거시경제변수가 소상공인 신용위험에 미치는 영향

다국어 초록 (Multilingual Abstract)

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 une

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