금융불안지수 개발과 금융불안 요인 변화 분석 (Constructing a Financial Stress Index and Changes of Financial Stress Determinants after the Global Financial Crisis)

184 Pages Posted: 29 Jul 2019

See all articles by Young SIk Jeong

Young SIk Jeong

Korea Institute for International Economic Policy

Hyelin Choi

Korea Institute for International Economic Policy

Da Young Yang

Korea Institute for International Economic Policy

Eunjung Kang

Korea Institute for International Economic Policy

Deokki Ko

Samsung Economic Research Institute

Date Written: December 31, 2018

Abstract

Korean Abstract: 본 연구는 한 나라의 금융불안을 측정할 수 있는 KIEP 금융불안지수를 개발하고, 이를 활용해 우리나라와 신흥국에 대해 금융불안 결정요인 변화를 분석하였다. 그리고 미국 금리인상, 중국 금융불안, 통상불확실성 등 대외 충격이 우리나라 금융불안에 미치는 영향을 분석하였다. 이를 위해 세계 주요 신흥국을 대상으로 국가패널 분석과 우리나라를 대상으로 시계열 및 구조 VAR 분석을 실시하였다. 본 연구결과는 글로벌 금융위기 이후 주요국의 금융불안 결정요인 변화에 대한 이해의 폭을 넓히고, 우리나라의 금융불안 리스크 관리 강화 및 금융불안 완화 방안 마련에 활용될 수 있을 것으로 기대된다

English Abstract: Following the global financial crisis in 2008, various forms of financial instability have continued to emerge due to the European fiscal crisis, US taper tantrum, plunge in resource prices, and worries about a hard landing in the Chinese economy. This financial stress is likely to continue on the domestic and international fronts when considering the deepening US-China trade war, sustained US interest rate hikes, and economic unrest in China and emerging economies. Upon this backdrop, this study develops a financial stress index which can measure financial instability, and analyzes changes in determinants of financial instability in Korea and emerging economies, as well as the influence of various external shocks on Korean financial stress.

Note: Downloadable document is in Korean.

Keywords: Financial Stress Index, Global Financial Crisis

Suggested Citation

Jeong, Young SIk and Choi, Hyelin and Yang, Da Young and Kang, Eunjung and Ko, Deokki, 금융불안지수 개발과 금융불안 요인 변화 분석 (Constructing a Financial Stress Index and Changes of Financial Stress Determinants after the Global Financial Crisis) (December 31, 2018). KIEP Research Paper. Policy Analyses 18-22. Available at SSRN: https://ssrn.com/abstract=3422607 or http://dx.doi.org/10.2139/ssrn.3422607

Young SIk Jeong (Contact Author)

Korea Institute for International Economic Policy ( email )

[30147] Building C, Sejong National Research Compl
Seoul, 370
Korea, Republic of (South Korea)

Hyelin Choi

Korea Institute for International Economic Policy ( email )

[30147] Building C, Sejong National Research Compl
Seoul, 370
Korea, Republic of (South Korea)

Da Young Yang

Korea Institute for International Economic Policy ( email )

[30147] Building C, Sejong National Research Compl
Seoul, 370
Korea, Republic of (South Korea)

Eunjung Kang

Korea Institute for International Economic Policy ( email )

[30147] Building C, Sejong National Research Compl
Seoul, 370
Korea, Republic of (South Korea)

Deokki Ko

Samsung Economic Research Institute ( email )

28~31th Fl., Samsung Life Seocho Tower
1321-15, Seocho 2-dong, Seochoro 402, Seocho-gu
Seoul, 137-072
Korea, Republic of (South Korea)

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