금융안정성 판단 지수의 추정 및 실물경기 리스크 예측력 평가

We develop a financial stability index that can adequately reflect Korea’s financial risks, and apply it to empirically analyze the impact of the heightened financial risks on macroeconomic downside risks. The financial stability index is composed of monthly indicators categorized by five blocks; financial institution, financial market, asset prices, credit, and real economy. We use various methods and different combination of indicators to find the index which performs the superior early-warning ability to predict financial crises and the periods of heightened financial risks. Based on the noise-to-signal-ratio comparison, the financial stability index, derived from the two-step dynamic factor model estimation without indicators from the real economy and credit blocks, shows the best predictive power. Compared to the predictive power of the Bank of Korea’s Financial Stability Index, that of our financial stability index is found to be significantly improved. In order to analyze the relationship between financial risks and macroeconomic downside risks, we use the multi-quantile regression method and estimate the distribution of future GDP growth rates using our financial stability index, We find only the lower quantile coefficients are statistically significant and large. It means the heightened financial risks may increase the downside risks of future GDP growth rate. This result emphasizes the importance of the macroprudential policy for the purpose of macroeconomic stabilization. It also implies that the proper policy mix between the macroprudential policy and the traditional macroeconomic policy, such as monetary policy, can improve the effectiveness of policy implementation.