거시경제변수가 소상공인 신용위험에 미치는 영향 (Macroeconomic Factors and Credit Risk of Micro Businesses)

서지정보

· 발행기관 : 한국경영학회
· 수록지 정보 : 경영학연구 / 42권 / 4호 / 959 ~ 985페이지
· 저자명 : 윤경영, 김석진

초록

본 논문은 2000년 1월부터 2011년 12월까지 16개 지역신용보증재단을 대상으로 거시경제변수가 소상공인의 신용위험에 미치는 영향에 대하여 연구하였다. 분석결과는 다음과 같다.
첫째, 소상공인 신용보증사고율은 기간스프레드, 환율, 종합주가지수가 높으면 감소하고, 실업률, 신용스프레드, 지역별 어음부도율이 높으면 증가하였다. 이자율과 경기종합지수는 영향력이 없었다.
둘째, 권역별로 수도권에선 기간스프레드, 신용스프레드, 환율, 중부권에선 실업률, 이자율, 기간스프레드, 신용스프레드, 경상권에선 환율, 전라권에서는 실업률과 경기종합지수의 영향이 가장 크게 나타났다.
셋째, 구상채권회수율을 분석한 결과, 이자율과 신용스프레드가 음(-)의 영향, 경기종합지수는 양(+)의 영향을 미치는것으로 나타났다.
요약하면, 소상공인 신용위험은 거시경제변수의 변동에 따라 영향을 받으며 권역별로 결과가 조금씩 달랐다. 본 연구결과는 소상공인 정책 입안과 집행에 의미 있는 시사점을 준다.

영어초록

Micro businesses with employees of 9 or less play an important role in the Korean economy, which make up 88% of businesses and 38% of employees in Korea. Nonetheless, academic research has been neglected due to the lack of open data. The aim of this paper is to analyze how macroeconomic factors influence the credit risk of micro businesses.
The credit guarantee default rate and non-performing loans (NPL) recovery rate of 16 regional credit guarantee foundations were used as proxy variables for credit risk of micro businesses. Macroeconomic variables used in this paper are unemployment rate, interest rate, term spread, credit spread, composite business cycle index, exchange rate, and composite stock price index. Our sample period is from January 2000 to December 2011. OLS analysis and panel data analysis of the random effect model were employed as the research method.
Main findings are as follows. Term spread, exchange rate, and composite stock price index had a negative influence on the credit guarantee default rate, whereas unemployment rate and credit spread had a positive influence. However, interest rate and composite business cycle index had no significant influence.
An increase in the unemployment rate raised the credit guarantee default rate as shown in the previous studies. Interestingly, the effect of interest rate on the credit risk of micro businesses was not significant, whereas it was quite positively significant on the credit risk of medium businesses in the literature. This may be due to insufficient security and low credit status of micro businesses resulting in low loan volume and financial cost.
The higher the term spread, the lower the credit guarantee default rate becomes due to a positive signal for a better economic prospect. Credit spread had a positive influence, whereas it had no significant influence in the previous studies. The better the composite business cycle index, the lower the credit guarantee default rate becomes based on a positive economic prospect. According to the previous studies, the credit guarantee default rate increases as the increased exchange rate raises the import price of intermediate goods in micro businesses. However, it leads to a low credit guarantee default rate for micro businesses caused by an increased exchange rate raising export volume which in turn boosts the economy. The increase of the composite stock price index leads to high investment profits, hence reducing the credit guarantee default rate.
As for the NPL recovery rate, the interest rate had a negative influence and composite business cycle index had a positive influence. An interest rate with no significant influence on credit guarantee default rate was shown to be significant on the NPL recovery rate. As in previous studies, no significant correlation was found between NPL recovery rate and macroeconomic variables due to a time-lag regarding the credit guarantee default rate, security and bondsman and recovery activities.
Regional analysis shows that in the capital region, term spread and exchange rate had an influence on the credit guarantee default rate. Unemployment rate, term spread, and credit spread were significant in the central region, while exchange rate and unemployment rate were significant in the Gyeongsang region. In the Jeolla region, the unemployment rate and composite business cycle index were significant. Different results by regions may be due to varying characteristics of industry for each region, local government policy, and distribution of large businesses.
In short, government policies such as exchange rate, interest rate, and unemployment rate had an influence on the credit risk of micro businesses. Macroeconomic variables influencing the credit risk of micro businesses differed by region. Thus, an idiosyncratic approach is needed for policy making and execution for micro businesses such as increasing financial support with low interest rates to boost the economy or encouraging the unemployed to start their own businesses.
This paper did not include individual firm-level data of micro businesses. Furthermore, the time-lag between credit guarantee defaults and NPL recovery was not considered. Future studies could be made in regards to such limitations.

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