바젤 2 도입과 은행의 대출행태 분석 = Basel 2 and Banks` Lending Behavior: A Simple Model

다국어 초록 (Multilingual Abstract)

This paper proposes a model of banks` lending behavior which incorporates obligor`s credit rating and introduces sectors in the economy to analyze the effects of Basel II on bank lending. Main analytical results are as follows: First, even if the minimum required capital is shown to increase from the Quantitative Impacts Study for the adoption of Basel II, it does not necessarily mean the decrease of bank lending. Moreover, even though the minimum required capital of a sector in the economy decreases while adopting Basel II, it does not necessarily imply the decrease of bank lending for the sector. Second, the effects of credit risk shocks in a sector on bank lending under the current Accord are qualitatively different with those under Basel II. Third, when regulators change the required capital ratio to mitigate the procyclicality of bank lending under Basel II, it would be more effective to implement it only into the sectors hit by credit risk shocks rather than into all sectors.