2015 경제발전경험모듈화사업 : 금융위기 조기경보시스템

Chapter 1 Introduction Chapter 2 National Early Warning System in Korea 1. Structure of the System· 2. KCIF’s Early Warning System 3. FSS and Financial Industry EWS 4. EWS for Financial Markets 5. EWS for Real Estate Market 6. EWS for Petroleum and Commodity 7. EWS for Labor Market Chapter 3 EWS for Currency Crisis 1. Methodology: Signal Approach 2. Applications Chapter 4 EWS for Financial Industry and Institutions 1. Daily Financial Soundness Indicators 2. Early Warning Models of the FSS 3. CAEL Rating System 4. Macroprudential Indicators Chapter 5 Policy Recommendations for EWS 1. Qualitative Monitoring 2. Other Policy Recommendations· Chapter 6 Capital Flows and Crisis Prevention Policy 1. Foreign Exchange Policy 2. Prudential Regulations 3. Capital Controls 4. Sovereign Wealth Fund 5. Bilateral Swaps and Global Financial Safety Nets (GFSNs) Chapter 7 Conclusion References Appendice

Financial Constraints, Debt Capacity, and the Cross-section of Stock Returns

Building on a model of corporate investment under collateral constraints, we develop and test a hypothesis on the differential effect of debt capacity on stock returns across financially constrained and unconstrained firms. Consistent with the hypothesis, we find that debt capacity is a significant determinant of stock returns only in the cross-section of financially constrained firms, after controlling for beta, size, book-to-market, leverage, and momentum. The findings suggest that cross-sectional differences in corporate investment behavior arising from financial constraints, predicted by theories of imperfect capital markets and supported by empirical evidence, are reflected in the stock returns of manufacturing firms. Copyright (c) 2009 the American Finance Association.

은행 자기자본의 경기순응성에 대한 국제비교분석과 Basel Ⅱ에 대한 시사점

This paper investigates the cyclical patterns of buffer capital using an unbalanced panel data for the banks in 30 OECD countries and 7 non-OECD Asian countries. We test whether the relationships between buffer capital and business cycle are systematically different across country groups controlling for other potential determinants of bank capital. We find that the correlation is positive for developed countries while it is negative for Asian developing countries. These findings suggest that, once Basel II is implemented, developing countries are more likely to observe an increase in output volatility. We then review the policy recommendations to mitigate the procyclicality problem of Basel II. 본 연구는 30개 OECD 회원국과 7개 아시아 국가 은행들의 재무제표를 통해 구축된 불균형 패널자료를 이용하여 은행 자기자본의 경기순환적 패턴을 살펴본 것이다. 특히 은행의 잉여자본과 경기순환 간의 관계가 다른 자기자본 결정요인들의 영향을 고려한 후에도 국가 그룹별로 체계적인 차이를 나타내는지를 분석하였다. 실증분석 결과, 선진국 은행들에서는 잉여자본과 경기순환 간에 양(+)의 상관관계가 있으며, 아시아 개도국 은행들에서는 잉여자본과 경기순환 간에 음(-)의 상관관계가 있는 것으로 나타났다. 이는 신바젤자기자본협약(Basel Ⅱ)이 도입될 경우 개도국에서 경기의 변동성이 더욱 확대될 가능성이 높음을 시사한다. 본 연구는 이와 같은 분석을 바탕으로 은행대출의 경기순응성 문제를 완화하기 위한 감독정책 방안들을 점검하였다.2

Macroprudential Foreign Exchange Policy in Mongolia

Mongolia is a country with a large mineral wealth and great growth potential. As the Mongolian economy heavily depends on the production and export of minerals, it is inevitable for Mongolia to be vulnerable to external shocks. The changes in the demand for minerals and the associated changes in the prices of minerals in the global market directly affect the mining sector and ultimately the balance of payments, the government budget balance, and the growth rate of the Mongolian economy. External shocks to the economy also directly affect the capital flows. The volatile capital flows, along with the swings of commodity prices, generate a boom-bust cycle, and given the mineral-centric structure of the Mongolian economy, small shocks in the world commodity market may have substantial impacts on the Mongolian economy following the changes in external conditions. Indeed, the Mongolian economy witnessed a decrease in the net capital inflows between 2012 and 2016. In particular, the net capital inflows of direct investments were USD 5.2 billion in 2012, but the direct investments turned into the net capital outflow of USD 4.4 billion in 2016. The crash of the foreign direct investments mainly resulted from the delay of the second phase development of the Oyu Tolgoi (OT) after the end of the first phase. In fact, the sudden fall of the foreign direct investments caused an economic turmoil in the Mongolian economy. In response to these adverse external shocks, the Mongolian government and the Bank of Mongolia conducted expansionary fiscal and monetary policies to support growth. These expansionary policies, however, also caused side effects such as a rapid credit growth, deterioration of bank balance sheets, and an unsustainably high public debt. The large mining investments required external financing, leading to a large current account deficit and a deterioration in the net international investment position. In 2012 and 2013, when the investment rates were high, the current account deficit recorded at –43% to -44% of GDP. The cumulative current account deficits resulted in a rapidly growing external debt. The external debt to GDP ratio, in fact, increased from 99.1 percent in 2010 to 220.9 percent in 2019. At the same time, the foreign exchange reserves decreased sharply from USD 4.1 billion in 2012 to USD 1.3 billion in 2015 and 2016. This large external debt and small international reserves require immediate policy responses. Given the large external imbalances and weak prudential regulations in Mongolia, a sound management for external debts and capital flow should be the primary policy goal for the Mongolian goverment. The basic premise is to accumulate a financial buffer in order to strengthen resilience of the economy by conducting counter-cyclical macroprudential foreign exchange policies. For Mongolia to achieve this goal, several recommendations are suggested.2019/20 KSP with Mongolia Executive Summary Chapter 1 Macro Stabilization Policy through Fiscal and Monetary Policy Mix Chapter 2 Improvement of Fiscal Stabilization Rules in Mongolia Chapter 3 Macroprudential Foreign Exchange Policy in Mongolia Chapter 4 Building Macroeconomic Modeling and Capacity Enhancement for ForecastingTRU