기술금융과 거시경제를 고려한 은행 경영건전성 예측에 관한 연구

This study aims to predict future bank management soundness by considering macroeconomic factors and technology finance, identifying the effects on the loan-to-deposit ratio (LDR) that represents bank management soundness, and providing implications for financial institutions regarding responses to macroeconomic fluctuations and the expansion or contraction of technology finance. Monthly data from July 2014 to June 2024 was applied, with the loan-to-deposit ratio as the dependent variable and technology finance credit loans, interest rates, consumer price index, small business manufacturing production index, and overall industry production index as the independent variables. To achieve this, an LSTM forecasting model was constructed, and a multi-step approach was applied to derive future predicted LDR values. Following this, SHAP analysis was conducted to identify the contribution of variables affecting the predicted LDR values. The differentiation of this study lies in the prediction of LDR values using the multi-step method and the contribution hypothesis testing through SHAP analysis. However, representing bank management soundness solely with the LDR may be somewhat limiting, and there are constraints in the study due to the exclusion of a wider range of variables in the prediction analysis. Addressing these limitations in future research on bank management soundness would likely allow for the development of a more sophisticated predictive model and a broader understanding of bank management soundness.