국내 은행들의 완충자본은 평균 회귀적인가? = Are Capital Buffers of Korean Banks Mean-Reverting?

국문 초록 (Abstract)

본 연구는 최근 금융권의 주요 이슈가 되고 있는 완충자본제도 도입과 관련해서 국내 은행들의 경우 완충자본의 평균적 수준으로서의 목표에 대한 회귀성향이 존재하는 지를 통계적으로 검증하였다. 주요 분석결과는 다음과 같다. 첫째, 은행들은 자체적으로 설정한 완충자본의 목표수준에 미달할 경우 신용리스크 축소를 통해 완충자본의 괴리를 조정하는 경향을 보여주었다. 둘째, 기업대출의 축소를 통 한 신용리스크 조정에 유의적 영향을 미치는 변수는 완충자본의 괴리도 외에 은행의 수익성 변화, 소 수은행의 시장점유율 변화, 은행산업대비 자본시장의 규모, 통화정책 변화로 나타났다. 결론적으로 국 내 은행들의 경우 지난 외환위기와 글로벌 금융위기의 경험을 토대로 신용리스크의 조정을 통해 완충 자본의 목표치를 유지할 만큼 리스크관리시스템이 제대로 가동되고 있다고 사료된다

다국어 초록 (Multilingual Abstract)

This study examines whether the tendency of mean-reverting of capital buffers to goals as the average levels of capital buffers in Korean banks exists at the time of introduction of capital buffer system that is becoming main issue. Major test results are as follows. First, it shows that Korean banks tend to adjust discrepancy of capital buffer by reducing credit risk if capital buffer established by themselves is less than the goal of capital buffer. Second, it is found that the variables affecting significantly adjustment of credit risk through reducing the execution of loans are the change of profitability of banks, the change of market share possessed by a few banks, the change of size of long-term capital market to banking industry, and the change of monetary policy as well as discrepancy of capital buffer. As a result, it is thought that Korean banks are working well risk management system in that the goal of capital buffer is maintained by adjusting credit risk based on the past experiences such as Asian currency crisis of 1997 and financial crisis of 2008.

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 선행연구 및 연구가설
• Ⅲ. 자료 및 모형
• Ⅳ. 분석결과
• Ⅴ. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

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