시장리스크팩터가 신용리스크에 미치는 영향에 관한 연구

This study tested empirically the interrelation of the market risk factors (exchange rate, interest rate, stock price index) and credit risk (paper default rate) as using the monthly data from January 1991 to July 2001. As using Vector Autoregression, this study performed the analysis and variace decomposition analysis of each variables to get the following findings. The relationships of each variables by the impact response analysis are as follows. The effects of exchange rate shocks and interest rate shocks are to cause an immediately positive shock on the default rate. On the contrary, the effect of stock price index has little influences on the default rate. As the result of the variance decomposition, the exchange rate shocks explains about 19% of the forecast error variance of the default rate. And the interest rate shocks account for approximately 7% of the forecast error variance of the default rate.