경기대응완충자본 제도의 국내도입 방안에 관한 연구
The Countercyclical Capital Buffer: Its Application in Korea
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초록
본 연구는 우리나라에서 경기대응완충자본(countercyclical capital buffer) 제도를 도입하는 과정에서 제기될 수 있는 이슈들을 검토함으로써 제도 도입의 바람직한 방향을 모색하는데 목적이 있다. 특히 경기대응완충자본 적립의 준칙지표를 과거 위기경험을 토대로 평가한 결과 BCBS가 제안한 신용-GDP 갭외에 적어도 가계부채-가처분소득 갭을 추가하여 설정하는 것이 바람직할 것으로 나타났다. 다만 신용-GDP 갭을 계산함에 있어 BCBS의 제안과는 달리 의 값을 다소 낮게 설정할 필요가 있다. 경기대응완충자본의 사용은 특별한 준칙에 따르기보다는 관련 변수들을 면밀히 검토하면서 당국의 재량에 따라 즉시 이루어질 필요가 있다. 실제 제도의 운영은 중앙은행과 감독당국이 공동으로 수행하는 것이 바람직할 것으로 판단된다.
Abstract
Basel III introduces countercyclical capital buffers as a macroprudential tool to protect banking system from the increase in systemic risk. This paper attempts to provide some practical guidance on operating countercyclical capital buffers in Korea. The statistical evidence presented in the paper indicates that the credit-to-GDP gap performs well, but the household debt-to-disposable income gap seems to have incremental information as a conditioning variable for the build-up phase. Nevertheless, some degree of judgment in buffer decision is inevitable, particularly in the release phase. It is recommended that the countercyclical capital buffers are jointly operated by the regulatory authority and the central bank.
참고문헌 (16)
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