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분야 : 사회과학 > 경제학
발행기관 : 한국금융연구원
간행물정보 : 금융연구, 2009 pp.51~82 (총 32pages)
 
 
국문초록
본고에서는 통화정책 파급경로 중 하나인 대출경로의 존재 여부 및 크기에 대한 실증분석을 하였다. 대부분의 기존 실증연구에서는 대출공급의 식별을 위하여 기업 및 은행의 규모에 따라 정보의 비대칭성 정도가 다르다는 암묵적 가정하에 횡단면 자료를 사용하고 있다. 그러나 우리나라의 경우 예금보험의 존재와 채권시장 미발달 등으로 인해 정보의 비대칭성과 기업 및 은행의 규모를 일률적으로 연결시키기 어려운 한계가 있다. 이를 극복하기 위해 본고에서는 모형설정시 정보의 비대칭성을 명시적으로 도입함은 물론 기업의 자금조달수단으로 대출과 채권이 공존하도록 가정함으로써 양자간 대체성 정도가 대출경로의 크기를 나타내도록 하였다. 1991년 1/4분기∼2008년 2/4분기의 시계열 자료를 이용하여 모형을 추정한 결과 우리나라에서는 대출경로가 작동하고 있으나 그 크기는 그다지 크지 않은 것으로 나타났다. 특히 외환위기 이후 대출경로의 크기가 이전에 비하여 작아진 것으로 나타났다. 이는 외환위기 이후 은행 및 기업이 각각 은행채 혹은 회사채발행 등을 통하여 예금 혹은 대출에 대한 의존도를 낮춤에 따라 대출경로의 크기가 감소하는 등 기업의 자금조달경로로서 은행의 역할이 과거에 비해 상대적으로 축소되었음을 시사한다. 본 연구를 통해 통화정책 대출경로의 작동여부 및 크기를 정확히 계측함으로써 금융부문의 충격이 실물부문에 전파되는 정도에 대한 중요한 정보를 제공할 수 있을 것으로 기대된다.
 
 
영문초록
This paper provides an empirical analysis about the existence and the size of the lending channel, which is said to be one of the most important monetary policy transmission mechanisms. In order to measure the size of the lending channel the supply of bank lending needs to be separated (or identified) from the demand. Most of the previous empirical studies use cross-sectional data on different funding sources of non-bank firms as well as banks for the identification. The intuition behind this tradition is that the lending channel exists because of the information asymmetry and the degree of information asymmetry differs by the size of firms or banks. Therefore, the supply of funds can be identified by relating the size of firms or banks to the size of bank lending from cross-sectional data. Unfortunately, however, this strategy of identification may have to face a criticism that not only the supply but also the demand may very well depend on the size of firms and banks, in which case the identification fails. In this paper we use time series data instead of cross-sectional data in order to overcome this difficulty. For the identification we explicitly model bank lending using a dynamic stochastic general equilibrium (DSGE) with a financial sector. Therefore, the identification of the supply and demand of lending channel is now explicit. One of the novel features of our model is that we assume that firms can finance their investments either from bank loans or bond issuance. So it is the substitution between bank loans, a funding source with information asymmetry, and bond issuance, one without information asymmetry. This modeling strategy is rather a direct implementation of the theoretical underpinning of the lending channel literature, namely substitutability among funding sources. In that respect, we add an additional assumption that issuing bonds involves a convex cost. This assumption guarantees an interior equilibrium, for without it, issuing bonds is always preferred to bank loans due to an external finance premium in bank loans. The equilibrium is attained when the external finance premium, the difference between lending rate and (risk free) bond rate, is equal to the marginal cost of issuing bonds. If the marginal cost is high and convex, issuing bonds is not as attractive, so lending channel dominates. If the marginal cost is low and flat, bond financing dominates. So this leads to an empirical question about the value of the parameter, which represents the curvature of the marginal cost in issuing bonds. We interpret this parameter as substitutability between bank loans and bond financing. The estimation results show that, although the lending channel of monetary policy transmission does exist, the magnitude of it is relatively moderate. Moreover, relative importance of the lending channel has shrunk since the financial crisis in 1997~1998 compared to the previous period. This result implies that firms, having experience severe financial contraction during the crisis, may have turned more to internal funding sources and issuing bonds rather than external ones, including bank loans to ensure their financial soundness. We expect that this study provides a way to measure the impact of a shock in the financial sector on the real sector. In addition we hope that this paper sheds some light on how to deal with current financial instability as to how much importance should be laid on the financial sector stabilization relative to the real sector.
 
 
정보의 비대칭성, 대출경로, 동태적 일반균형모형, Asymmetric Information, Lending Channel, Dynamic Stochastic General Equilibrium Model
 
다운로드 94737582.pdf