대손충당금 변화가 은행대출에 미치는 영향

This study dynamically examines the impact of changes in domestic banks' loan loss provisions on corporate and household loans using the Time-Varying Parameter Vector Autoregression Models with Exogenous Variables (TVP-VARX). Empirical analysis reveals that the effect of changes in loan loss provisions on loans fluctuates over time. In addition, these structural changes appear to be similar to the timing of changes in the standards for accumulating loan loss provisions due to changes in IFRS standards(2007, 2014), domestic introduction(2011, 2018), and responses to the COVID-19 pandemic. On average, an increase in loan loss provisions is associated with a reduction in corporate loan growth, while household loan growth tends to increase. In other words, domestic banks appear to focus more on household lending as risk levels rise. When categorized into commercial banks, regional banks, and specialized banks, regional banks show a preference for risk-taking in their lending strategies, contrary to commercial banks. This suggests that policy support may be needed to prevent adverse selection of regional banks. Specialized banks, in contrast, appear to supply loans to address imbalances in the lending market. Additionally, the recent decrease in the base interest rate is expected to gradually, rather than immediately, alter banks' lending behavior in response to changes in market interest rates.