Basel 2의 도입이 중소기업대출이 경기순응성에 미치는 영향 = Article : Procyclicality of Loans to Korean SMEs under Basel 2

국문 초록 (Abstract)

새로 도입된 BaselⅡ는 은행이 유지해야 할 최소자기자본 규모를 산정할 때, 자금을 차입한 기업의 신용도에 따라 위험가중치를 차등 적용한다. 이러한 규제환경 하에서는 은행이 경기침체시에 대출을 감축하고 호황시에 대출을 증가시키는 경기순응성(procyclicality)의 대출행태를 보이게 될 가능성이 커져, 결과적으로 경기변동의 진폭을 더욱 확대시킬 수 있다는 우려가 그동안 학계와 실무계에서 지속적으로 제기되었다. 특히 신용도가 취약한 중소기업에 대한 대출이 경기순응성을 확대시킬 것으로 우려되어 왔다. 국내은행의 중소기업대출에 대한 실제자료에 BaselⅡ의 내부등급법을 적용하여 실증분석한 결과, 중소기업에 대한 은행대출의 경기순응성이 우려할 만큼 높지 않은 것으로 나타났다. 이는 중소기업 차주(借主)들이 주로 부도율이 높은 구간에 많이 분포되어있어, 부도율 변화에 따른 위험가중치의 변동폭이 부도율이 낮은 구간에 비하여 상대적으로 작은 데에 기인한다.

다국어 초록 (Multilingual Abstract)

Under the new BaselⅡ capital accord, the minimum amount of capital that a bank is required to hold against a given loan depends on the estimated credit risk of the borrower of the loan. Academics, practitioners and policy makers have repeatedly expressed their concerns about the potential procyclicality of BaselⅡ. For instance, in a recession when a bank`s capital base is likely to be eroded by loan losses, its existing non-defaulted borrowers will be downgraded by the bank`s credit rating system. Then the bank will have to hold more capital against its current loan portfolio. To the extent that it is difficult for the bank to raise additional capital in bad times, the bank will be forced to cut back on its lending activity. In particular, small and medium-sized enterprises (SMEs) will be more likely to be adversely affected by this cut in bank loans, which in turn will contribute to a worsening of the initial recession. Employing the actual data for SME loan portfolio of a commercial bank in Korea for the period from 1998 to 2006 (including the period of Asian financial crisis), we examine whether the feared procyclicality would have occurred had the BaselⅡ been in effect during the sample period. Based on the Internal Ratings Based approach prescribed by the latest BaselⅡ rules, we find that, contrary to frequently voiced concerns, the procyclicality of loans to Korean SMEs is not high enough to warrant alarm. Our data shows that the average minimum capital charge for loans to SMEs is 8.64%. Of particular interest to us is the fact that the standard deviation of minimum capital charges turns out to be 0.47%, which is lower than those typically found in developed countries. We attribute this lower than expected level of procyclicality to the fact that the increase in risk weights with respect to a small change in default rate is relatively small for the loans to Korean SMEs whose default rates are already high. Consequently, our evidence suggests that the additional amount of procyclicality of the loans to Korean SMEs under BaselⅡ, if any, is not likely to cause a big problem in the stability of Korean financial system.