보금자리론 금리가 예금은행의COFIX 금리에 미치는 영향
The Ripple Effect of the Bogeumjari Loan Interest Rate on the Determination of Cost of Funds Index Interest Rate
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This study examines whether the Bogeumjari loan interest rate affects the COFIX(Cost of Funds Index) interest rate, which is the current standard interest rate of the private mortgage sector in Korea. The data used for the empirical analysis are monthly data from January 2010 to May 2018. We analyze the granger causality test, VAR model, impulse response function and forecast error variance decomposition. The main results are as follows. First, the granger causality shows predictive power from the Bogeumjari loan interest rate to the COFIX interest rate. However, we find no opposite causality from the COFIX interest rate to the Bogeumjari loan interest rate. Second, we find that the adjustment of the Bogeumjari loan interest rate significantly affects the change of the COFIX interest rate after two-month. It is likely to show more robust results to the downward adjustment of the Bogeumjari loan interest rate. Third, the impulse response function and variance decomposition also show that the change of the Bogeumjari loan interest rate influences on the change of the COFIX interest rate. Especially, we find more robust results over the most recent period. Overall, we find that the Bogeumjari loan interest rate leads the COFIX interest rate. The Bogeumjari loan interest rate mitigates the increase in the COFIX interest rate and magnifies the decrease in the COFIX interest rate. Therefore, we infer that the Bogeumjari loan interest plays an important role in the COFIX interest rate as one of controlling factors.
Abstract
This study examines whether the Bogeumjari loan interest rate affects the COFIX(Cost of Funds Index) interest rate, which is the current standard interest rate of the private mortgage sector in Korea. The data used for the empirical analysis are monthly data from January 2010 to May 2018. We analyze the granger causality test, VAR model, impulse response function and forecast error variance decomposition. The main results are as follows. First, the granger causality shows predictive power from the Bogeumjari loan interest rate to the COFIX interest rate. However, we find no opposite causality from the COFIX interest rate to the Bogeumjari loan interest rate. Second, we find that the adjustment of the Bogeumjari loan interest rate significantly affects the change of the COFIX interest rate after two-month. It is likely to show more robust results to the downward adjustment of the Bogeumjari loan interest rate. Third, the impulse response function and variance decomposition also show that the change of the Bogeumjari loan interest rate influences on the change of the COFIX interest rate. Especially, we find more robust results over the most recent period. Overall, we find that the Bogeumjari loan interest rate leads the COFIX interest rate. The Bogeumjari loan interest rate mitigates the increase in the COFIX interest rate and magnifies the decrease in the COFIX interest rate. Therefore, we infer that the Bogeumjari loan interest plays an important role in the COFIX interest rate as one of controlling factors.
참고문헌 (22)
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