This paper analyzes empirically on the relationship between the change in loan portfolio weight and GDP shock which is recognized as a systematic risk factor. The purpose of this paper is to determine whether Korean banks reduce their loan portfolio risks by flexible adjustment of their loan portfolios designed to escape risk from GDP shock. As the main results, Korean banks show a lending behavior of adjustment to portfolio weight on their loan asset that is sensitive to GDP shock. Moreover, this paper studies whether the effect from GDP shock to the change of loan portfolio weight are differential attributed to difference of bank ownership and location. As the result, we can find out that lending behavior of the Korean banks tends to reduce their portfolio risk in that significant adjustment for loan assets that are sensitive to GDP shock comes out when economy is stagnant. Oppositely, we also confirm that the banks’ loan portfolio risk tends to increases in the light of the fact that the loan size with high variability in value to business cycle is getting bigger when the economy expands.
Keywords: Loan portfolio weight, GDP shock, Lending behavior, Banks’ loan portfolio risk.
학회소식
[2013년 제 1차] The Study on Banking Loan Portfolio Strategy: Evide
작성자 : 관리자
조회수 : 1008
게시일 :
2013-03-04
