The Journal of the Korea Contents Association (한국콘텐츠학회논문지)

The Korea Contents Association (한국콘텐츠학회)
권호 표지
DOI QR코드

DOI QR Code

Does Investor Protection Affect Bank Liquidity Risk?

투자자 보호제도가 은행들의 유동성위험에 영향을 미치는가?

  • 이치선 (숭실대학교 벤처중소기업학과) ;
  • 김정심 (상지대학교 경영학과)
  • Received : 2019.07.10
  • Accepted : 2019.08.26
  • Published : 2019.09.28
Download PDF
⟨ Previous Next ⟩

Abstract

There has been a large literature on bank liquidity risk since the 2008 global financial crisis because liquidity risk was at the heart of the crisis. However, there is no study that investigates whether the level of investor protection influences liquidity risk-taking behavior of banks. Therefore, this study aims to explore the relationship between investor protection and liquidity risk as well as to provide policy implications. Using a panel dataset of commercial banks in 21 OECD countries, we found that strong investor protection encourages banks to take lower liquidity risk. Furthermore, this positive role of shareholder protection is more prominent during a crisis, implying that legal protection of investors plays an essential role in bank stability while market discipline is largely ineffective due to extensive government guarantees in turbulent times.

2008년 글로벌 금융위기가 유동성위험에서 촉발되었으므로 금융위기 이후 유동성위험 관리방안에 대해 많은 연구들이 수행되었다. 그러나 투자자 보호 정도가 은행들의 유동성위험에 영향을 미치는지에 대해서는 전 세계적으로 아직 연구된 바가 없으므로 본 연구에서는 투자자 보호와 유동성위험과의 관계를 고찰하고 정책적 시사점을 도출하였다. 경제협력개발기구(OECD) 21개국 상업은행들을 대상으로 패널데이터를 구축하여 분석한 결과, 투자자에 대한 보호 수준이 높을수록 은행들의 유동성위험이 낮아짐을 발견하였다. 또한 투자자 보호의 이러한 긍정적 효과는 금융위기 기간 동안 더욱 강화되는 것으로 나타났다. 이는 금융위기 기간 동안 시행되는 강력한 경기부양책으로 인해 시장에 의한 규율이 약화된 상황에서 법적인 투자자 보호제도가 은행들의 건전성 제고에 기여할 수 있음을 시사한다.

Keywords

References

  1. M. K. Brunnermeier, "Deciphering the liquidity and credit crunch 2007-2008," Journal of Economic Perspectives, Vol.23, No.1, pp.77-100, 2009. https://doi.org/10.1257/jep.23.1.77
  2. D. W. Diamond and R. G. Rajan, "The credit crisis: Conjectures about causes and remedies," American Economic Review, Vol.99, No.2, pp.606-610, 2009. https://doi.org/10.1257/aer.99.2.606
  3. T. Adrian and H. S. Shin, "Liquidity and leverage," Journal of Financial Intermediation, Vol.19, No.3, pp.418-437, 2010. https://doi.org/10.1016/j.jfi.2008.12.002
  4. V. Ivashina and D. Scharfstein, "Bank lending during the financial crisis of 2008," Journal of Financial Economics, Vol.97, No.3, pp.319-338, 2010. https://doi.org/10.1016/j.jfineco.2009.12.001
  5. F. Ippolito, H. Almeida, A. P. Orive, and V. Acharya, "Bank lines of credit as contingent liquidity: Covenant violations and their implications," Journal of Financial Intermediation, In press, 2019.
  6. J. Kim, "Bank competition and financial stability: Liquidity risk perspective," Contemporary Economic Policy, Vol.36, No.2, pp.337-362, 2018. https://doi.org/10.1111/coep.12243
  7. L. Jiang, R. Levine, and C. Lin, "Competition and bank liquidity creation," Journal of Financial and Quantitative Analysis, Vol.54, No.2, pp.513-538, 2019. https://doi.org/10.1017/S0022109018000820
  8. A. Beltratti and R. M. Stulz, "The credit crisis around the globe: Why did some banks perform better?," Journal of Financial Economics, Vol.105, pp.1-17, 2012. https://doi.org/10.1016/j.jfineco.2011.12.005
  9. J. H. Boyd and H. Hakenes, "Looting and risk shifting in banking crises," Journal of Economic Theory, Vol.149, pp.43-64, 2014. https://doi.org/10.1016/j.jet.2012.10.001
  10. M. J. Flannery and S. M. Sorescu, "Evidence of bank market discipline in subordinated debenture yields: 1983-1991," Journal of Finance, Vol.51, pp.1347-1377, 1996. https://doi.org/10.1111/j.1540-6261.1996.tb04072.x
  11. C. H. Furfine, "Banks as monitors of other banks: Evidence from the overnight federal funds market," Journal of Business, Vol.74, No.1, pp.33-57, 2001. https://doi.org/10.1086/209662
  12. T. B. King, "Discipline and liquidity in the interbank market," Journal of Money, Credit and Banking, Vol.40, No.2-3, pp.295-317, 2008. https://doi.org/10.1111/j.1538-4616.2008.00114.x
  13. D. W. Diamond and P. H. Dybvig, "Bank runs, deposit insurance, and liquidity," Journal of Political Economy, pp.401-419, 1983.
  14. M. M. Cornett, J. J. McNutt, P. E. Strahan, and H. Tehranian, "Liquidity risk management and credit supply in the financial crisis," Journal of Financial Economics, Vol.101, pp.297-312, 2011. https://doi.org/10.1016/j.jfineco.2011.03.001
  15. E. Farhi and J. Tirole, "Collective moral hazard, maturity mismatch, and systemic bailouts," American Economic Review, Vol.102, pp.60-93, 2012. https://doi.org/10.1257/aer.102.1.60
  16. S. Johnson, P. Boone, A. Breach, and E. Friedman, "Corporate governance in the Asian financial crisis," Journal of Financial Economics, Vol.58, pp.141-186, 2000. https://doi.org/10.1016/S0304-405X(00)00069-6
  17. S. Djankov, R. La Porta, F. Lopez-de-Silanes, and A. Shleifer, "The law and economics of self-dealing," Journal of Financial Economics, Vol.88, pp.430-465, 2008. https://doi.org/10.1016/j.jfineco.2007.02.007
  18. W. Wagner, "Financial development and the opacity of banks," Economics Letters, Vol.97, pp.6-10, 2007. https://doi.org/10.1016/j.econlet.2007.02.006
  19. C. Stephanou, "Rethinking market discipline in banking: Lessons from the financial crisis," World Bank, Policy Research Working Paper 5227, 2010.
  20. D. Min, "Understanding the failures of market discipline," Washington University Law Review, Vol.92, No.6, pp.1421-1500, 2014.
  21. G. A. Akerlof, P. M. Romer, R. E. Hall, and N. G. Mankiw, "Looting: The economic underworld of bankruptcy for profit," Brookings Papers on Economic Activity, Vol.2, pp.1-73, 1993.
  22. M. S. Martinez Peria and S. L. Schmukler, "Do depositors punish banks for bad behavior? Market discipline, deposit insurance, and banking crises," Journal of Finance, Vol.56, No.3, pp.1029-1051, 2001. https://doi.org/10.1111/0022-1082.00354
  23. R. La Porta, F. Lopez-de-Silanes, A. Shleifer, and R. Vishny, "Law and finance," Journal of Political Economy, Vol.106, pp.1113-1155, 1998. https://doi.org/10.1086/250042
  24. J. Bryant, "A model of reserves, bank runs, and deposit insurance," Journal of Banking and Finance, Vol.4, No.4, pp.335-344, 1980. https://doi.org/10.1016/0378-4266(80)90012-6
  25. E. Gatev, T. Schuermann, and P. E. Strahan, "Managing bank liquidity tisk: How deposit-loan synergies vary with market conditions," Review of Financial Studies, Vol.22, No.3, pp.995-1020, 2007. https://doi.org/10.1093/rfs/hhm060
  26. B. Imbierowicz and C. Rauch, "The relationship between liquidity risk and credit risk in banks," Journal of Banking and Finance, Vol.40, pp.242-256, 2014. https://doi.org/10.1016/j.jbankfin.2013.11.030
  27. S. Bhattacharya and A. V. Thakor, "Contemporary banking theory," Journal of Financial Intermediation, Vol.3, No.1, pp.2-50, 1993. https://doi.org/10.1006/jfin.1993.1001
  28. A. N. Berger and C. H. Bouwman, "Bank liquidity creation," Review of Financial Studies, Vol.22, pp.3779-3837, 2009. https://doi.org/10.1093/rfs/hhn104
  29. M. O'hara and W. Shaw, "Deposit insurance and wealth effects: the value of being "too big to fail"," Journal of Finance, Vol.45, No.5, pp.1587-1600, 1990. https://doi.org/10.1111/j.1540-6261.1990.tb03729.x
  30. G. Afonso, J. A. Santos, and J. Traina, "Do 'Too-Big-To-Fail' banks take on more tisk?," Journal of Financial Perspectives, Vol.3, No.2, pp.1-29, 2015.
  31. L. Marques, R. Correa, and H. Sapriza, "Government support, regulation, and risk taking in the banking sector," Journal of Banking and Finance, In press, 2018.
  32. M. C. Keeley, "Deposit insurance, risk, and market power in banking," American Economic Review, pp.1183-1200, 1990. https://doi.org/10.1257/0002828042002589
  33. J. H. Boyd and G. D. Nicolo, "The theory of bank risk taking and competition revisited," Journal of Finance, Vol.60, No.3, pp.1329-1343, 2005. https://doi.org/10.1111/j.1540-6261.2005.00763.x
  34. G. Jimenez, J. A. Lopez, and J. Saurina, "How does competition affect bank risk-taking?," Journal of Financial Stability, Vol.9, No.2, pp.185-195, 2013. https://doi.org/10.1016/j.jfs.2013.02.004
  35. N. H. Anderson and J. Shanteau, "Weak inference with linear models," Psychological Bulletin, Vol.84, No.6, pp.1155-1170, 1977. https://doi.org/10.1037/0033-2909.84.6.1155
  36. R. A. Berk, Regression analysis: A constructive critique(Vol.11), Sage, 2004.