예금보험제도하의 은행부실 진단과 조기경보인자 검증

The primary purpose of this study is diagnosing individual bank failure through measuring the index of individual bank fragility, and testing the forward-looking indicators to provide early warnings of banking failures with using dynamic models that use forward-looking variables and explain various types of bank risk individually in Korea. As methodology the techniques of cointegration, error correction model, test of causality, impulse response function, index of individual bank fragility are used in the empirical analysis of 17 banks survived in korea. It employs quarterly data of macro economic variables, micro variables of banking sector that based on the five categories of capital adequacy, asset quality, management, earnings and liquidity covering the period of 1999Q4 ∼ 2008Q1. To sum up major highlights of the analytical results, not only the period of 1997-2000 Korean currency crisis, but also after the period many domestic banks experienced banking sector difficulties (debasement of BSF index) during the sample period covering 2003Q4 ~ 2006Q3, 2007Q4~2008Q1. Second, important micro factors determining individual bank failure and providing early warnings of individual bank failure are the ratio of standard and below loans to total loans, the bis capital ratio, the ratio of foreign liquid assets to foreign liquid liabilities, the ratio of risk weighted assets to total assets. Third, individual bank failure trends to erupt when the macroeconomic environment is weak, particularly when the GDP growth is low, the dishonored ratio of bills is high, the level of the M2 to international reserves is high, and there is large scale capital outflow. Among macro factors the level of the M2 to international reserves is the best early warning predictor.