가계신용 증가율과 단기 금리와의 상호연관성에 관한 연구

The purpose of this paper is to analyze the correlation between growth of outstanding credit and short-term interest through indices offered by the Bank of Korea. The dataset includes quarterly data from 1Q 1996 to 4Q 2010. Utilizing a dynamic analytical tool – the VAR model, granger causality test, impulse response function and variance decomposition have been implemented. The results of the analysis are as follows. Firstly, granger causality test identifies the existence of mutual explanatory power between outstanding credit growth rate and short-term interest rate. Secondly, the results of impulse response function suggest that Certificate of Deposit (CD) rate and CALL rate have a continuous negative correlation. The outstanding credit amount decreases with increasing interest rates and increases with decreasing interest rates. Lastly, the variance decomposition analysis showed partial influence of short-term interest on outstanding credit growth rate, however this influence is primarily caused by the internal error of CD and CALL rates. Though the study on correlation between outstanding credit and short-term interest, it contributes to the understanding of information transmission effect between outstanding credit and short-term interest.