글로벌 금융위기 전후 국내은행의 경영성과 결정요인에 대한 연구 = An empirical study on the determinants of domestic banks’ performance : before vs after global financial crisis

다국어 초록 (Multilingual Abstract)

We study empirically the determinants of Korean commercial banks' performance with correlation and multiple regression analysis with the sample period covered from the fourth quarter of 1999 to the fourth quarter of 2012. We employ the banks' internal data such as NPL, NIM(net interest margin), total asset, number of branches and employee, liquidity ratio as well as the bank’s external variables, that is, macro economic variables such as GDP, KOSPI, Won/Dollar exchange rate, call and KTB(Korea treasury bond) rates. The major empirical results are as follows;
First, during the whole sample period, bank profitability(ROE) has a positive(+) relation with NIM, BIS ratio, savings account, total asset, total loan size and no. of branch but a negative relation with NPL, liquidity ratio and no. of employees. Also, Korea’s commercial banks’ ROE has a positive relation with KOSPI but a negative relation with GDP, call and KTB rates and Won/Doll exchange rate.
Second, after the 2008 global financial crisis, the correlation between NIM and no. of employee and the ROE is increased but the remaining other internal variables’ influence on the commercial banks’ ROE has decreased.
Third, among the commercial banks’s external variables, there is no significant change in the impact of Won/Dollar exchange rate on the commercial bank’s ROE after financial crisis. However, the correlation between the call rate and the ROE is increased but the remaining other internal variables’ influence such as GDP, KOSPI and KTB rate on the commercial banks’ ROE has been decreased.
Fourth, according to the regression analysis, the change of total asset, BIS ratio and saving account balance have a statistically significant influence on the Korea’s commercial banks’ profitability during the whole sample period as well as before and after financial crisis period.
From these empirical results, we infer that these empirical results are informative for the government offcial to set a commercial banks’ regulations and policy and for the bank management to set up a asset operation and risk management system.