은행의 시장성수신 비중 결정요인과 시사점
Analysis of Factors Affecting Banks' Wholesale Funding Ratio
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초록
본고는 글로벌 금융위기시 유동성 부족사태를 야기했던 시장성수신 비중이 상승하는 원인을 이론 및 실증 분석을 통해 살펴보았다. 이론모형을 설정하여 분석한 결과를 보면 시장성수신 비중은 은행이 경영안정성을 중시하는 정도가 낮을수록, 「시장성수신 조달비용-예금 조달비용」 격차가 작을수록, 금융시장 불안정시 시장성수신을 통한 자금조달비용의 상승폭이 작을수록, 미래 금융시장이 안정적일 확률이 높을수록, 예금수신기반의 확충으로 인한 예금조달비용 하락효과가 적을수록 확대되는 것으로 나타났다. 패널자료를 사용한 실증분석 결과 은행의 기본자본비율이 낮을수록, 자산규모가 클수록, 부실여신이 적을수록, 예금수신기반을 반영하는 변수인 지점수가 작을수록 시장성수신 비중이 높은 것으로 추정되었다. 거시변수로는 은행간 경쟁완화정도와 관련된 변수인 예대금리차가 축소될수록, 실질 GDP 증가율이 높을수록 시장성수신 비중이 높아지는 것으로 나타났다.
Abstract
This paper investigates factors affecting the wholesale funding ratio. The theoretical analysis shows that the following factors contribute to increase in the wholesale funding ratio: 1) a decrease in bank stability concerns, 2) a diminishing gab between the wholesale and deposit funding cost, 3) a smaller rise of wholesale funding cost when financial markets become unstable, 4) an increased possibility that financial markets will be stable, 5) a reduced effect of expanding deposit funding base on cutting deposit funding cost. The empirical analysis using the Korean bank data reveals that each bank's wholesale funding ratio increases when one of the following events occurs: 1) its core capital ratio or NPL ratio falls, 2) its market share rises, 3) the number of branches decreases, 4) the loan- deposit interest rate gap diminishes, 6) the GDP growth rises.
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