Earticle

주택가격이 가계부채의 부실위험에 미치는 영향을 분석한다. 가계부채 미시자료를 이용하여 가계부채의 특성을 통제한 후에 주택가격이 가계부채 부도율에 미치는 영향을 분석한 결과 주택가격은 가계부채 부도율에 음의 영향을 미치는 것으로 나타났다. 주택가격은 비자영업자 차주, 금융 접근성이 낮은 저신용 차주와 저소득 차주, 소득대비 대출 규모가 큰 차주의 가계부채 부도율에 유의한 영향을 미쳤다. 한편, 2014년 7월 부동산 규제완화 정책이 시행된 이후에 금융기관의 신용공급 확대와 주택가격 상승이 가계부채 부도율을 유의하게 낮추는 것으로 드러났다. 이러한 결과는 개인의 소득증가와 무관한 신용공급 증가로 인해 주택가격이 신용경로를 통해 가계부채 부도율에 영향을 미치고 있음을 보인 Mian and Sufi (2011)의 연구결과와 일치한다. 특히 신용등급이 낮은 그룹과 소득이 낮은 그룹에서 주택가격이 가계부채 부도율에 미치는 영향이 명확하게 관측되는 현상은 Mueller and Yannelis (2019)의 연구결과와 일치한다. 만약 주택가격이 급격히 하락한다면 취약계층의 부도와 파산으로 인한 금융시장의 시스템 리스크 문제는 심각할 것으로 예상된다. 따라서 가계부채 부도로 인한 개별 금융기관의 가계부채 위험과 금융시장의 시스템 위험에 대한 선제적 대응 방안 모색을 위한 함의를 제공한다는 점에서 본 연구는 의의를 지닌다.

This study analyzes the effect of house prices on the insolvency of household debt after controlling for the individual characteristics of household debt using micro data on household debt. We analyze household debt by dividing it into self-employed loans and non-business loans, and analyze the default rate by dividing it into credit rating, income, and income/loan ratio. Additionally, the effect of housing prices on the household debt default rate before and after the real estate deregulation policy is analyzed. Also, unlike previous studies using a single real estate price index, the effect of regional housing prices on the household debt default rate is analyzed using the regional real estate price index. This study differs from previous studies in that it analyzes 582,949 borrowers’ information for the past 22 quarters (from March 2012 to June 2017) using the Bank of Korea household debt DB. The representativeness of the sample and the reliability of the analysis result can be guaranteed in that the sample was drawn from all borrowers rather than some financial companies or some loan information. Previous research mainly uses a single real estate price index or real estate price index in major cities, so in most cases, regional real estate price differences are not considered. This study differs from previous studies in that it uses housing prices based on city/gun/gu standards. The main results are as follows. First, the housing price has a significant negative (-) effect on the household debt default rate. It has been confirmed that if the house price rises, the default rate of household debt in the next quarter will decrease, but if the house price falls, the default rate of household debt in the next quarter will rise. Despite the recent continuous increase in household debt, the stable trend of the default rate of household loans appears to be largely due to the rise in housing prices. However, if housing prices fall in the future, the risk of household debt may increase, raising the need for preemptive management by policy authorities. Second, the housing price has a significant effect on the household debt default rate of non-business owners, low-credit and low-income borrowers with low financial access, and borrowers with a small income/loan ratio. These results are consistent with the research results of Mian and Sufi (2011), who show that house prices have an effect on the household debt default rate through credit channels due to an increase in credit supply independent of individual income growth. In particular, the effect of house price on the household debt default rate is clearly observed in the low-credit and low-income group, consistent with the findings of Mueller and Yannelis (2019), and the household debt risk of low-credit borrowers and low-income borrowers. Finally, after the real estate deregulation policy was implemented, the effect of house price on the household debt default rate was significant. Since the real estate deregulation policy was implemented in July 2014, the expansion of credit supply by financial institutions and the rise in housing prices show that the household debt default rate has been significantly lowered. Therefore, fluctuations in the credit supply of financial institutions are the main path that housing prices affect the household debt default rate. If house prices drop sharply, the problem of system risk in the financial market due to bankruptcy of vulnerable groups is expected to be serious. Therefore, this study provides implications for a preemptive countermeasure against the risk of household debt of financial institutions and the system risk of the financial market due to household debt default.

Using data on Korean non-financial companies (NFCs) over the sample period from 2010-2019, we find that the traditional measure of corporate cash holdings underestimates their financial assets. Firms with lower cash flow tend to invest in risky financial assets, which is inconsistent with the precautionary motive of cash holdings. We further show that distressed firms facing operational difficulties invest more in risky financial assets in response to a decrease in operating profit or sales growth rate, or an increase in short-term financial liability. We argue that NFCs invest in risky securities in pursuit of yield to make up for their lower operating performance.

본 논문은 미시경제학 게임이론의 다기간 다차원 경매모형을 기반으로 외부위탁운용 관리(outsourced chief investment officer, 이하 OCIO) 시장을 분석한다. 국내 OCIO 시장이 성장할 것으로 기대되면서 시장을 선점하려는 운용사 간 경쟁이 이루어 지고 있다. 운용사는 OCIO 서비스를 공급해본 경험이 많을수록 효율성을 개선할 수 있으므로, 미래 수익을 고려하여 초기 단계인 국내 OCIO 시장을 선점하기 위해 낮은 운용보수를 제시할 유인이 있다. 이에 따라 본 논문에서는 OCIO 선정과정을 조달경매로 분석한 기존 다차원 경매모형에 OCIO 서비스를 공급할수록 운용사의 효율성과 품질이 개선된다는 가정을 추가하여 다기간 다차원 경매모형을 구성한다. 다기간 모형의 동적 최적화를 통해 동태적 균형을 도출한 결과, OCIO 공급경험을 통해 개선되는 효율성을 고려하여 운용사들이 낮은 운용보수를 제시한다는 점을 확인 할 수 있다. 이를 통해 OCIO 시장에서 운용사 간의 가격경쟁으로 인해 낮은 운용보수 가 나타나는 상황을 이론적으로 설명할 수 있다.

This study analyzes the outsourced chief investment officer (OCIO) market using a multi-period, multi-dimensional auction model. The OCIO service is a type of consignment asset management system. Unlike a traditional consignment management system, however, the OCIO service can be characterized as a comprehensive wealth management service because the asset owner comprehensively delegates the rights to strategic asset allocation, which determines the proportion of investments in the core asset class, to the asset manager. Although the OCIO market initially developed in other countries, it has recently begun to attract attention in Korea, and the competition among managers is fierce. Managers and securities companies participate in the OCIO market as suppliers as fund-type retirement pensions are expected to be implemented, and, thus, private funds will likely emerge as the major consumers in the OCIO market. Korean OCIOs offer lower average fees compared to OCIOs in developed markets. This difference is due to the initial competition in the Korean OCIO market. Suppliers can offer lower management fees in the Korean market because even if they incur short-term losses, operating in the OCIO market will be profitable in the long run. The OCIO market is initially being evaluated as having high growth potential. As interest rates remain low, funds' demand for OCIO services to improve profits is increasing in the short term. Accordingly, the OCIO market has grown significantly, the ripple effect on the operating market is increasing, and interest in the OCIO market is rising. Because funds have less expertise in asset management than managers do, OCIO services may continue to be used to ensure high profits or stable management. The OCIO market is expected to grow, and, thus, management companies are competing to gain market share by offering low management fees. In addition, because the OCIO market is likely to take the form of a monopoly, a manager can benefit from taking over the OCIO market even if it incurs short-term losses. Because the OCIO service is a comprehensive asset management system, including strategic asset allocation, it is necessary to establish a separate OCIO system to provide efficient services. Accordingly, managers with experience in supplying these services may build OCIO systems more efficiently than those without experience can. Thus, the quality of OCIO services can be improved by enhancing intrinsic capabilities, such as by improving the system to manage assets according to a fund’s purpose. This difference suggests that the managers who previously provided OCIO services may be superior choices for future OCIO services. Accordingly, it is very likely that a few managers that are selected as OCIOs in the early stages and create efficient OCIO systems will monopolize the market. For these reasons, managers have an incentive to offer low management fees to capture the Korean OCIO market given the potential future profits. Thus, the competition among managers in the Korean OCIO market should be analyzed with a multi-period model. However, previous studies of the Korean OCIO market focus on the agency problem and analyze the market using only single-period models. Accordingly, this study constructs a multi-period, multi-dimensional auction model. We expand upon existing multi-dimensional procurement auction models by assuming that a manager’s efficiency and quality improve as the manager supplies OCIO services. This study analyzes the OCIO selection process using both a single-period, multi-dimensional model and a multi-period, multi-dimensional model, and we compare the results of both models. The equilibrium in the single-period model indicates that the more efficient the manager’s OCIO system is, the lower the optimal service quality is and the higher the optimal management fee is. Thus, the manager with the most efficient OCIO system is selected as the OCIO. The multi-period model also includes the assumption that efficiency improves after selecting an OCIO in the single-period model. We derive a dynamic equilibrium through dynamic optimization and confirm that a more efficient system is associated with a higher optimal service quality and a lower optimal fee, as in the single-period model. In both models, we find that a highly efficient company is selected as the OCIO. This result suggests that the OCIO market is highly likely to be oligopolistic. However, the optimal fee in the multi-period model is lower than that in the single-period model. This finding shows that when supplying OCIO services is expected to improve efficiency, price competition among managers may become overheated.

This paper reviews recent studies on banking in Korea by classifying a substantial body of literature into three categories – the role of banks in the real economy, the efficiency and performance of the banking industry, and regulatory and policy issues. This paper differs from previous survey literature in that it offers a comprehensive systematic literature review of banking studies in Korea in a decade on from the global financial crisis and presents statistics of research articles on various topics in banking published in major economics and finance journals. We find the rising trend of banking research across all subjects, and in particular, dramatic increases around the global financial crisis. This paper also reveals a lack of studies on several topics such as distributed ledger technologies and central bank digital currency, recommending future research on these topics.

This article reviews research conducted from 2011-2020 on the corporate governance of Korean firms. The purpose is to promote academic interest in Korean corporate governance research especially among non-Korean scholars and to provide guidance to young Korean scholars who are working in this area. We begin with the institutional features that are unique to Korea. We explain how they allowed researchers to develop interesting hypotheses that cannot be studied elsewhere, to establish causality that is not possible in other country settings, or to obtain data that are not available elsewhere. Then, we review the studies that examine the control (ownership) and governance structures of Korean firms. We pay attention to their determinants and their consequences. Lastly, we raise methodological concerns in existing studies and also discuss research topics for future research.