국내 MBS 기초자산의 조기상환위험 영향변수

• 영문명: Impact of Early Repayment Risk on Domestic MBS Basic Assets
• 발행기관: 한국주거환경학회
• 저자명: 이호진(Lee Ho-jin) 이정민(Lee Jung-min)
• 간행물 정보: 『주거환경(한국주거환경학회논문집)』住居環境 제18권 제1호 (통권 제47호), 305~317쪽, 전체 13쪽
• 주제분류: 사회과학 > 지역개발
• 파일형태: PDF
• 발행일자: 2020.03.30

영문 초록

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.

목차

Ⅰ. 서 론

Ⅱ. 이론적 및 선행연구 고찰

Ⅲ. 실증분석 모형 및 변수설정

Ⅳ. 실증분석

Ⅴ. 결론

참고문헌

키워드

주택저당증권 조기상환율 거시경제 벡터자기회귀 그랜저인과관계 검정 MBS((Mortgage Backed Securities) Prepayment Rate Macroeconomics Vector Auto Regression Granger Causality Test