통화정책과 대출금리의 비대칭적 조정|RISS 상세보기

다국어 초록 (Multilingual Abstract)

This paper is concerned with the asymmetric adjustments (velocity and level) of bank loan rates to monetary policy shocks. These aspects are very important for understanding monetary transmission mechanism: a change in monetary stance is effective only if monetary impulses are transmitted quickly to other rates and if the new structure of interest rates affects real expenditure. The possibility of asymmetric bank loan rate adjustments has been explored by many studies. They offer three reasons for asymmetric adjustments - customer relationships, collusive arrangements, and asymmetric information between banks and their customers. First, Banks generally recognize that they exploit consumer inertia, because their customers tend to be in possession of out-of date information and are reluctant to change banks because of either real or perceived high switching costs. Therefore one may expect greater rigidity in loan rate increase. Second, banks in concentrated markets recognize that it is costly to break collusive arrangements and consequently, one may expect greater rigidity in loan rate decreases. Third, loan rates may be subject to the Stiglitz-Weiss phenomenon of endogenous default. The Stiglitz-Weiss model predicts that raising loan rates will increase default. Therefore banks may take time to think about, and decide, whether raising loan rates in response to a change in the call rate will turn to be less profitable than leaving them alone. In aggregate, such asymmetric bank behavior translates into transmission processes that are asymmetric in speeds and magnitudes. Using an Asymmetric Error Correction Model (AECM), it analyses the pass-through of changes in money market rates to bank loan rates to large and small corporations in Korea in the period 1999.05~2006.12. The main results of the paper are: ① banks adjust their loan rates to small corporations, in response to monetary policy changes, at a faster rate during periods of monetary tightenings than during periods of monetary easings. But their loan rates to large corporations is adjusted symmetric during periods of monetary tightenings and easings. ② the levels adjustments of loan rates to large and small corporations to monetary policy shocks are symmetric.

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참고문헌 (Reference)

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