금융규제왿� 유동성위험간 관계 분석 (Financial Regulation and Liquidity Risk)

본고는 거시건전성 측면에서 유동성위험 관리가 중요하고 최근 새로운 금융규제 도입에 관한 국제적 논의가 활발하게 이루어지고 있음을 감안하여 금융규제 형태별로 유동성위험에 끼치는 영향에 관해 분석하였다. Pyle-Hart-Jaffee의 모형을 기반으로 한 이론모형을 설정하여 금융규제가 유동성위험에 끼치는 영향에 관해 분석한 주요 결과를 보면 BIS자기자본비율 규제의 강화, 기본자본비율의 상승, 비예금성부채에 대한 은행세 부과 등은 은행의 위험추구행위를 억제하면서 유동성위험을 낮추는 효과가 있는 것으로 분석되었다. 한편 레버리지비율 규제의 강화, 은행지원자금 조성을 위해 순이익에 대한 은행분담금 부과 등은 자본적정성을 높이고 은행위기시 파산위험을 줄이는 긍정적 효과가 있지만 은행의 위험추구 유인을 강화시킴에 따라 유동성위험을 상승시키는 부작용을 초래할 가능성이 있는 것으로 나타났다. 그러나 은행에 대한 시장규율과 감독당국의 감시정도가 높은 경우 해당 금융규제 도입시 은행의 유동성위험이 높아지지 않을 가능성도 있다.

After the global financial crisis, it is widely recognized that liquidity risk management is indispensible for macro economic stability. Northern Rock (UK) and Bear Stearns (US) could not avoid bankruptcy due to liquidity risk problem even though their capital adequacy and asset soundness did not pose serious threat to the banks’ stability. Contagion of systemic risk among banks is contributed mainly by lack of adequate liquidity risk management.
Bank’s liquidity risk needs to be measured considering both the asset and the liability structure. This paper, given that liquidity risk rises when non deposit liability increases and safe asset decreases, employs the ratio of (non deposit liability-safe asset) to total funding as an index measuring liquidity risk.
Since the global financial crisis, the introduction of new financial regulation has been under discussion. In the light of this, the necessity of analysing the relationship between financial regulation and liquidity risk has grown. This paper mentions factors affecting liquidity risk and analyses the relationship between financial regulation and liquidity risk by setting up a model and conducting simulation.
The trend of the liquidity risk index can be identified using the ratio of (non deposit liability-safe asset) to total funding. The liquidity risk of the commercial banks in Korea had risen from 2000 to the time before the financial crisis, and it had risen especially rapidly during the period from 2007 to the third quarter of 2008. Meanwhile, the movement of the ratio of loan to deposit and the ratio of non deposit liability to total fund is similar to that of the liquidity risk index.
The result of analyzing correlation shows that banks with higher liquidity risk index before the financial crisis tend to have received greater financial support from the government and the central bank after the financial crisis, which implies that the liquidity risk index can be useful in measuring bank's exposure to liquidity risk.
The results obtained from setting up a model and conducting simulation are as follows : rise of the safe debt funding cost, decrease in the risky debt funding cost, decrease in the safe asset return and rise of the risky asset return contribute to increase in liquidity risk through expansion of the risky debt and reduction of the safe asset. As the expectation for the financial market being stable grows, banks hold the safe asset less and the risky asset more, which increases liquidity risk. When banks become more risk-averse, banks hold the safe asset more, which leads to decrease in liquidity risk.
Simulation results show that strengthening BIS capital ratio regulation can bring about decrease in the ratio of (risky debt-safe asset) to total funding through reduction in the risky asset and expansion of the safe asset. Raising required core capital ratio restrains banks’ risk taking by increasing stockholders’ responsibility for bank losses, and consequently,decrease liquidity risk. Strengthening leverage ratio regulation may be a factor in liquidity risk increase as it leads banks to reduce mostly the safe asset that has lower return than the risky asset. Imposing bank tax on non deposit liability can reduce the amount of non deposit and decrease liquidity risk, while imposing tax on bank profit does not have a significant effect. And, imposing levy on bank profit can increase liquidity risk as banks expect more support when in trouble and bank moral hazard problem becomes more severe. Meanwhile, imposing levy on non deposit liability does have little effect on liquidity risk. Introducing the loan to deposit ratio regulation can be a factor which decreases liquidity risk. It is expected that most regulations currently under discussion can restrain banks' risk taking activity and decrease liquidity risk, contributing to macro economic stability. However, there is a possibility that some of them can increase liquidity risk.