신용보증기금의 운용전략

Abstract

본 연구는 신용보증기금의 1990년 1분기~2010년 1분기 기간의 자료를 사용하여 경제위기 충격과 보증부실 등 경제상황의 변화에 따른 신용보증기금(KODIT)의 선언적 운용전략의 수행 효과를 분석하였다. 본 연구의 주요 분석 결과는 다음과 같다. 먼저 부실률이 신용보증기금 잔액의 변화에 미친 영향을 보면, 장기관계에 서는 그 효과가 불분명하게 나타났다. 하지만, 단기관계에서는 경기가 어느 정도 호전된 상황에서 부실률이 증가하면 보증기관의 재무적 건전성을 위해 보증공급을 감소시키는 것으로 나타났다. 이는 경제위기 시기에 급증한 보증공급에 대응하여 경제 호황기에는 재정 건전성을 확보하기 위여서 보증공급을 감소시키는 것으로 판단할 수 있다. 두 번째로, 경제위기가 신용보증기금 잔액의 변화에 미친 영향을 보면, Probit 모형과 VECM을 이용한 분석에서 모두 신용보증기금은 경제위기 시기에 보증공급을 증가시켜 위기로 인한 충격을 완화시킴을 관찰할 수 있었다. 결론적으로, 신용보증기금은 경제위기 발생 시 단기적인 경기 대응적 처방과 함께 경기호황기에는 부도율에 대응하는 위험 관리를 통해 보증공급을 운용한다. 본 연구에서는 신용보증기금의 선언적 운용전략의 수행 효과에 대한 실증분석에 초점을 두고 있으며, 신용보증기금 공급에 영향을 미칠 수 있는 중소기업의 기업별 특성(중소기업들의 수출입의존도 및 재무자료 등)은 고려하지 않았다.| Using the time-series data over the period of 1990.Q1 to 2010.Q1, we analyze the strategic role of Korea Credit Guarantee Fund in response to global economic crises and increasing defaults of its credit guarantees. First of all, the effect of the default rate to the supply of KODIT credit guarantees was not uniform: It was not significant in the cointegrating relationship while it (the cross term of the default rate and the dummy variable for the economic boom, to be exact) is significant in the error-correction or short-run relationship. This latter observation implies that KODIT tries to regain financial soundness in the period of economic boom by reducing the credit guarantees in response to worsening default rate. This is a counteraction during the economic boom to the rapid increase of credit guarantees during global economic crises, which led to worsening default situation subsequently. Secondly, the effect of global economic crises to the supply of KODIT credit guarantees was uniformly significant in both probit and VECM analysis. This confirms the strategic role of KODIT (trying to reduce the shock of global economic crises in the credit market for small and medium sized companies). In sum, among the two distinctive operational strategies of KODIT, we found a significantly active role of KODIT in helping credit-constrained firms during global economic crises. On the other hand, we found some but not unanimous evidence on KODIT's role as a risk-sensitive financial institution during the economic boom.; Using the time-series data over the period of 1990.Q1 to 2010.Q1, we analyze the strategic role of Korea Credit Guarantee Fund in response to global economic crises and increasing defaults of its credit guarantees. First of all, the effect of the default rate to the supply of KODIT credit guarantees was not uniform: It was not significant in the cointegrating relationship while it (the cross term of the default rate and the dummy variable for the economic boom, to be exact) is significant in the error-correction or short-run relationship. This latter observation implies that KODIT tries to regain financial soundness in the period of economic boom by reducing the credit guarantees in response to worsening default rate. This is a counteraction during the economic boom to the rapid increase of credit guarantees during global economic crises, which led to worsening default situation subsequently. Secondly, the effect of global economic crises to the supply of KODIT credit guarantees was uniformly significant in both probit and VECM analysis. This confirms the strategic role of KODIT (trying to reduce the shock of global economic crises in the credit market for small and medium sized companies). In sum, among the two distinctive operational strategies of KODIT, we found a significantly active role of KODIT in helping credit-constrained firms during global economic crises. On the other hand, we found some but not unanimous evidence on KODIT's role as a risk-sensitive financial institution during the economic boom.