기업의 자금조달 수단과 대출경로 = Corporate Finance and Lending Channel

다국어 초록 (Multilingual Abstract)

This paper provides an empirical analysis about the existence and the size of the lending channel, which is said to be one of the most important monetary policy transmission mechanisms. In order to measure the size of the lending channel the supply of bank lending needs to be separated (or identified) from the demand. Most of the previous empirical studies use cross-sectional data on different funding sources of non-bank firms as well as banks for the identification. The intuition behind this tradition is that the lending channel exists because of the information asymmetry and the degree of information asymmetry differs by the size of firms or banks. Therefore, the supply of funds can be identified by relating the size of firms or banks to the size of bank lending from cross-sectional data. Unfortunately, however, this strategy of identification may have to face a criticism that not only the supply but also the demand may very well depend on the size of firms and banks, in which case the identification fails. In this paper we use time series data instead of cross-sectional data in order to overcome this difficulty. For the identification we explicitly model bank lending using a dynamic stochastic general equilibrium (DSGE) with a financial sector. Therefore, the identification of the supply and demand of lending channel is now explicit. One of the novel features of our model is that we assume that firms can finance their investments either from bank loans or bond issuance. So it is the substitution between bank loans, a funding source with information asymmetry, and bond issuance, one without information asymmetry. This modeling strategy is rather a direct implementation of the theoretical underpinning of the lending channel literature, namely substitutability among funding sources. In that respect, we add an additional assumption that issuing bonds involves a convex cost. This assumption guarantees an interior equilibrium, for without it, issuing bonds is always preferred to bank loans due to an external finance premium in bank loans. The equilibrium is attained when the external finance premium, the difference between lending rate and (risk free) bond rate, is equal to the marginal cost of issuing bonds. If the marginal cost is high and convex, issuing bonds is not as attractive, so lending channel dominates. If the marginal cost is low and flat, bond financing dominates. So this leads to an empirical question about the value of the parameter, which represents the curvature of the marginal cost in issuing bonds. We interpret this parameter as substitutability between bank loans and bond financing. The estimation results show that, although the lending channel of monetary policy transmission does exist, the magnitude of it is relatively moderate. Moreover, relative importance of the lending channel has shrunk since the financial crisis in 1997~1998 compared to the previous period. This result implies that firms, having experience severe financial contraction during the crisis, may have turned more to internal funding sources and issuing bonds rather than external ones, including bank loans to ensure their financial soundness. We expect that this study provides a way to measure the impact of a shock in the financial sector on the real sector. In addition we hope that this paper sheds some light on how to deal with current financial instability as to how much importance should be laid on the financial sector stabilization relative to the real sector.

참고문헌 (Reference)

• 1 김현의, "통화정책의 파급효과에 관한 새로운 시각 : 은행대출경로의 유효성 분석" 1 (1): 31-65, 1995
• 2 신용상, "통화정책의 유동성 파급효과 분석:은행 가계대출경로를 중심으로"
• 3 박형근, "은행대출경로의 유효성 분석" 한국은행 2003 (2003): 32-53, 2003
• 4 Bernanke, "The Financial Accelerator in a Quantitative Business Cycle Framework" NBER 1998
• 5 Holmström, "Private and Public Supply of Liquidity" 106 (106): 1-40, 1998
• 6 Carlstrom, "Monetary Shocks, Agency Costs, and Business Cycles" 54 : 1-27, 2001
• 7 Gertler, "Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms" 109 (109): 309-349, 1994
• 8 Kashyap, "Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance" 83 (83): 78-98, 1993
• 9 Kashyap, Anil K, "Monetary Policy and Bank Lending" NBER 1993
• 10 Kashyap, "Impact of Monetary Policy on Bank Balanceㅜ Sheets" 42 : 151-195, 1995
• 11 Diamond, "Financial Intermediation and Delegated Monitoring" 51 (51): 393-414, 1984
• 12 Kashyap, "Do a Million Banks Have to Say about the Transmission of Monetary Policy" 90 (90): 407-428, 2000
• 13 Kim,Junhan, "Do Capital Adquacy Requirements Really Matter?" The Bank of Korea IMER 2008
• 14 Cecchetti, "Distinguishing Theories of the Monetary Transmission Mechanism"
• 15 Kiyotaki, "Cycles" 105 (105): 211-248, 1997
• 16 Bernanke,, "Banking in General Equilibrium" NBER 1985
• 17 Goodfriend, "Banking and Interest Rates in Monetary Policy Analysis: A Quantitative Exploration" 54 : 1480-1507, 2007
• 18 Diamond, "Bank Runs, Deposit Insurance, and Liquidity" 91 (91): 401-419, 1983
• 19 Chen, Nan-Kuang, "Bank New Worth, Asset Prices and Economic Activity" 48 : 415-436, 2001
• 20 Aikman, "Bank Capital,Asset Prices and Monetary Policy" Bank of England 2006
• 21 Bernanke, "Agency Costs, Net Worth, and Business Fluctuations" 79 (79): 14-31, 1989
• 22 Carlstrom, "Agency Costs, Net Worth and Business Fluctuations : A Computable General Equilibrium Analysis" 87 (87): 893-910, 1997