금융발전은 경제안정에 긍정적인 효과와 부정적인 효과를 모두 미칠 수 있으며 금융발전-경제 변동성 간의 관계에 대한 실증분석 결과 역시 뚜렷한 결론을 내리기가 어렵거나 U자형의 비선형관계가 나타나기도 한다. 이 연구는 금융발전과 경제안정의 관계에 대한 선행연구들을 광범위하게 검토하는 한편 한국의 금융발전과 경제안정 간 관계에 대해 분석한다. 한국의 시계열자료를 바탕으로 분석한 결과 한국에서는 금융발전이 경제안정을 가져온다는 결과를 얻었다. U자형과 같은 비선형 관계는 나타나지 않았으며 1997년 외환위기 이후 금융발전이 경제안정을 제고하는 효과가 강해졌음을 발견하였다. 이러한 분석 결과에 따르면 한국의 경우 앞으로도 계속해서 금융발전을 적극 도모할 필요가 있음을 알 수 있다. 그러나 2007~2009 글로벌 금융위기에서 알 수 있듯이 과도한 금융발전 또는 금융과잉의 경우 경제변동성을 확대하거나 금융위기 가능성을 높일 수도 있음에 유의할 필요가 있다.

There are various paths through which financial deepening affect economic stability. Firstly, a developed financial system can enhance economic stability by providing tools of investment diversification, risk management and insurance functions to firms, households and the government. On the other hand, as the financial sector grows, the volatility of the economy may increase as the leverage of the overall economy grows and the risk seeking of economic agents expands. Theoretically, these two opposite causal relations between financial development and economic stability are possible. In addition, empirical test results are also difficult to draw clear conclusions about the relationhip. According to recent empirical studies such as Sahay et al. (2015), there can be a nonlinear relationship between financial development and economic volatility. This paper summarizes the related previous literature as the first step to study the relationship. Next, based on the Korean time series data, empirical tests are made on the relationship between financial development and economic stability in Korea. The methodology of the empirical analysis is similar to Cermeño et al. (2016) and Darrat et al. (2005). Variables representing financial development are the ratios of M2/GDP, Liquidity Aggregates of Financial Institutions/GDP, Liquidity Aggregates/ GDP, and Total Loans/GDP. These variables do not reflect the qualitative aspects of financial development. They reflect only the quantitative aspects. It is not easy, however, to measure the qualitative levels of financial development for a single country. It is also difficult to track and compare the changes in qualitative aspects of financial development over time, and thus this paper does not include qualitative variables. The variable for the economic stability is the conditional variance of the real GDP growth rate. As the first empirical test to examine the effect of financial development on economic volatility in Korea, we add variables for financial development to a typical ARMA(p₁,q₁)-GARCH(p₂,q₂) model. The test results show financial development has a positive effect on economic stability. In general, as the economy grows and its size increases, the growth rate declines and its volatility declines. In this case, so the decline in conditional variance may be due to the growth of the economy itself, not to the financial development. In order to check this problem, we estimate a model that includes the economic growth rate as an exogenous variable. As a result, it is not too much to conclude that even if the economic growth rate is controlled, financial development generally has positive effects on economic stability. Moreover, in order to test the non-linearity of the U-shaped relationship between financial development and economic stability, we perform a regression analysis which includes squares of the variables for financial development. The test results show that the coefficients of the squares of the variables for financial development are not statistically significant. Therefore, there is no reason to believe that the Korean financial sector has developed too much to hamper economic stability. By the way, it is necessary to examine whether there has been a structural change in the relationship between financial development and economic stability during the 1997 financial crisis and the 2007-2009 global financial crisis. We add the dummy variables for the 1997 crisis and the 2007-2009 crisis period. The results suggest that financial development has a positive effect on economic stability for the whole period, mainly because of the effect in the period after the 1997 crisis. However, unlike the 1997 crisis, the dummy variables corresponding to the period after the 2007-2009 financial crisis do not show statistically significant results. The implication of the empirical analyses is that in the case of Korea, it is necessary to continuously pursue financial development in the future. However, as can be seen from the 2007-2009 global financial crisis, too excessive financial development may increase economic volatility or the possibility of a financial crisis. Considering these points, it is necessary to make efforts to maintain economic stability and lower the possibility of a financial crisis, while constantly promoting financial development.