은행의 수익 및 자산구조를 반영한 통화정책 위험선호경로 (Monetary Policy's Risk-Taking Channel in Consideration of Bank's Profit and Asset Structure: Evidence from Korea)

41 Pages Posted: 12 Feb 2019

See all articles by Uijin Kim

Uijin Kim

Economic Research Institute, Bank of Korea

Hosung Jung

The Bank of Korea; Bank of Korea - Economic Research Institute

Date Written: February 11, 2019

Abstract

Korean Abstract: 이 논문에서는 은행별 BIS비율에서 도출한 자산에 대한 위험가중치를 이용하여 금리와 은행의 수익 및 자산구조가 은행의 위험수준에 미치는 영향을 살펴보았다. 분석결과, 우리나라의 경우 단기금리가 상승(하락)하면 은행의 위험수준이 하락(상승)하는 것으로 나타났으며 순이자마진이 높은 은행일수록 이러한 위험수준의 변화가 일정부분 상쇄되었다. 아울러 은행이 위험평가방식으로 내부등급법을 채택한 경우 표준방법을 채택한 경우보다 자산구조(대출만기, 여신비율, 단기자산비율)가 은행의 위험 수준에 크게 영향을 미치는 것으로 나타났다. 본 논문은 은행별 자기자본규제에서 도출한 은행의 위험수준을 이용하여 금리가 은행의 위험수준에 미치는 영향을 살펴본 최초의 시도로 통화정책과 거시건전성정책의 상호 연계성을 분석하였다는 점에서 의의가 있다고 생각한다.

English Abstract: This paper explores the effect of an interest rate change on the risk-taking of a bank in consideration of its profit and asset structure. The risk-taking is proxied by the risk weight of a bank, derived from its BIS capital ratio. We show that in Korea, an interest rate increase (decrease) make a bank bear less (more) risk. The risk-taking of a bank more profitable is less sensitive to an interest rate change. In addition, the asset structure, such as ratio of loan to total asset and ratio of short-term asset to total asset, of a bank adopting internal ratings based approach for its asset risk assessment, has more impact on bank’s risk-taking than one with standardized approach. This paper is the first attempt to use the risk weight of a bank under capital regulation to analyze the relation between an interest rate change and bank’s risk-taking. It thus contributes to the literature by the use of direct measure for risk-taking of a bank and by showing the interaction between monetary policy and macroprudential policy.

Note: Downloadable document is in Korean.

Keywords: Monetary Policy, Risk-Taking, Interest Rates, Bank’s Profit and Asset Structure

JEL Classification: E52, G21, G28

Suggested Citation

Kim, Uijin and Jung, Hosung, 은행의 수익 및 자산구조를 반영한 통화정책 위험선호경로 (Monetary Policy's Risk-Taking Channel in Consideration of Bank's Profit and Asset Structure: Evidence from Korea) (February 11, 2019). Bank of Korea WP 2019-7. Available at SSRN: https://ssrn.com/abstract=3332099 or http://dx.doi.org/10.2139/ssrn.3332099

Uijin Kim (Contact Author)

Economic Research Institute, Bank of Korea ( email )

110, 3-Ga, Namdaemunno, Jung-Gu
Seoul 100-794
Korea, Republic of (South Korea)

Hosung Jung

The Bank of Korea ( email )

39, Namdaemun-ro, Jung-gu
Seoul, 04531
Korea, Republic of (South Korea)

Bank of Korea - Economic Research Institute ( email )

110, 3-Ga, Namdaemunno, Jung-Gu
Seoul 100-794
Korea, Republic of (South Korea)

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