Z-score를 이용한 통화정책 위험선호경로에 관한 연구

This paper empirically examines the effect of monetary policy on the risk of domestic banks in Korea. We use the balanced panel data set which consists of macro-economic indicators and data from financial statements of 17 domestic banks from 1Q of 2003 to 2Q of 2015. The estimation result shows that there is a positive relationship between proxy variables of bank risk and monetary policy which are Z-score and gap from natural interest rate respectively. This provides support for the presence of a risk-taking channel of monetary policy in Korea. From estimation for three bank groups based on institutional classification, we find that the risk level of nationwide banks and regional banks are influenced by monetary policy though we do not obtain significant relationship for special banks. By size of bank, we also find that risk-taking channel works in both large banks group and small banks group. And in terms of degree of impact, regional banks group and small banks group are more affected than nationwide banks group and large banks group respectively. This empirical analysis suggests that central bank should be more concerned with the policy effect on risk level of banking sector in the process of establishing and operating monetary policy. In particular, more attention should be paid to changes in risk-taking behavior of small banks.