글로벌 금융위기 전후 국내 외환스왑시장의 상호연계성 및 경기순응성 분석: 네트워크 지표분석을 중심으로

This paper analyzes the inter-connectedness and pro-cyclicality by calculating the network index among the swap banks during the period of 2005 ~2012, in order to grasp the cause of the suddenly surging instability in the FX swap market during the global financial crisis in Korea. As a result of the analysis, the network structure of the FX swap market was accumulatively intensified when the liquidity was in good condition, so that the inter-connectedness became stronger. But it was rapidly weakened due to the external shock caused by the global financial crisis. In particular, as a result of analysing by newly adopting SwapRank, which indicates the level of impact on the FX swap market network by individual swap bank, the influence of swap banks increased considerably during the global financial crisis, futhermore the top rankers of SwapRank decreased swap supply (sell&buy) even more, and consequently the instability in the FX swap market amplified wide-spreadingly. In addition, the simulation that assumes that external shocks at the level of the global financial crisis may recur on the network structure of the FX swap market at the end of December 2012, shows that the FX swap market instability at the global financial crisis level is likely to occur.