바젤Ⅲ 자기자본규제가 국내은행의 유가증권 운용행태에 미치는 영향

The recent financial crisis has revealed that banks' pro-cyclical behavior could aggravate a real economic crisis. This study examines whether bank capital regulation affects pro-cyclicality of banks’ security investments. The empirical results show that in the post-BASEL Ⅲ regime, which was introduced in 2013, domestic banks' regulatory capital reserves have affected their net investments in 'available-for-sale' securities and the effects have been substantial. The results mean that after the introduction of BASEL Ⅲ, domestic banks tend to adjust the size of their risky assets more sensitively, exhibiting potential pro-cyclical features in security investments. This study also finds that changes in domestic banks' credit risk exposure have affected their investments in 'held-to-maturity' securities, which are credit risk assets, but changes in market risk exposure have not affected their security investments. These results imply that domestic banks manage security investments with more focus on credit risk controls.