이자율의 비대칭반응 여부로 살펴본 통화정책의 중개기능 연구

The central bank performs the monetary policies for the various economic purposes such as inflation control, business adjustment for the soft landing, and so on. At this time, one of the most important means in the monetary policy is known as an interest rate policy which connects the monetary policy into the real economy. By the way, a commercial bank takes a core role in using interest rate as a policy variable. The purpose of this study is to investigate the intermediary function of the monetary policy using interest rate. In particular, main focus is whether the market interest rates respond symmetrically against changes in the policy rate. In the empirical analysis, the asymmetric error correction model is used to test it. The main results are as follows. Firstly, the responses of the loan rate and deposit rates against the policy rate shock show the same direction with the policy rate shock, and any significant evidence for the asymmetric response is not found. Secondly, the response of the interest margin rate between a loan and a deposit against the policy shock shows the opposite direction with the policy rate shock. And even if the significances in the responses against between + and – shocks are different one another, there is no significant evidence for the asymmetric response. Lastly, any kind of evidence for the asymmetric response in interest margin of loan rate between a SME and a large corporate is not found.