발젤 3가 우리나라 은행의 대출스프레드에 미치는 영향 = The Impact of Basel 3 on Lending Spreads in Korean Banking Industry

다국어 초록 (Multilingual Abstract)

Banks alter the capital structure and composition of their asset and liability when the capital of liquidity regulation is strengthened, which affects the bank`s profitability leading to the decline in ROE. This paper employs methodology proposed by King(2010) and Elliot(2010) in order to asses the impact of the Basel Ⅲ capital and liquidity regulation on the bank lending spreads under the assumption that banks try to maintain the level of ROE prior to the change in regulation. Empirical estimation results show that lending spread increases by 8.38bp when the capital regulation is tightened by 1%p. However, the required increase in lending spreads decreases to 6.79bp, 6.27bp and 5.59bp when the banks tolerate the decrease of ROE by 10bp, 15bp, and 20bp respectively. Lending spreads increases linearly when capital regulation increases incrementally and the lending spread increases up to 50.30bp when the capital regulation is tightened by 6^p while the required increase in lending spreads decreases if the banks are ready to tolerate the decrease in ROE. Banks are analyzed to increase the lending spreads up to 21.1bp in order to achieve the target NSFR of liquidity regulation. Incorporation the capital regulation of maximum 6%p, lending spread is estimated to increase up to 71.40bp.