본 연구는 통화정책기조의 변화에 대하여 은행들이 대기업대출금리와 중소기업대출금리를 조정함에 있어서 조정속도와 조정규모에 차이가 있는 지를 분석하였다. 이를 위하여 통화정책의 대상금리로 콜금리가 사용되기 시작한 1999년 5월부터 2006년 12월까지의 기간 동안에 예금은행의 신규취급액을 기준으로 하는 가중평균 대기업대출금리 및 가중평균 중소기업대출금리, 91일물 CD 유통수익률, 그리고 한국은행의 콜금리 목표치 등의 월별자료를 가지고 비대칭적 오차수정모형(AECM)을 통해 실증분석 하였다. 실증분석의 결과는 다음과 같이 요약할 수 있다. ① 중소기업대출금리는 통화정책이 긴축적 기조, 즉 시장금리가 상승할 때보다 확장적 통화정책이 시행될 때 훨씬 느리게 조정이 이루어지는 경향이 있음을 확인할 수 있었다. 반면에 대기업대출금리는 통화정책의 기조가 긴축적 혹은 확장적이던지 관계없이 조정속도가 일정한 경향을 보이는 것으로 나타났다. ② 통화정책변화에 대해 두 대출금리의 변동 폭에 차이가 있는지에 대한 결과를 보면, 대기업 및 중소기업대출금리는 모두 정책금리의 단기적 변화에 대해 대칭적으로 변화하는 것으로 나타났다.

This paper is concerned with the asymmetric adjustments (velocity and level) of bank loan rates to monetary policy shocks. These aspects are very important for understanding monetary transmission mechanism: a change in monetary stance is effective only if monetary impulses are transmitted quickly to other rates and if the new structure of interest rates affects real expenditure. The possibility of asymmetric bank loan rate adjustments has been explored by many studies. They offer three reasons for asymmetric adjustments - customer relationships, collusive arrangements, and asymmetric information between banks and their customers. First, Banks generally recognize that they exploit consumer inertia, because their customers tend to be in possession of out-of date information and are reluctant to change banks because of either real or perceived high switching costs. Therefore one may expect greater rigidity in loan rate increase. Second, banks in concentrated markets recognize that it is costly to break collusive arrangements and consequently, one may expect greater rigidity in loan rate decreases. Third, loan rates may be subject to the Stiglitz-Weiss phenomenon of endogenous default. The Stiglitz-Weiss model predicts that raising loan rates will increase default. Therefore banks may take time to think about, and decide, whether raising loan rates in response to a change in the call rate will turn to be less profitable than leaving them alone. In aggregate, such asymmetric bank behavior translates into transmission processes that are asymmetric in speeds and magnitudes. Using an Asymmetric Error Correction Model (AECM), it analyses the pass-through of changes in money market rates to bank loan rates to large and small corporations in Korea in the period 1999.05~2006.12. The main results of the paper are: ① banks adjust their loan rates to small corporations, in response to monetary policy changes, at a faster rate during periods of monetary tightenings than during periods of monetary easings. But their loan rates to large corporations is adjusted symmetric during periods of monetary tightenings and easings. ② the levels adjustments of loan rates to large and small corporations to monetary policy shocks are symmetric.