은행의 자금 조달과 운용간 만기불일치 결정요인
An Analysis of Factors Affecting Korean Banks' Maturity Mismatch
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초록
국내 은행들의 자금 조달과 운용간 만기불일치 비율((단기조달-단기운용)/총조달)은2000년대 중반 이후 글로벌 금융위기 직전까지 상승하는 추세에 있었다. 한편 글로벌금융위기 직전 만기불일치 정도가 높았던 은행들이 글로벌 금융위기 기간중 정책당국으로부터 긴급유동성을 더 큰 규모로 공급받은 것으로 드러났다. 일반균형모형을 설정하여 만기불일치 결정요인에 관해 이론분석한 결과 경제주체들의위험기피정도 등 다양한 요인들이 만기불일치에 영향을 미치는 것으로 나타났다. 국내은행의 만기불일치 확대 요인에 관한 실증분석 결과를 보면 은행의 경영안정성 중시 정도를 반영하는 기본자기자본비율이 낮을수록, 자산형성면에서 장기예금과 대체관계에있는 주택 및 주식 가격의 상승률이 높을수록, 금융기관 전체 수신중 자산운용사 수신비중이 높을수록 은행의 만기불일치 정도가 상승하는 것으로 추정되었다. 또한 은행간경쟁이 심화되어 「대출금리-예금금리」 격차가 축소되면 만기불일치 정도가 높아지고장단기 금리차가 확대되면 장기예금에 대한 선호도가 상승하면서 만기불일치 정도가 낮아지는 경향이 있는 것으로 나타났다.
Abstract
This paper measures banks' maturity mismatches using 「(short term funding - short term fund management)/total funding」 ratio. The domestic banks' average maturity mismatch ratio had increased significantly since mid-2000s until the third quarter of 2008, in which the global financial crisis broke out. Meanwhile, this paper finds that domestic banks whose maturity mismatch rates were higher before the financial crisis received greater amount of liquidity support from the government and the central bank after the financial crisis. The result of theoretical analysis using the general equilibrium model shows that a variety of factors including agents' risk aversions affects a bank's maturity mismatch. According to the empirical analysis, the lower the core capital ratio, an indicator reflecting banks' risk management efforts, the greater is the maturity mismatch. And, increases in prices of residential housing and stocks, which are substitute for long term deposits, bring rise in the maturity mismatch. Finally, the higher the severity of competition among banks and the lower the maturity spread, the greater is the maturity mismatch.
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