경제분석

  1. 조사 · 연구
  2. 간행물
  3. 발간주기별 검색
  4. 계간
  5. 경제분석

[제22권 제4호] Credit Cycle and the Macroeconomy: Empirical Evidence from Korea

주제 : 금융·은행 저자 : 한재훈, 문호성
연구조정실(010-1111-2222) 2016.12.31 4457

 

저자: 한재훈(연세대학교), 문호성(한국은행)

 

<요약>

 

 We estimate a common factor underlying the cyclical variation in default rates, i.e., the credit cycle factor, by using a structural approach to modeling default risk. We make use of loan data from individual banks and categories of non-bank financial institutions in Korea, and find that the estimated credit cycle factor shows economically plausible associations with various macroeconomic and financial market indicators, consistent with empirical evidence in the U.S. and European markets. Moreover, we find that the estimated credit cycle factor predicts macroeconomic and financial market conditions, such as the GDP growth rate, non-farm employment, and the amount of industrial loans.

콘텐츠 만족도

문서 처음으로 이동