은행 및 비은행 예금취급기관의 비대칭적 금리조정 분석

Analysis of the Asymmetric Interest rate Adjustments in Banks and Non-Bank Depository Institutions

Purpose- The purpose of the paper is to empirically investigate the asymmetric adjustment of loan and deposit interest rates among banks and non-bank depository institutions. Design/methodology/approach- We construct a VAR model using time series data comprising loan and deposit interest rates of banks and non-bank depository institutions, along with the call rate. Based on this model, we conduct impulse-response analysis and variance decomposition to investigate the dynamic relationship between the interest rates. Findings- In the case of banks and credit unions, the responses of deposit rates to the call rate are larger than the responses of loan rates, and we cannot find evidence of non-linear responses. In the case of savings banks, the responses of loan rates to the call rate are larger than the responses of deposit rates. The responses of loan rates to a positive call rate shock are statistically significant, while the responses of loan rates to a negative call rate shock are not statistically significant. Research implications or Originality- This study differs from previous research in that it examines the asymmetric response of loan and deposit rates of both banks and non-bank financial institutions to changes in the call rate. The implications for the impact of these findings on the financial system and income inequality are presented.