가계대출, 연체율, 그리고 시스템적 리스크

This study examines whether the growth of household loans being issued in Korea actually has a negative effect on overall financial system. To this end, the paper investigates that household loans are associated with systemic risk known as core of macro-prudential policy. Also the paper explores dynamic relationships between systemic risk and delinquency rate,more substantial insolvent index. We find that systemic risk rises subsequent to the growth of household loans. In particular,systemic risk is related more to household loans from non-banks than to those from banks, and more to unsecured loans than to secured loans. The expansion of household loans on cards,capitals, credit unions, and mutual saving banks among non-bank financial institutions are positively associated with systemic risk increases. In terms of time lag between variables, it is observed that the increase of systemic risk is followed by four months of entire household loans,by four months of card loans, by two months of credit union/mutual saving banks loans, and by one month of capital loans. We also discover that delinquency rate rises subsequent to systemic risk increases. Most of delinquency rates such as mortgage, credit, and card are followed by three months of systemic risk increases. Consequently, it is inferred that systemic risk increase is subsequent to household loans growth and is followed by delinquency rate in a sequential relationship among household loans, delinquency rate, and systemic risk. This study provides various substantial policy implications for the design of an early warning system and macro-prudential policy. The authorities can reduce the risk through an adjustment of consumer credit rating and a control of loan-to-value ratio at that point where systemic risk increases by the expansion of household loans. The authorities also perform macro-prudential policy in a timely manner with respect to non-bank financial institutions by which systemic risk is affected.