금융기관 경기대응완충자본 적립 효과에 관한 연구

This study analyzes the effect of the Countercyclical Capital Buffer (CCyB) introduced in Basel III to prevent systemic risks in financial institutions. Specifically, we examine the effect of CCyB imposition by analyzing the impact of capital exceeding the minimum regulatory capital on loan expansion. The research data consists of quarterly data from December 2013 to March 2023 for 17 domestic banks (commercial banks, specialized banks, regional banks) subject to Basel III. Panel regression analysis was employed for statistical analysis. Empirical analysis results show that banks' excess capital adequacy ratios generally exhibit negative regression coefficients with loan portfolio growth, indicating conservative asset management during the research period. In addition, cases where banks maintained average excess capital adequacy ratios, significant positive coefficients were observed in interaction terms using dummy variables, suggesting the possibility of credit supply adjustment through capital ratios. These findings imply that preemptively managing excessive credit expansion and systemic risks through the operation of the CCyB regime can be a key determinant of the success of the CCyB regime. Therefore, it is deemed necessary for financial authorities in Korea to systematically manage fluctuations in loan portfolios according to changes in CCyB accumulation levels, considering systemic risks. However, it is noted that this study has a limitation in that it does not include data beyond May 2024, when CCyB is fully implemented and reflecting the changes of the level of CCyB set by the regulator.