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학술논문

Basel Ⅱ 도입의 은행대출 및 거시경제에 미치는 영향과 대응방안

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영문명: Basel Ⅱ in Korea: Its Effects on Bank Loans and Macroeconomic Implications
발행기관: 한국경제연구원
저자명: 오세경(Sekyung Oh) 이건호(Kun-Ho Lee) 한광석(Guangsug Hahn) 허찬국(Chan-Guk Huh)
간행물 정보: 『한국경제연구원 연구보고서』연구보고서 (2006-03), 1~144쪽, 전체 144쪽
주제분류: 경제경영 > 경제학
파일형태: PDF
발행일자: 2006.01.03

20,080원

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국문 초록

영문 초록

Basel Ⅱ, which improves upon Basel Ⅱ especially regarding regulating banking risk, will be implemented in 2006 in developed countries. The Korean financial supervisory service (FSS) has plans to abide to the Basel Ⅱ and is currently preparing for this. Most banks have already established a credit risk measurement system and is at the stage of establishing an operational risk measurement system for the Basel Ⅱ. However, while the preparation of banks is focused on technical aspects such as risk measurement methodology, there are still only a few studies on the possible macroeconomic impact of Basel Ⅱ. We believe that the execution of Basel Ⅱ may result in serious side effects if it is introduced without better understanding its macroeconomic impact. It is necessary to have a prudent plan preparing for its introduction, which includes rigorous analyses of its economic effect. The purpose of this paper is to look closely at the possible impact of Basel Ⅱ on the loan supplying behavior of domestic banks and consequently on economic growth. It is expected that banks will either raise loan interest rates or reduce loans against low-rated companies when the Basel Ⅱ comes into affect increasing the minimum capital requirement for loans. However, to verify the impact on the economy of the Basel Ⅱ, one should predict how the capital requirements for banks would change for different levels of credit rate, as well as the capital requirement of the bank industry. In this study, we calculate the change in the minimum capital requirements and the loan supplying behavior of domestic banks, based on data on the exposure and default probabilities for different internal credit rate levels. More specifically, we examine the loan supplying behavior in two directions. Firstly, we estimate Basel Ⅱ’s impact on loan interest rates provided assuming that banks maintain the same risk-adjusted rate of return as before by marking up the regulation costs due to Basel Ⅱ. Secondly, we estimate Basel Ⅱ’s impact on the loan amounts provided given that banks might maintain a regulation-related burden as before by reducing loans instead of marking up. In addition, for this latter case, the macroeconomic impact of Basel Ⅱ is analyzed using the KERI 2005 Model for four scenarios according to regulation method. Contrary to the general expectations of the banking industry, our study finds that the minimum capital requirements will be reduced only when the retail banking activities for small and medium enterprises are not considered. Even in such a case, the expansion of consumer loans tend to have a positive effect on the economy. Considering the retail banking, where this effect is reinforced, it can be concluded that the overall impact of the Basel Ⅱ on the economy is positive. The implication of our research is twofold. First, it removes the somewhat baseless nervousness in the general mood by presenting a possible positive impact of the Basel Ⅱ. Secondly, it identifies precisely those factors that might contribute to the positive impact of the Basel Ⅱ. Nonetheless, we recommend prudent interpretation of our results because our analysis leaves out the operational risk regulation of the Basel Ⅱ, and the loan market for small and medium enterprises and the fact that consumers may become saturated. Moreover, there is a possibility that the default probabilities used in this research may be a little too optimistic.