우리나라 은행의 예·대금리차 조정의 비대칭성: 문턱자기회귀모형(Threshold Autoregressive)의 이용 (Asymmetric Adjustment of Interest Rate Spread in Korean Banks: Application of Threshold Auto-Regressive Model)

19 Pages Posted: 15 Aug 2017 Last revised: 9 Jan 2019

See all articles by Byungchul Yu

Byungchul Yu

Dept. of International Trade, Dong-A University

Sun Eae Chun

Chung-Ang University

Date Written: December 31, 2009

Abstract

Korean Abstract: 본고는 우리나나 은행의 예·대금리차(spread)의 조정행태가 비대칭적 특성을 갖는지를 문턱자기회귀모형(threshold autoregressive: TAR)과 모멘텀 문턱자기 회귀모형(momentum threshold autoregressive: M-TAR)을 이용하여 분석하였다. 분석결과 예·대금리차가 문턱수준보다 큰 경우 예·대금리차가 장기균형으로 조정되어 가는 속도가 상대적으로 느리며, 예·대금리차가 문턱수준보다 작은 경우 조정 속도가 상대적으로 빠른 것으로 분석되었다. 이는 예·대금리차가 큰 경우 은행이 금리 차이를 상대적으로 가급적 천천히 조정하며, 예·대금리차가 작은 경우 상대적으로 빨리 조정하여, 예·대 마진을 통해 은행이 수익성 증대를 도모 한다는 견해를 뒷받침한다.

English Abstract: The paper analyzes the asymmetric adjustment behavior in the deposit-lending interest rate spread of banks in Korea using the threshold auto-regressive(TAR) model and momentum threshold auto-regressive(M-TAR) model. The analysis results show that the adjustment speed is slower when the spread is greater than the threshold, while it is faster when the spread is smaller than the threshold. This supports the view that banks pursue their profits through spread adjustments by adjusting the spread slowly when the spread is large and adjusting it fast when the spread is small.

Keywords: 예·대금리차, 비대칭적 조정, 문턱자기회귀모형(threshold autoregressive: TAR), 모멘텀 문턱자기회귀모형(momentum threshold autoregressive: M-TAR), deposit-lending interest rate spread, asymmetric adjustment, threshold autoregressive(TAR) model, momentum threshold autoregressive(M-TAR) model

JEL Classification: C1, C5, G2

Suggested Citation

Yu, Byungchul and Chun, Sun Eae, 우리나라 은행의 예·대금리차 조정의 비대칭성: 문턱자기회귀모형(Threshold Autoregressive)의 이용 (Asymmetric Adjustment of Interest Rate Spread in Korean Banks: Application of Threshold Auto-Regressive Model) (December 31, 2009). Financial Stability Studies, Vol. 10, No. 2, Korea Deposit Insurance Corporation(KDIC), 2009, pp. 1-19., Available at SSRN: https://ssrn.com/abstract=3018259 or http://dx.doi.org/10.2139/ssrn.3018259

Byungchul Yu (Contact Author)

Dept. of International Trade, Dong-A University ( email )

2-Ga Bumin-Dong
Busan
Korea, Republic of (South Korea)

Sun Eae Chun

Chung-Ang University ( email )

221 Heuksuk-dong
Dongjak-gu
Seoul, 156-756
Korea, Republic of (South Korea)

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