본 연구는 17개 신흥국의 1999년 1분기~2018년 2분기 패널자료를 이용하여 글로벌 금융위기전후 신흥국 금융불안 결정요인 변화를 외국인 자금에 초점을 두고 분석하였다. 고정효과 패널분석결과 외국인 증권투자 및 기타투자 자금 유입 확대는 신흥국 금융불안지수 하락(금융불안 완화)에영향을 미치는 것으로 나타났다. 금융위기 이후 외국인 증권투자 유입이 신흥국 금융불안지수에미치는 영향이 확대되었고, 외국인 증권투자 중에서는 주식투자가 채권투자에 비해 영향이 큰것으로 나타났다. 반면 외국인 기타투자는 금융위기 이후 신흥국 금융불안지수에 미치는 영향력이축소된 것으로 분석되었다. 그리고 경상수지, 재정수지, 세계상품가격지수는 모두 금융위기 이후신흥국 금융불안지수에 미치는 영향력이 금융위기 이전에 비해 확대된 것으로 나타났다. 한국만을대상으로 한 반복최소자승법 분석에서는 금융위기 이후 외국인 증권투자, 외국인 주식투자, 외국인채권투자, 외국인 기타투자 모두 한국금융불안지수에 대한 음(-)의 영향력이 전반적으로 확대된것으로 나타났다. 또한 중국 금융시장불안이 한국 금융불안지수에 미치는 영향은 금융위기 이전음(-)에서 금융위기 이후 양(+)으로 바뀌었고 최근까지 양(+)의 관계가 지속되고 있는 것으로분석되었다.
This paper analyzes changes in determinants of financial stress in emerging economies before and after the global financial crisis (GFC) by using panel data ranging from 1Q1999 to 2Q2018 covering 17 emerging countries. In particular, we focus on foreign capital flows in emerging countries due to structural changes in the global capital flows since the GFC. The Financial Stress Index (FSI) is used to measure financial instability systematically and comprehensively. FSI is calculated as a single index and consists of three sub-sectors such as money market, FX market and stock market.
The results of the fixed effect panel regression show that the negative effect of foreign portfolio investment on the FSI after the GFC increases compared to the pre-crisis period, while the negative effect of foreign other investment (e.g. loans) decreases. In the case of foreign equity and debt securities, the negative effect of foreign equity securities on financial stress is greater than that of foreign debt securities. In the case of other variables, the negative effect of the current account balance, the fiscal balance, and the global commodity price index on the FSI in post-crisis period expands compared to the pre-crisis period. Next, we analyze dynamic changes in determinants of financial stress in Korea using the recursive least squares method. The results indicate that the negative effect of foreign portfolio investment and foreign other investment on financial instability generally lifts after the GFC. Dynamically, the magnitude of these impacts greatly elevated right after the GFC and has continued. To be more specific, the negative impact of foreign portfolio investment on the Korean FSI after the GFC dramatically rises compared to the pre-crisis period, while the negative impact of foreign other investment (e.g. loans) slightly increases. In addition, the influence of unrest in the China stock market on the Korea FSI changed from negative (-) to positive (+) immediately right after the GFC, and this positive relationship has continued up to recently.
The results indicate that foreign portfolio investment and foreign other investment as well as current account and fiscal balance, and world commodity price index, warrant close monitoring to identify and prepare for financial risk in Korea and emerging economies. Our study also suggests that Korean policy authorities should strengthen their monitoring of the Chiness financial market and review the current macro-prudential measures focusing on the banking sector. In particular, this is because the influence of foreign portfolio investment on financial stress has become larger than that of foreign other investment.