비트코인 가격 변동성이 국내 차주의 대출 건전성에 미치는 영향

The Impact of Bitcoin Price Volatility on Loan Soundness Individual Borrowers in Korea

This study investigates the effects of cryptocurrency market volatility—specifically Bitcoin price volatility and search volume volatility—on the soundness of individual loans. As Bitcoin continues to attract investors despite its extreme price fluctuations, individuals increasingly rely on non-bank credit, often at higher costs and risk, to fund speculative investments. Using panel data on over 100,000 borrowers, we examine how both price-driven and attention-driven volatility impact the ratios of non-bank loans to total loans and non-bank loans to bank loans. Our fixed effects and VAR analyses reveal that heightened volatility significantly increases the share of non-bank loans, particularly among borrowers already dependent on such financing, thereby weakening loan soundness. Conversely, those with existing access to bank credit tend to mitigate volatility risks by drawing on lower-cost loans. We also identify bidirectional relationships, where increased non-bank borrowing feeds back into greater cryptocurrency volatility. These findings suggest that cryptocurrency-induced credit expansion may amplify systemic risk and underscore the importance of incorporating cryptocurrency indicators—such as price spikes and search volume surges—into credit risk assessments. The study highlights the need for targeted macroprudential policies that reflect the interaction between digital asset markets and consumer borrowing behavior.