우리나라 모기지론의 조기상환모형에 대한 실증연구 = An Empirical Study on the Mortgage Loan Prepayment Model of Korea

다국어 초록 (Multilingual Abstract)

This study estimated the mortgage loan prepayment model of Korea-the PSA Model based on statistical relationship and pool linear model and pool non-linear model based on economic factors and then appraised the suitability of each model. The sample covers the monthly data of mortgage loan which is MBS's underlying assets issued by Korea Housing Finance Corporation for the period from 2004 to November 2010. Empirical results are summarized as follows. First, according to the PSA Model, the prepayment rate of mortgage loan becomes 7.8% for the frist month, gradually increases at the rate of 1.02% per month for the next during 11 months when it reaches 19%, and then after showing the stabilization of this proportion until next 58 months, radically enlarges. This shows that the pattern of the prepayment made in Korean mortgage loan market is different from that made in American mortgage loan market, which shows that the prepayment rate gradually increases at the rate of 0.2% per month from the date of issue to the next 30 months, and then becomes stabilized at the point of 6%. Also, Korean prepayment rate has some differentials, as influenced on issuing year and month. Second, we developed pool linear and nonlinear prepayment model based on economic factors. To make the most suitable pool linear and non-linear model, the conditional prepayment rate is used as a dependent variable and refinancing incentive, seasoning, the general state of economy,and the seasonal effect as influencing a dependent variable, are used as exogenous variables. Last, To decide which model is more suitable for the prediction of real prepayment rate, we tested heteroscedasticity t-test for the difference of average prepayment rate using the data of MBS issued in 2006-1, 2007-3, 2008-5 and 2009-8 by Korea Housing Fiannce Corporation. As the result, pool linear model is suitable all cases but pool non-linear model indicates mixed results. Therefore, it is thought that pool linear model is even more appropriate to estimate the prepayment rate than pool non-linear model in Korean mortgage loan market.

국문 초록 (Abstract)

본 연구에서는 국내 모기지론의 통계적 조기상환모형인 PSA 모형과 경제적 조기상환모형인 풀별 선형모형과 풀별 비선형모형을 추정하고, 모형의 적합성을 검증하였다. 주요 실증분석 결과는 다음과 같다.
첫째, 통계적 조기상환모형인 PSA 모형에 의하면, 우리나라 모기지론의 조기상환율은 발행일로부터 최초 1개월 동안 약 7.8%가 되고, 이후 11개월까지 매달 1.02%씩 상승하여 19% 정도에서 안정화를 보인 후 다시 58개월 후부터 급속히 증가되는 것을 확인할 수 있었다. 이것은 원점에서 시작하여 30개월까지 매월 0.2%씩 증가한 후 6%에서 안정화되는 미국과는 다른 형태를 나타냄을 알 수 있다. 또한 우리나라 모기지론의 조기상환율은 발행연도별로, 월별로 상이한 형태를 나타내었다. 둘째, 경제적 조기상환예측 모형으로. 모기지론 풀별 선형모형과 비선형 모형을 추정하였다. 종속변수로 조건부 조기상환율(CPR)을 사용하고, 설명변수로 조기상환율에 영향을 미치는 요인들을 고려하여 차환유인, 성숙화, 일반적인 경제상황, 계절 요인을 반영하는 변수를 선정하여 풀별선형 및 비선형 최적모형을 구축하였다. 셋째, 구축한 조기상환율을 예측하는 최적모형을 이용하여 한국주택금융공사가 발행한 2006-1,2007-3, 2008-5, 2009-8회차를 대상으로 실제의 조기상환율과 추정된 조기상환율의 평균의 차이에 대한 이분산 t-검정을 실시하여 추정한 최적모형의 적합성을 검정한 결과, 우리나라 모기지론의 조기상환율을 예측하는 모형으로는 풀별 선형모형이 비선형모형보다 더 적합하다고 할 수 있다.

참고문헌 (Reference)

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