외국자본유입이 우리나라 은행산업의 효율성에 미치는 영향

Effects of Foreign Capital Inflow on Efficiency of Bank Industry

The purpose of this study is to estimate and analyse the relationship between efficiency of bank industry and macroeconomic variables. We employ Johansen’s multivariate cointegration methodology, since the model must be stationary to avoid the spurious results. The empirical results show that our model is stationary as well as mean-reverting. This paper also applies impulse-response functions to get additional information regarding the responses of the bank spread to the shocks economic variables such as long and short term interest rates differential, banking organ liquidity, business cycle index, and foreigner’s net equity investment. The results indicate that while the bank spread respond positively to liquidity and equity investment shocks and then decay very quickly.