MBS 조기상환위험 결정요인: 한국주택금융공사 발행 MBS를 중심으로 = A Study on the Determinants of Prepayment Risk of MBS: Focused on MBS Issued by KHFC

다국어 초록 (Multilingual Abstract)

In this paper, we study the determinants of the prepayment rates of MBS issued by KHFC(Korea Housing Finance Corporation). We choose the interest rates, housing price and default rates as three key factors influencing on prepayment rates. The main results of this paper as follows. firstly, we show that interest rates plays an key role on prepayment rates of MBS issued by KHFC. Specifically, interest rates negative effect on prepayment rates significantly. This supports for the results of previous researches that the needs for refinancing of mortgage loan arise out of the drop in interest rates. Secondly, we find that housing price positively effects on prepayment rates of MBS significantly. From this result, we can infer that one of reasons for housing sales is the capital gain. Finally, we suggest that default rates positively influences on prepayment rates of MBS significantly. That is, the increase of interest rates causes the increase of prepayment rates of MBS.

참고문헌 (Reference)

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