지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2011.5
- 수록면
- 193 - 223 (31page)
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This paper analyzes empirically on the relationship between the change in loan portfolio weightand GDP shock which is recognized as a systematic risk factor. The purpose of this paper is to determine whether Korean banks reduce their loan portfolio risks by flexible adjustment of their loan portfolios designed to escape risk from GDP shock. As the main results. Korean banks show a lending behavior of adjustment to portfolio weight on their loan asset that is sensitive to GDP shock. Moreover, this paper studies whether the effect from GDP shock to the change of loan portfolio weight are differential attributed to difference of bank ownership and location. As the result, we can find out that lending behavior of the Korean banks tends to reduce their portfolio risk in that significant adjustment for loan assets that are sensitive to GDP shock comes out when economy is stagnant. Oppositely, we also confirmthat the banks’ loan portfolio risk tends to increases in the light of the fact that the loan size with high variability in value to business cycle is getting bigger when the economy expands. Therefore, as the policy implication, we suggest that the financial authorities must note that the risk of the bank loan portfolios may increases during economic expansion rather than economic depression, and that advance supervisory action and related regulations are required.
목차
1. Introduction
2. Related Literature
3. Hypotheses and variables
4. Data and Sample statistics
5. Models for empirical analysis
6. Empirical analysis results
7. Concluding remarks
References
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UCI(KEPA) : I410-ECN-0101-2016-323-001231311