금융 시스템리스크를 감안한 금융기관 자기자본 규제정책

Financial systemic risk issues have become important since global financial crisis of 2008. Financial regulatory and supervisory policies had largely focused on how to maintain the soundness of individual financial institutions based on the belief that sound individual financial institutions guarantee against financial systemic risk. In particular, Basel Ⅱ changes bank capital regulation in such a way that bank credit risks are not severely affected by changes in borrowers’ creditworthiness. However, the bank capital regulation in Basel Ⅱ does not take financial systemic risk into account but mainly concerns the soundness of individual banks. Moreover, Basel Ⅱmay induce procyclicality problem because loose bank capital regulation enables bank lending to grow further in boom periods while bank lending contracts due to tight bank capital regulation in recession periods. On the one hand, following Basel Ⅱ bank capital regulation, a financial regulator may be faced with procyclicality problem. On the other hand, if a regulator adjusts bank capital regulation so as to dampen business cycle fluctuations in recession periods, it may worsen the soundness of individual banks. This demonstrates the trade-off between macroeconomic stability and financial stability from a financial regulation policy perspective. This paper addresses financial regulator’s decision problem which should take both macroeconomic stability and financial stability into account. I present a model to analyze the effects of financial regulation policy on bank lending and financial systemic risk. This model can provide financial regulators with informations about the trade-off between macroeconomic stability and financial stability and therefore help them to form regulation policy. The model presented in this paper can analyze the trade-off between macroeconomic stability and financial stability and also is designed to incorporate many realistic assumptions. For example, the model assumes multiple banks, and each bank has heterogeneous borrowers with different creditworthiness. Credit ratings are assigned according to internal methods and change due to common or idiosyncratic shocks. The model is basically designed for a single period but extends for multi-periods without difficulty. Main findings are : (ⅰ) Regulation policies for enhancing macroeconomic stability might deteriorate financial stability in a severe recession period. (ⅱ) The effects of regulations may be dependent upon banks' lending behavior. (ⅲ) The effect of reducing capital requirement upon bank lending in a recession period is greater under Basel II than under Basel I. (ⅳ) In a dynamic analysis, regulation policies for enhancing macroeconomic stability might lead to deteriorated financial stability in the future, if current recession cannot rebound quickly.