국내은행의 수신 단기화 요인에 관한 연구

As Liquidity Requirements in Basel III is phased, most banks should extend the maturity of bank deposits in order to raise the long term liquidity ratio. However, most banks have difficulty in doing so due to low interest trend. In this situation, the empirical study is performed for discovering factors that reduce the maturity of bank deposits. This study has tried to discover factors that increase short-term deposits ratio of domestic banks by using VAR Model. According to the analysis based on VAR model, SHORT(short-term deposits ratio) responds positively by HOUSE (house price index), KOSPI(the composite price index of stocks), SPREAD(short- and long-term interst difference) and CDS(credit default swap) respectively, while SHORT(short-term deposits ratio) responds negatively by EQUIP(loan facilities ratio) as we have expected. In other words, the short-term deposits ratio of domestic banks has been increased by the low interest trend that continues as in developed country, and influenced more by stock price and housing price in terms of asset portfolio. Therefore, if stock market and real estate market are invigorated, it would be possible to reinforce the trend of shortening deposit period for domestic banks.