국내 MBS 기초자산의 조기상환위험 영향변수 = Impact of Early Repayment Risk on Domestic MBS Basic Assets

다국어 초록 (Multilingual Abstract)

It is important to reconfirm the existing relationship between previously studied economic variables and early repayment rates and to identify additional variables that increase the explanatory power of the model.
The purpose of this study is to investigate the relationship between premature repayment rate and influence variables, and then analyze the dynamic relationship between prepayment rate and influence variables by constructing a Vector Auto Regression (VAR) model. The variables analyzed to affect prepayment rates in this study were construction and positive macroeconomic events, especially inflation. As a result of the analysis of variance analysis, mortgage interst rate was the most influential variable for early repayment rate.
This suggests that interest rate policy should be effective in the short-term, and in the mid- to long-term, if the MBS price or market is abnormal, it should be responded to by changing the policy related to the construction industry.

참고문헌 (Reference)

1 방두완, "한국 모기지시장의 채무불이행 및 조기상환 분석" 한국금융학회 24 (24): 87-118, 2010

2 이중희, "부동산 구조화 금융의 이해" 부연사 2011

3 상준, "벡터오차수정모형(VECM)을 이용한 재테크 시장 변수와 유형별 주택가격 간의 관계성 분석" 대한건축학회 29 (29): 83-91, 2013

4 김필규, "모기지의조기상환 모형에 근거한 MBS 가격결정에 관한연구: OAS 방법을 중심으로" 한국증권연구원 2008

5 박동규, "국내 MBS 조기상환위험의 영향변수에 관한 연구:VEC 모형을 중심으로" 한국부동산연구원 23 (23): 157-179, 2013

6 조수희, "VAR모형을 이용한 주택정책 실증 연구" 한국부동산학회 (31) : 5-21, 2007

7 Chinloy, P. R., "The Option Structure of a Mortgage Contract" 2 (2): 21-38, 1991

8 Schwartz, E. S., "Prepayment and the Valuation of Mortgage Backed Securities" 44 (44): 375-392, 1989

9 Deng, Y., "Mortgage Prepayment and Default Behavior with Embedded Forward Contract Risks in China’s Housing Market" 38 : 214-240, 2009

10 최승두, "MBS 조기상환위험 결정요인:한국주택금융공사 발행 MBS를 중심으로" 한국금융공학회 10 (10): 81-102, 2011

11 Schorin, C. N., "Handbook of Mortgage Backed Securities" Probus Publishing Company 1992

12 Deng, Y., "An Early Assessment of Residential Mortgage Performance in China" 31 (31): 117-136, 2005