은행의 자기자본이 통화정책의 파급경로에 미치는 영향

This article attempts to clarify empirically the impact of the capitalization of banks in the transmission of monetary policy shocks. As the ‘bank lending channel’ of monetary policy predicts, better capitalized banks are less affected by the impact of monetary policy than others. It means that better capitalized banks can raise funds they need in the financial market with less difficulty against the monetary shock of central bank. As also predicted by the ‘bank capital channel’ banks of which ‘maturity transformation cost’ is high are more affected by the impact of monetary policy. In addition, better capitalized banks are less affected by the impact of GDP shock. The results gives some implication about monetary policy and supervision policy. First, it is important that monetary policy takes into account the regulation of bank capital and its effect on the economy. Second, to reduce the procyclicality of bank lending, it is important for banks to raise enough capital. Authority should design and develop macroprudential policies instruments to this direction. This article is the first of its kind in South Korea, to have identified the role of bank capital in the transmission of monetary policy. To better analyze the bank capital channel, it is necessary to calculate the ‘maturity transformation costs’ more rigorously. Additional research to identify ways to measure this cost is required.