정책금리의 예금은행 금리 전가에 대한 연구 = A Study on the Policy Rate Path-through to Interest Rates of Deposit Bank

다국어 초록 (Multilingual Abstract)

This study examines the path-through of monetary policy through the base rate of the Bank of Korea. Through interest rate beta analysis, impulse response analysis, and regression analysis, it verifies whether the central bank's base rate adjustment is balanced path-through to the deposit bank rate. The empirical results are as follows. First, by the results of the empirical analysis of interest rate beta, the deposit rate beta is greater than the loan rate beta when considering all changes in the base rate, the deposit and loan rate betas when the base rate falls are greater than those when it rises, and the beta in the loan rate increases significantly during the PPT period(post-pandemic tightening period). Second, the results of the impact response function show the upward rigidity in deposit rate and the (short-term) downward rigidity in loan rate. Therefore, the margin between deposit and deposit rates is expected to expand relatively further when the base rate falls rather than when it rises, which was also confirmed as a further impulse response function of the margin between them on the base rate. Third, the effect of the base rate on loan rate increases significantly during PPT period. It is analyzed that this change occurred in corporate loan rate rather than household loan rate.