyong Joo

Konkuk University - Department of Economics

Sangbuhm Hahn

Korea Securities Research Institute (KSRI)

Date Written: June 30, 2006

Abstract

Korean Abstract: 이 논문은 우리나라의 금융상황지수(FCI)와 금융스트레스지수(FSI) 작성을 시도하고 두 지수의 유용성을 평가해 보았다. 이자율과 환율의 가중평균으로 정의되는 통화상황지수(MCI)는 유용하지 않으며, 우리나라의 경우 이자율과 주가로 구성된 FCI가 총수요 조건을 결정하는 중요한 변수이자, 경제성장률을 예측해 주는 변수인 것으로 분석되었다. 한편 은행산업, 증권산업, 보험산업으로 구성되는 금융산업 부문에다 채권시장을 추가로 반영하는 FSI를 작성하였다. 그 결과 금융시장 전반의 FCI가 개선되는 경우에 금융업종의 스트레스 강도가 완화되는 것으로 나타났으며, 금융업종의 스트레스 강도는 실물부문의 동향을 감지하는 성질을 갖고 있는 것으로 분석되었다.

English Abstract: This paper tries to make financial conditions index (FCI) and financial stress index(FSI). The FCI is different from the MCI (monetary conditions index) that is an weighted average of interest rate and exchange rate, in that it includes other asset prices such as stock prices and housing prices. In case of Korea, however, the FCI that simply uses interest rate and stock prices is more relevant than the MCI in explaining aggregate demand and economic growth. On the other hand, the FSI is constructed using various measures of three financial industries (banking, security, and insurance) and bond yield spreads. Our empirical results show that the relaxation of FCI lowers the intensity of stress in financial system and the FSI itself has some predictive ability on real economic activity.

Note: Downloadable document is available in Korean.

Keywords: 금융상황지수, 금융스트레스지수, 통화상황지수, financial conditions index (FCI), financial stress index (FSI). monetary conditions index (MCI)

JEL Classification: E44, E50

Suggested Citation

Joo, Sangyong and Hahn, Sangbuhm, 금융상황지수와 금융스트레스지수의 모색과 유용성 (Financial Conditions Indexes and Financial Stress Indexes for Korea) (June 30, 2006). Financial Stability Studies, Vol. 7, No. 1, Korea Deposit Insurance Corporation(KDIC), 2006, pp. 114-138.. Available at SSRN: https://ssrn.com/abstract=3019764 or http://dx.doi.org/10.2139/ssrn.3019764

Sangyong Joo (Contact Author)

Konkuk University - Department of Economics ( email )

1 Hwayang-dong
Kwangjin-gu
Seoul, 143-701
Korea

Sangbuhm Hahn

Korea Securities Research Institute (KSRI) ( email )

33 Yoido-dong
Yongdeungpo-ku
Seoul, 786-7570
Korea, Republic of (South Korea)

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