시장금리의 은행금리 전가에 관한 연구
Bank Interest Rate Pass-Through: A Cross Bank Comparison
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본 연구는 화폐시장금리의 은행금리에 대한 전가과정(pass-through)을 패널 오차수정모형을 이용하여 실증적으로 분석하였다. 장기 전가율 분석 결과 시장금리 변화가 대출금리에 장기적으로 100% 반영되는 것으로 나타난 반면 예금금리에는 70% 정도만 전가되는 것으로 나타났다. 통제변수로 거시경제변수를 추가해도 장기 전가율에는 거의 변화가 없었다. 그러나 은행경영지표를 통제변수로 추가할 경우에는 대출금리의 장기 전가율은 80%로 하락한 반면 예금금리의 장기 전가율은 90%로 상승하였다. 은행금리가 균형으로 회복되는 속도와 방향을 측정하는 오차수정 계수는 대출금리와 예금금리 모두 매우 유의적인 음의 값을 나타내어 은행금리의 불균형부분이 다음기의 은행금리에 올바른 방향으로 수정되어 반영되는 것을 확인할 수 있다. 단기 전가율의 경우 당기의 시장금리는 은행금리에 유의적인 영향을 미치지 않지만 전기의 시장금리는 매우 유의적인 영향을 미치는 것으로 나타났다. 은행금리가 시장금리변화에 대해 시차를 두고 반응함을 시사한다.
Abstract
This paper deals with the relationship between a money market rate and banks’ interest rates in Korea by empirically examining the pass-through that is defined as the degree and the speed of adjustment of interest rates to money market rate. Long-run pass-through has been confirmed to be complete in bank loan rates. On the other hand, about 70% of a change in the money market rate is estimated to be transmitted to deposit rates. Error-correction coefficients, which measure the speed and direction of bank rates’ convergence to the equilibrium, are significantly negative. Negative error-correction term implies that the divergent bank rates are correctly adjusted to equilibrium levels. As for the short-rum pass-through, the effect of the current period’s market rate on bank rates is not significant. But the previous period’s market rate is estimated to be very significant, which implies the existence of time-lag in the pass-through on banks rates.
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