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은행의 자기자본이 통화정책의 파급경로에 미치는 영향

The Effect of Capitalization of Banks on the Transmission of Monetary Policy:Empirical Evidence from Korea

박형근
예금보험공사 (Korea Deposit Insurance Corporation)|2013.12|금융안정연구 (Financial Stability Studies)|제14권 제2호|pp. 1-34

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참고문헌

키워드

거시건전성정책자기자본규제은행대출경로Macroprudential policy은행자본경로만기전환비용Bank lending channelBank capital channelMaturity transformation costBank capital regulation
주제분류경제학

초록

본고는 통화정책의 파급경로 중 은행대출경로 및 은행자본경로에서 은행자본의 역할을 분석하였다. 먼저 은행대출경로의 이론과 부합하게, 자기자본비율이 높은 은행일수록 통화정책 충격에 대한 은행대출의 반응이 둔감한 것으로 나타났다. 이는 자기자본비율이 높은 은행은 양호한 건전성을 바탕으로 대체 자금조달을 상대적으로 쉽게 할 수 있기 때문인 것으로 보인다. 다음으로 은행자본경로의 이론과 부합하게, 만기전환비용(maturity transformation cost)이 커서 이익유보를 통한 자기자본의 적립이 어려운 은행일수록 통화정책 충격에 따른 은행대출의 위축이 더 큰 것으로 나타났다. 한편 자기자본비율이 높은 은행일수록 경기가 대출에 미치는 영향이 작은 것으로 나타나 자기자본 확충이 이루어질수록 경기순응성이 완화되는 것으로 판단이 된다. 이상과 같은 분석결과는 통화정책 및 감독정책과 관련하여 다음을 시사하고 있다. 먼저 은행의 자기자본이 통화정책의 효과에서 추가적인 변수로 작용한다는 점에 유의할 필요가 있다. 자기자본비율이 높거나 자산규모가 큰 은행일수록 자금조달 능력이 우수하므로 통화정책의 영향을 덜 받음에 유의하여 정책을 운용해야 할 것으로 생각된다. 만일 은행산업이 이러한 은행들 위주로 구성되어 있다면 통화정책의 파급경로 중 신용경로는 그 효과가 제약될 것이다. 그리고 자기자본비율이 높은 은행일수록 경기순응성이 작은 것으로 나타난 분석결과를 감안할 때 자본확충 노력이 중요하다. 마지막으로 은행의 자기자본이 통화정책의 파급과정에서 중요한 역할을 한다는 점을 고려할 때 자기자본비율 관련 규제정책과 통화정책의 조화로운 운용을 위해 정책당국들이 노력해야 할 것이다.

Abstract

This article attempts to clarify empirically the impact of the capitalization of banks in the transmission of monetary policy shocks. As the ‘bank lending channel’ of monetary policy predicts, better capitalized banks are less affected by the impact of monetary policy than others. It means that better capitalized banks can raise funds they need in the financial market with less difficulty against the monetary shock of central bank. As also predicted by the ‘bank capital channel’ banks of which ‘maturity transformation cost’ is high are more affected by the impact of monetary policy. In addition, better capitalized banks are less affected by the impact of GDP shock. The results gives some implication about monetary policy and supervision policy. First, it is important that monetary policy takes into account the regulation of bank capital and its effect on the economy. Second, to reduce the procyclicality of bank lending, it is important for banks to raise enough capital. Authority should design and develop macroprudential policies instruments to this direction. This article is the first of its kind in South Korea, to have identified the role of bank capital in the transmission of monetary policy. To better analyze the bank capital channel, it is necessary to calculate the ‘maturity transformation costs’ more rigorously. Additional research to identify ways to measure this cost is required.

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