COFIX 금리 불확실성이 주택담보대출에 미치는 영향: SVAR-GARCH-M 모형을 중심으로

The purpose of this study is two-fold. Firstly, we examine the effect of COFIX interest rate uncertainty on the mortgage loans of the banks and the non-bank financial institutions. Secondly, we analyze that there exists an asymmetry of the mortgage loan reponses according to the direction of the changes in the COFIX interest rate. To obtain our purposes, we adopt a SVAR-GARCH model and a impulse response function during the sample period (January 2010 to July 2023). The empirical results show that uncertainty of the COFIX interest rate has the negative impact on the mortgage loan in both banks and non-bank financial institutions. In addition, we find that the responses of the mortgage loan in both financial institutions are asymmetric since the responses are not equal to positive and negative COFIX interest rate shocks. After including the changes in the economic sentiment index and industrial production index, the results are not qualitatively different, implying that our results are robust. The contribution of this study is to examine the relationship between COFIX interest rate uncertainty and mortgage loans for the first time. For further understanding this relationship, more elaborate models should be considered in a future study.