COFIX금리의 변화는 가계신용대출에 영향을 미치는가?

• 영문명: THE COFIX Rates affect the Household Credit Loans?
• 발행기관: 한국산업경영학회
• 저자명: 김주일(Kim Joo Il)
• 간행물 정보: 『한국산업경영학회 발표논문집』2016년도 동계학술대회 발표논문집, 1~19쪽, 전체 19쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2016.02.28

영문 초록

This dissertation is to verify the efficiency (correlation) of the COFIX rates and the household credit loans by revealing mechanism of their interrelationships from related indices provided by Bank of Korea and Federation of Banks. Sample data are based on the amount of household credit for 70 samples in 10 years 5 months from January 2010 to October 2015 and its increase rates are calculated in Monthly basis. Granger causality test, impulse response function and variance decomposition are computed with VaR (dynamic analysis method) using the COFIX rates and the household credit loans. Main analyses results are as follows; Firstly, results of Granger Causality test suggests the existence of mutual causality COFIX rates precede and have explanatory power the household credit loans Secondly, the results of impulse response function suggest that the COFIX rates show immediate response to the household credit loans and are influenced by till time 8 From time 5 the impact gradually disappears. Lastly, the variance decomposition analysis showed a high influence of the COFIX rates on the household credit loans and significant influence of the household credit loans on the COFIX rates. This implies that returns on the COFIX rates have a significant influence over returns on the household credit loans. Finally, our results can be used as a guide by the Korea Bank and Republic of Korea and as well as Korea Housing Finance Corporation. Accordingly, given that the COFIX rate is an important factor that determines household loan and credit based sales, these research results are expected to contribute to the development of all types of loan policies and credit policies by the banking and non-banking industries.

목차

1. 서론

2. 예비분석

3. 실증분석 결과

4. 결론

참고문헌

Abstract

키워드

COFIX rates household credit loans Granger Causality Impulse Rresponse Variance Decomposition