통화정책 국면에 따른 은행 예대금리의 비대칭적 반응 분석 = Asymmetric Responses of Commercial Bank Lending and Deposit Rates to Monetary Policy Regimes

다국어 초록 (Multilingual Abstract)

This paper examines different dynamics of commercial bank lending and deposit rates across different monetary regimes. Using the threshold VAR (vector autoregression) method proposed by Balke (2000), we investigate the asymmetric responses of the lending and deposit rates in response to changes in the policy rate (e.g., call rate in Korea).10) First, we estimate a linear VAR model to find major driving forces of bank lending and deposit rate spread. As endogenous variables in the VAR model, in addition to bank lending and deposit rate spread, we use call rate, coincident CI (composite index), yield spread between long and short-term bonds, and corporate bond yield spread. Our impulse response analysis shows that both call rate and corporate spread have a substantial effect on bank lending and deposit rate spread. We also find that a rise (fall) of the call rate will narrow (widen) the lending and deposit rate spread. This is possibly because lending rates are more rigid in response to a change in the call rate than deposit rates. The variance decomposition results show that the call rate explains the largest part of variations in the lending and deposit rate spread. Second, using the threshold VAR method, we examine asymmetric responses of bank lending and deposit rates to a change in call rate across different monetary policy regimes. From impulse response analysis, we find that, in response to the change in call rate, which implies either expansionary or tightening monetary policy regime, both lending and deposit rates are upwardly rigid. Furthermore, lending rate tends to be more rigid than deposit rate. In particular, we find that deposit rate tends to fall more than call rate falls, which means excessive call rate pass-through to deposit rates. This finding explains the above linear VAR results that a rise (fall) of the call rate will narrow (widen) the lending and deposit rate spread. Among several hypotheses on the rigidity of lending and deposit rates, our results support the negative customer reactions and asymmetric information hypotheses for the upward rigidity of lending rates, and also support the high switching cost and imperfect competition hypotheses for the upward rigidity of deposit rates. Our analysis provides important policy implications about monetary policy. The results about the relationship among call, lending and deposit rates implies that central banks` monetary policy may affect banks` profit via net interest margin channel. Also, the finding that bank lending and deposit rates react asymmetrically in response to the change in call rate, depending on the direction of the changes, implies the asymmetric relationship between monetary policy and real economy. Thus, in modeling a macroeconomic model to pursue a policy implication, it is important to pay attention to this asymmetric aspect in monetary policy transmission mechanism.

참고문헌 (Reference)

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