우리나라 은행산업의 변화와 수익성에 대한 연구 = A Study on the Profitability of Korean Banking Sector

다국어 초록 (Multilingual Abstract)

This study examines the factors that determine the use of derivatives by Korean local banks. To address the limited dependent variable problem, I use a tobit model. Several findings from empirical tests on 66 Korean local banks years over 2000-2004 are as follows; first, I find strong evidence that size is positively related to the use of derivatives. This result is supports the existence of scale and scope economies in derivatives markets. Additional supports are found in the results for sub-samples. Second, NIM is significantly negative. This suggests that Korean local banks use derivatives, at least in part, to protect their net interest incomes. Third, CHAR and FXLIQ are positively related to the use of derivatives, but the coefficients are not significant. I do not find evidence that Korean local banks are engaging in coordinated management of interest-rate risk and foreign-ex-change risk. If banks are practicing coordinated risk management, then the use of derivatives to hedge interest-rate risk and foreign-exchange risk should also be related to bank's credit and foreign currency exposure. Fourth, NIM is significantly positive. This finding supports the hypothesis that derivatives are used by Korean local banks as a hedging tool to reduce the possibility of financing distress.
The results provides the evidence that the use of derevatives by Korean local banks is higher for banks with bigger size, lower NIM and higher leverage. The findings of this study would suggest basic framework of study about the use of derivatives by banks.

목차 (Table of Contents)

• 목차
• Ⅰ. 서론
• Ⅱ. 금융환경의 변화
• Ⅲ. 은행의 파생상품 거래유인
• Ⅳ. 실증연구방법
• Ⅴ. 실증분석결과
• Ⅵ. 결론
• □ 참고문헌