네트워크를 통해 분석한 국내 금융기관간 상호연계성 연구 - 외환위기와 글로벌금융위기를 중심으로-

In this paper we estimate systemic risk by analyzing interconnectedness between financial institutions, and between financial institutions and non-financial industries in Korea. The result show that interconnectedness between financial institutions was very high during the financial crises such as the 1997 Currency Crisis, the 2008 Global Financial Crisis, and the European Sovereign Debt Crisis. In particular, systemic risk during the 1997 Currency Crisis caused by domestic reasons was much higher than that caused by other external shocks. During the 1997 Currency Crisis, the risk in the financial sector was spread to non-financial sector, creating significant national economic crisis. It is also found that the patterns of interconnectedness before and after the 1997 Currency Crisis are different. The systemic risk was higher before the Currency Crisis, and it was commercial banks that were at the center of systemic risk. After the Crisis, the systemic risk is more driven by investment banks or insurance institutions. These results suggest a major shift in the Korean financial industry from commercial banking to market-based financing. In conclusion, the stability of investment banks plays a crucial role for the entire financial system.