국내 은행대출의 경기순응성과 거시건전성 정책 = Procyclicality of Korean Domestic Bank Lending and Macro-prudential Policies

국문 초록 (Abstract)

금융부문의 과도한 경기순응성(pro-cyclicality)은 실물부문 변동을 지나치게 증폭하고 금융안정을 저해할 수 있다. 본 연구는 우리나라의 금융자유화가 이루어진 이후 지난 30여 년간의 국내은행 대출의 경기순응성을 실증적으로 분석한다. 분석 결과, 국내은행 대출의 경기순응성은 글로벌 금융위기 이후 크게 약화됐으며, 특히 기업대출은 경기와 무관하거나 경기역행적으로 증가한 것으로 나타났다. 이러한 실증분석 결과는 가계 및 기업신용의 경기순응성이 다르다는 점을 고려한 부문별 경기대응완충자본의 도입과 경기변동과 무관한 구조적 리스크에 대응하기 위한 거시건전성 정책이 필요하다는 점을 시사한다.

다국어 초록 (Multilingual Abstract)

Financial procyclicality refers to the phenomenon where the financial sector fluctuates in tandem with fluctuations in the real economy. For example, during periods of economic expansion, credit expands as the growth rate of bank loans rises, while during periods of economic contraction, the growth rate slows. This indicates the presence of procyclicality in the banking sector. Excessive financial procyclicality can overly amplify fluctuations in the real economy and undermine financial stability. South Korea has also learned lessons regarding financial procyclicality from past events such as the 2002 credit card crisis and the savings bank crisis that began in 2011.
This study aims to address the following questions by examining how the correlation between bank loans and economic growth rates has varied across different periods over the past 30 years since South Korea's financial liberalization. First, does financial procyclicality exist in South Korea's bank lending? Second, how has the degree of procyclicality differed across different periods, particularly around the global financial crisis? Third, are there differences in procyclicality depending on loan types (e.g., corporate loans, household loans)? Fourth, are there differences in procyclicality depending on bank types (e.g., commercial banks, regional banks, specialized banks)? Fifth, what factors contributed to the changes in the procyclicality of bank lending after the global financial crisis? By answering these questions, this study seeks to systematically and comprehensively understand how the procyclicality of domestic bank lending has changed since the global financial crisis and to propose policy measures aligned with the current state of procyclicality.
The analysis yields the following results: first, the procyclicality of domestic bank lending significantly weakened after the global financial crisis, with corporate loans in particular showing patterns of growth that were either unrelated to or countercyclical to the economy. Second, the weakening of procyclicality was particularly pronounced among general banks (commercial banks and regional banks). Third, an analysis of the Bank of Korea's Lending Attitude Survey data indicates that the weakening of procyclicality stems from changes in the perception of credit risk.
These empirical findings suggest that it is important to fully consider the differences in procyclicality between household and corporate credit. Specifically, they point to the need for macroprudential policies to address structural risks that are unrelated to economic fluctuations, such as introducing sector-specific countercyclical capital buffers that consider loan types (e.g., household and corporate loans).